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<SEC-DOCUMENT>0000928816-07-000744.txt : 20070529
<SEC-HEADER>0000928816-07-000744.hdr.sgml : 20070528
<ACCEPTANCE-DATETIME>20070529132807
ACCESSION NUMBER:		0000928816-07-000744
CONFORMED SUBMISSION TYPE:	N-CSRS
PUBLIC DOCUMENT COUNT:		13
CONFORMED PERIOD OF REPORT:	20070331
FILED AS OF DATE:		20070529
DATE AS OF CHANGE:		20070529
EFFECTIVENESS DATE:		20070529

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-CSRS
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-05498
		FILM NUMBER:		07882979

	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-CSRS
<SEQUENCE>1
<FILENAME>a_masintinctrst.htm
<DESCRIPTION>PUTNAM MASTER INTERMEDIATE INCOME TRUST
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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><BR>
<BR>
<B><FONT face=sans-serif size=2>FORM N-CSR </FONT></B><BR>
<BR>
<B><FONT face=sans-serif size=2>CERTIFIED SHAREHOLDER REPORT OF REGISTERED </FONT></B><BR>
<B><FONT face=sans-serif size=2>MANAGEMENT INVESTMENT COMPANIES</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- 05498 ) </FONT></P>
<P align=left><FONT face=sans-serif size=2>Exact name of registrant as specified in charter: Putnam Master Intermediate Income Trust </FONT></P>
<P align=left><FONT face=sans-serif size=2>Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109 </FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%" colSpan=2><FONT face=sans-serif size=2>Name and address of agent for service:</FONT>&nbsp; </TD>
     <TD noWrap align=left width="42%" colSpan=2><FONT face=sans-serif size=2>Beth S. Mazor, Vice President</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%" colSpan=2>&nbsp; </TD>
     <TD noWrap align=left width="42%" colSpan=2><FONT face=sans-serif size=2>One Post Office Square</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%" colSpan=2>&nbsp; </TD>
     <TD noWrap align=left width="42%" colSpan=2><FONT face=sans-serif size=2>Boston, Massachusetts 02109</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="28%"></TD>
     <TD noWrap align=left width="29%" background=""><FONT face=sans-serif size=2>Copy to:</FONT>&nbsp; </TD>
     <TD noWrap align=left width="42%" colSpan=2><FONT face=sans-serif size=2>John W. Gerstmayr, Esq.</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%" colSpan=2>&nbsp; </TD>
     <TD noWrap align=left width="42%" colSpan=2><FONT face=sans-serif size=2>Ropes &amp; Gray LLP</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%" colSpan=2>&nbsp; </TD>
     <TD noWrap align=left width="42%" colSpan=2><FONT face=sans-serif size=2>One International Place</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%" colSpan=2>&nbsp; </TD>
     <TD noWrap align=left width="42%" colSpan=2><FONT face=sans-serif size=2>Boston, Massachusetts 02110</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%" colSpan=2><FONT face=sans-serif size=2>Registrant&#146;s telephone number, including area code:</FONT>&nbsp; </TD>
     <TD noWrap align=left width="12%" background=""><FONT face=sans-serif size=2>(617) 292-1000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="30%"></TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>Date of fiscal year end: September 30, 2007 </FONT></P>
<P align=left><FONT face=sans-serif size=2>Date of reporting period: October 1, 2006&#151; March 31, 2007 </FONT></P>
<P align=left><U><FONT face=sans-serif size=2>Item 1. Report to Stockholders:</FONT></U><FONT face=sans-serif size=2> </FONT></P>
<P align=left><FONT face=sans-serif size=2>The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940: </FONT></P>
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<P align=left><FONT face=serif size=7>What makes Putnam different? </FONT></P>
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<BR>
<P align=left><FONT face=sans-serif size=2>In 1830, Massachusetts Supreme Judicial Court Justice Samuel Putnam established The Prudent Man Rule, a legal foundation for responsible money management.</FONT></P>
<P align=left><FONT face=sans-serif size=2>THE PRUDENT MAN RULE</FONT></P>
<P align=left><FONT face=sans-serif size=2>All that can be required of a trustee to invest is that he shall conduct himself faithfully and exercise a sound discretion. He is to observe how men of prudence, discretion, and intelligence manage their own affairs, not in regard to speculation, but in regard to the permanent disposition of their funds, considering the probable income, as well as the probable safety of the capital to be invested.</FONT></P>
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<P align=left><FONT face=serif>A time-honored tradition </FONT><BR>
<FONT face=serif>in money management</FONT></P>
<P align=left><FONT face=serif size=2>Since 1937, our values have been rooted in a profound sense of responsibility for the money entrusted to us.</FONT></P>
<P align=left><FONT face=serif>A prudent approach to investing</FONT></P>
<P align=left><FONT face=serif size=2>We use a research-driven team approach to seek consistent, dependable, superior investment results over time, although there is no guarantee a fund will meet its objectives.</FONT></P>
<P align=left><FONT face=serif>Funds for every investment goal</FONT></P>
<P align=left><FONT face=serif size=2>We offer a broad range of mutual funds and other financial products so investors and their financial representatives can build diversified portfolios.</FONT></P>
<P align=left><FONT face=serif>A commitment to doing </FONT><BR>
<FONT face=serif>what&#146;s right for investors</FONT></P>
<P align=left><FONT face=serif size=2>We have stringent investor protections and provide a wealth of information about the Putnam funds.</FONT></P>
<P align=left><FONT face=serif>Industry-leading service</FONT></P>
<P align=left><FONT face=serif size=2>We help investors, along with their financial representatives, make informed investment decisions with confidence.</FONT></P>
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<P align=left><FONT face=serif size=7>Putnam Master</FONT><BR>
<FONT face=serif size=7>Intermediate</FONT><BR>
<FONT face=serif size=7>Income Trust</FONT></P>
<P align=left><FONT face=serif size=7>3</FONT><FONT face=serif size=7>| </FONT><FONT face=serif size=7>31</FONT><FONT face=serif size=7>| </FONT><FONT face=serif size=7>07 </FONT><BR>
<I><FONT face=serif size=5>Semiannual Report</FONT></I></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="77%"><FONT face=serif>Message from the Trustees</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%"><FONT face=sans-serif size=2>2</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="77%"><FONT face=serif>About the fund</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%"><FONT face=sans-serif size=2>4</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="77%"><FONT face=serif>Report from the fund managers</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%"><FONT face=sans-serif size=2>7</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="77%"><FONT face=serif>Performance</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%"><FONT face=sans-serif size=2>13</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="77%"><FONT face=serif>Your fund&#146;s management</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%"><FONT face=sans-serif size=2>15</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="77%"><FONT face=serif>Terms and definitions</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%"><FONT face=sans-serif size=2>18</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="77%"><FONT face=serif>Trustee approval of management contract</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%"><FONT face=sans-serif size=2>19</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="77%"><FONT face=serif>Other information for shareholders</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%"><FONT face=sans-serif size=2>25</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="77%"><FONT face=serif>Financial statements</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%"><FONT face=sans-serif size=2>26</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="77%"><FONT face=serif>Shareholder meeting results</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%"><FONT face=sans-serif size=2>76</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><I><FONT face=sans-serif size=1>Cover photograph: &#169; Richard H. Johnson</FONT></I></P>
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<P align=left><I><FONT face=serif size=5>Message from the Trustees</FONT></I></P>
<P align=left><FONT face=serif size=7>Dear Fellow Shareholder</FONT></P>
<P align=left><FONT face=serif>Although the global economy continues to demonstrate healthy growth, it has become evident that certain sectors of the U.S. economy have slowed somewhat. Volatility in the financial markets has been on the rise, reflecting increased uncertainty about the potential impact of problems in the housing market. However, we have also seen indications that inflation is stabilizing and the unemployment rate is declining. We consequently believe the resilience of the U.S. economy will enable it to weather this period of uncertainty.</FONT></P>
<P align=left><FONT face=serif>As you may have heard, on February 1, 2007, Marsh &amp; McLennan Companies, Inc. announced that it had signed a definitive agreement to sell its ownership interest in Putnam Investments Trust, the parent company of Putnam Management and its affiliates, to Great-West Lifeco Inc. Great-West Lifeco is a financial services holding company with operations in Canada, the United States, and Europe and is a member of the Power Financial Corporation group of companies. This transaction is subject to regulatory approvals and other conditions, including the approval of new management contracts by shareholders of a substantial number of Putnam funds at shareholder meetings scheduled for May 15, 2007. We currently expect the transaction to be completed by the middle of 2007.</FONT></P>
<P align=left><FONT face=serif>Putnam&#146;s team of investment and business professionals will continue to be led by Putnam President and Chief Executive Officer Ed Haldeman. Your Trustees have been actively involved through every step of the discussions, and we will continue in our role of overseeing the Putnam funds on your behalf.</FONT></P>
<P align=left><FONT face=sans-serif size=2>2</FONT></P>
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<FONT face="serif">In the following pages, members of your fund&#146;s management team discuss the fund&#146;s performance and strategies for the fiscal period ended March 31, 2007, and provide their outlook for the months ahead. As always, we thank
you for your support of the Putnam funds.</FONT></P>
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<P align=left><B><FONT face=sans-serif size=5>Putnam Master Intermediate Income Trust: seeking <BR>
broad diversification across global bond markets</FONT></B></P>
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<P align=left><FONT face=sans-serif size=2>When Putnam Master Intermediate Income Trust was launched in 1988, its three-pronged focus on U.S. investment-grade bonds, high-yield corporate bonds, and non-U.S. bonds </FONT><FONT face=sans-serif size=2>was considered innovative. Lower-rated, higher-yielding corporate bonds were relatively new, having just been established in the late 1970s. And, at the time of the fund&#146;s launch, few investors were venturing outside the United States for fixed-income opportunities.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The bond investment landscape has undergone a transformation in the nearly two decades since. New sectors like mortgage-and asset-backed securities now make up over one third of the U.S. investment-grade market. The high-yield corporate bond sector has also grown significantly. Outside the United States, the popularity of the euro has </FONT><FONT face=sans-serif size=2>resulted in a large market of European government bonds. There are also growing opportunities to invest in the debt of emerging-market countries.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The fund&#146;s investment perspective has been broadened to keep pace with the market expansion over time. To process the market&#146;s increasing complexity, Putnam&#146;s 100-member fixed-income group aligns teams of specialists with the varied investment opportunities. Each team identifies compelling strategies within its area of expertise. Your fund&#146;s management team selects from among these strategies, striving to systematically build a diversified portfolio that carefully balances risk and return.</FONT></P>
<P align=left><FONT face=sans-serif size=2>We believe the fund&#146;s multi-strategy approach is well suited to the expanding opportunities of today&#146;s global bond marketplace. As different factors drive the performance of the various fixed-income </FONT><FONT face=sans-serif size=2>sectors, the fund&#146;s diversified strategy can take advantage of changing market leadership in pursuit of high current income and relative stability of net asset value.</FONT></P>
<P align=left><I><FONT face=sans-serif size=2>International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Additional risks may be associated with emerging-market securities, including illiquidity and volatility. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk. Funds that invest in bonds are subject to certain risks, including interest-rate risk, credit risk, and inflation risk. As interest rates rise, the prices of bonds fall. Long-term bonds are more exposed to interest-rate risk than short-term bonds. Unlike bonds, bond funds have ongoing fees and expenses. The use of derivatives involves special risks and may result in losses. The fund&#146;s shares trade on a stock exchange at market prices, which may be lower than the fund's net asset value.</FONT></I></P>
<P align=left><FONT face=sans-serif size=4>How do closed-end funds differ from open-end funds?</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>More assets at work </FONT></B><FONT face=sans-serif size=2>While open-end funds need to maintain a cash position to meet redemptions, closed-end funds are not subject to redemptions and can keep more of their assets invested in the market, if appropriate.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Traded like stocks </FONT></B><FONT face=sans-serif size=2>Closed-end fund shares are traded on stock exchanges, and their market prices fluctuate in response to supply and demand, among other factors.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Market price vs. net asset value </FONT></B><FONT face=sans-serif size=2>Like an open-end fund&#146;s net asset value (NAV) per share, the NAV of a closed-end fund share is equal to the current value of the fund&#146;s assets, minus its liabilities, divided by the number of shares outstanding. However, when buying or selling closed-end fund shares, the price you pay or receive is the market price. Market price reflects current market supply and demand and may be higher or lower than the NAV.</FONT></P>
<P align=left><FONT face=sans-serif size=4>Optimizing the risk/return trade-off across multiple sectors</FONT></P>
<P align=left><FONT face=sans-serif size=2>Putnam believes that building a diversified portfolio with multiple income-generating strategies is the best way to pursue your </FONT><FONT face=sans-serif size=2>fund&#146;s objectives. The fund&#146;s portfolio is composed of a broad spectrum of government, credit, and securitized debt instruments.</FONT></P>
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<P align=left><B><FONT face=sans-serif size=4>Putnam Master Intermediate Income Trust </FONT></B><FONT face=sans-serif size=2>seeks high current</FONT></P>
<P align=left><FONT face=sans-serif size=2>income and relative stability of net asset value by investing in investment-grade, high-yield, and non-U.S. fixed-income securities of limited maturity. Fund holdings and sector classifications reflect the diversification of the fixed-income market. The fund is designed for investors seeking high current income, fixed-income diversification, or both.</FONT></P>
<P align=left><B><FONT face=sans-serif>Highlights</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>&#149; </FONT><FONT face=sans-serif size=2>For the six months ended March 31, 2007, Putnam Master Intermediate Income Trust posted total returns of 3.96% at net asset value (NAV) and 9.65% at market price. </FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; </FONT><FONT face=sans-serif size=2>The fund&#146;s benchmark, the Lehman Government/Credit Bond Index, returned 2.52% . <BR>
<BR>
</FONT><FONT face=sans-serif size=2>&#149; </FONT><FONT face=sans-serif size=2>The average return for the fund&#146;s Lipper category, Flexible Income Funds (closed-end), was 4.84% . </FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; </FONT><FONT face=sans-serif size=2>Additional fund performance, comparative performance, and Lipper data can be found in the performance section beginning on page 13.</FONT></P>
<P align=left><B><FONT face=sans-serif>Performance</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>It is important to note that a fund&#146;s performance at market price usually differs from its results at NAV. Although market price performance generally reflects investment results, it may also be influenced by several other factors, including changes in investor perceptions of the fund or its investment manager, market conditions, fluctuations in supply and demand for the fund&#146;s shares, and changes in fund distributions.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Putnam Master Intermediate Income Trust (NYSE ticker: PIM), total return for periods ended 3/31/07</FONT></P>
<P align=left><FONT face=sans-serif size=1>Since the fund&#146;s inception (4/29/88), average annual return is 7.80% at NAV and 6.89% at market price.</FONT></P>
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     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=center width="33%" colSpan=2><FONT face=sans-serif size=1>Average annual return</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%" background=""></TD>
     <TD noWrap align=center width="33%" colSpan=2><FONT face=sans-serif size=1>Cumulative return</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>NAV</FONT>&nbsp; </TD>
     <TD noWrap align=center width="16%"><FONT face=sans-serif size=1>Market price</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%" background=""></TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>NAV</FONT>&nbsp; </TD>
     <TD noWrap align=center width="16%"><FONT face=sans-serif size=1>Market price</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="16%"><FONT face=sans-serif size=1>10 years</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>6.45%</FONT>&nbsp; </TD>
     <TD noWrap align=center width="16%"><FONT face=sans-serif size=1>6.82%</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%" background=""></TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>86.87%</FONT>&nbsp; </TD>
     <TD noWrap align=center width="16%"><FONT face=sans-serif size=1>93.35%</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="16%"><FONT face=sans-serif size=1>5 years</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>8.82</FONT>&nbsp; </TD>
     <TD noWrap align=center width="16%"><FONT face=sans-serif size=1>8.49</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%" background=""></TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>52.59</FONT>&nbsp; </TD>
     <TD noWrap align=center width="16%"><FONT face=sans-serif size=1>50.29</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="16%"><FONT face=sans-serif size=1>3 years</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>5.90</FONT>&nbsp; </TD>
     <TD noWrap align=center width="16%"><FONT face=sans-serif size=1>4.62</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%" background=""></TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>18.77</FONT>&nbsp; </TD>
     <TD noWrap align=center width="16%"><FONT face=sans-serif size=1>14.51</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="16%"><FONT face=sans-serif size=1>1 year</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>8.80</FONT>&nbsp; </TD>
     <TD noWrap align=center width="16%"><FONT face=sans-serif size=1>15.43</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%" background=""></TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>8.80</FONT>&nbsp; </TD>
     <TD noWrap align=center width="16%"><FONT face=sans-serif size=1>15.43</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="16%"><FONT face=sans-serif size=1>6 months</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=center width="16%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%" background=""></TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>3.96</FONT>&nbsp; </TD>
     <TD noWrap align=center width="16%"><FONT face=sans-serif size=1>9.65</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=6>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><I><FONT face=sans-serif size=2>Data is historical. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return, net asset value, and market price will fluctuate, and you may have a gain or a loss when you sell your shares. Performance assumes reinvestment of distributions and does not account for taxes.</FONT></I></P>
<P align=left><FONT face=sans-serif size=2>6</FONT></P>
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<P align=left><I><FONT face=serif size=5>Report from the fund managers</FONT></I></P>
<P align=left><FONT face=serif size=7>The period in review</FONT></P>
<P align=left><FONT face=serif>The six-month period ended March 31, 2007, was favorable for most sectors of the fixed-income market, especially those associated with higher credit risk, such as the emerging-market and high-yield bond sectors. Investor demand for higher yield, combined with the global economy&#146;s ongoing strength, supported higher prices in both of these sectors. Because your fund invests in a variety of fixed-income securities and markets, its results at net asset value (NAV) were ahead of the return of its U.S.-based benchmark index. However, the fund lagged its competitors because it was more defensively positioned, with smaller allocations to high-yield and emerging-market bonds than most other closed-end funds with similar investment objectives. The fund&#146;s relatively defensive posture helped its performance at the end of February, when financial markets reacted unfavorably to volatility in the Chinese stock market and worries over financial problems for sub-prime mortgage lenders
 in the United States. The fund continued to benefit from its holdings in securitized bonds, and our currency strategies had a positive effect on performance over the course of the semiannual period. </FONT></P>
<P align=left><FONT face=serif size=5>Market overview</FONT></P>
<P align=left><FONT face=serif size=2>Over the past six months, the global economy remained strong and inflation, though at the higher end of what has been perceived as an acceptable range, was considered to be under control. This resulted in a generally benign environment for fixed-income investments. While yields of 10-year U.S. Treasury bonds declined only slightly, yields of </FONT><FONT face=serif size=2>high-yield and emerging-market bonds declined dramatically. Furthermore, at the end of February, the &#147;spread,&#148; which is the difference in yield between high-yield bonds and Treasuries of similar maturity, briefly moved to historically low levels. Since prices of fixed-income investments move in the opposite direction from their yields, the</FONT></P>
<P align=left><FONT face=sans-serif size=2>7</FONT></P>
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<P align=left><FONT face=serif size=2>steep decline in yields of high-yield and emerging-market bonds meant these bonds saw substantial price appreciation. Also contributing to these favorable market conditions were improved balance sheets for many high-yield bond issuers, low default rates, investor demand for higher yields, and ample liquidity within the financial marketplace. Despite the shrinking yield advantage for high-yield and emerging-market bonds relative to Treasuries, investors have continued to demonstrate a high level of confidence in both markets. </FONT></P>
<P align=left><FONT face=serif size=2>The rally in bonds was interrupted by two brief sell-offs: The first was in December, when surprisingly strong economic statistics led investors to </FONT><FONT face=serif size=2>conclude that the Federal Reserve (the Fed) would not, as they had hoped, be cutting rates to stimulate growth over the near term. Beginning at its August 2006 meeting, the Fed had decided to pause in raising short-term interest rates, while retaining its stated bias toward hiking rates in the future to restrain inflation. As of March 31, 2007, the federal funds rate &#151; the overnight lending rate that banks charge each other, which guides other short-term rates &#151; remained where it had been since the August 2006 meeting, at 5.25% . The second brief period of volatility came from worries in late February over what actions Chinese officials might take to calm their stock market, and after Wall Street firms</FONT></P>
<P align=left><B><FONT face=sans-serif>Market sector performance</FONT></B><BR>
<BR>
<FONT face=sans-serif size=2>These indexes provide an overview of performance in different market sectors for the </FONT><BR>
<FONT face=sans-serif size=2>six months ended 3/31/07.</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="91%"><FONT face=sans-serif size=1>Bonds</FONT>&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="99%" background="" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="91%"><FONT face=sans-serif size=1>Lehman Government/Credit Bond Index</FONT>&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="91%"><FONT face=sans-serif size=1>(U.S. Treasury and agency securities and corporate bonds)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>2.52%</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="91%"><FONT face=sans-serif size=1>JPMorgan Global Diversified Emerging Markets Bond Index (global emerging-market bonds)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>6.34%</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="91%"><FONT face=sans-serif size=1>Citigroup Non-U.S. World Government Bond Index (international government bonds)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>3.20%</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="91%"><FONT face=sans-serif size=1>JPMorgan Global High Yield Index (global high-yield corporate bonds)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>7.55%</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="91%"><FONT face=sans-serif size=1>Equities</FONT>&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="99%" background="" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="91%"><FONT face=sans-serif size=1>S&amp;P 500 Index (broad stock market)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>7.38%</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="91%"><FONT face=sans-serif size=1>Russell 2000 Growth Index (small-company growth stocks)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>11.46%</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="91%"><FONT face=sans-serif size=1>Russell 2000 Value Index (small-company value stocks)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>10.62%</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>8</FONT></P>
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<P align="left">
<FONT size=2 face="serif">began to clamp down on liquidity for sub-prime lenders following a dramatic increase in default rates among sub-prime mortgage loans.</FONT></P>
<P align="left">
<FONT size=5 face="serif">Strategy overview</FONT></P>
<P align="left">
<FONT size=2 face="serif">Your fund&#146;s managers believe that using multiple income-generating strategies to build a diversified portfolio is the best way to pursue the fund&#146;s objectives. The fund&#146;s portfolio includes a broad spectrum
of securitized, credit, cash (and equivalent) and government debt instruments. Our investment process involves aligning teams of specialists with these varied investment opportunities. Each team identifies what it considers to be the most compelling
strategies within its area of expertise.</FONT></P>
<P align="left">
<FONT size=2 face="serif">We then draw from these strategies, systematically building an array of investments that seeks to carefully balance risk and return. </FONT></P>
<P align="left">
<FONT size=2 face="serif">Though market fundamentals have been generally strong, we have become concerned about a trend of higher valuation levels in the fixed-income market. Reflecting these concerns, we have adopted an increasingly conservative
posture regarding both duration &#151; a measure of the portfolio&#146;s interest-rate sensitivity &#151; and credit risk. (Credit risk is the risk that a bond issuer could default and fail to pay interest and repay principal in a timely manner.)
Despite the Fed&#146;s &#147;on-hold&#148; status, the global trend in monetary policy is toward higher rates. Therefore, we have</FONT></P>
<P align="left">
<B><FONT face="sans-serif">Comparison of top sector weightings</FONT></B><BR>
<BR>
<FONT size=2 face="sans-serif">This chart shows how the fund&#146;s top weightings have changed over the last six months.</FONT><BR>
<FONT size=2 face="sans-serif">Weightings are shown as a percentage of total investment portfolio. Holdings will vary </FONT><BR>
<FONT size=2 face="sans-serif">over time. See pages 4 and 5 for more information about each sector.</FONT></P>
<IMG src="masterinterincx10x1.jpg" border=0>
<BR>
<P align="left">
<FONT size=2 face="sans-serif">9</FONT></P>

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<P align=left><FONT face=serif size=2>kept the fund&#146;s duration short, or less sensitive to rising rates, in order to lessen the portfolio&#146;s vulnerability to the negative impact of potential future rate increases. </FONT></P>
<P align=left><FONT face=serif size=2>Also for defensive purposes, we continued to maintain a higher level of overall credit quality than we have in past years. We accomplished this by keeping the fund&#146;s exposure to high-yield bonds relatively low and maintaining significant exposure to securitized instruments with short maturities. The fund&#146;s positions in international bonds, especially emerging-market debt, further diversified the fund&#146;s sources of return. We have also maintained some exposure to </FONT><FONT face=serif size=2>bank loans. These securities offer floating interest rates that, like an adjustable-rate home mortgage, move in tandem with market rates and can therefore help to provide some protection from interest-rate risk. </FONT></P>
<P align=left><FONT face=serif size=5>Your fund&#146;s holdings</FONT></P>
<P align=left><FONT face=serif size=2>The portfolio&#146;s significant position in </FONT><B><FONT face=serif size=2>securitized bonds</FONT></B><FONT face=serif size=2>, or </FONT><B><FONT face=serif size=2>structured securities</FONT></B><FONT face=serif size=2>, performed well during the six-month period, as interest rates continued to fluctuate within a relatively narrow range. Structured securities currently offer higher income than corporate bonds of comparable credit quality. They also carry short maturities, providing us with the flexibility to shift</FONT></P>
<P align=left><B><FONT face=sans-serif>Top holdings</FONT></B><BR>
<BR>
<FONT face=sans-serif size=2>This table shows the fund&#146;s top holdings, and the percentage of the fund&#146;s net assets that each</FONT><BR>
<FONT face=sans-serif size=2>represented, as of 3/31/07. The fund&#146;s holdings will change over time.</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="88%"><FONT face=sans-serif size=1>Holding (percent of fund's net assets)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>Coupon (%) and maturity date</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="88%"><FONT face=sans-serif size=1>Securitized sector</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="88%"><FONT face=sans-serif size=1>Federal National Mortgage Association</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="88%"><FONT face=sans-serif size=1>pass-through certificates TBA </FONT><FONT face=sans-serif size=1>(6.1%)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>5.5%, 2037</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="88%"><FONT face=sans-serif size=1>Federal National Mortgage Association</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="88%"><FONT face=sans-serif size=1>pass-through certificates TBA </FONT><FONT face=sans-serif size=1>(6.1%)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>5.5%, 2037</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=2>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="88%"><FONT face=sans-serif size=1>Federal National Mortgage Association</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="88%"><FONT face=sans-serif size=1>pass-through certificates TBA </FONT><FONT face=sans-serif size=1>(1.3%)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>6.0%, 2021</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="88%"><FONT face=sans-serif size=1>Credit sector</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="88%"><FONT face=sans-serif size=1>Pemex Project Funding Master Trust company guaranty </FONT><FONT face=sans-serif size=1>(0.9%)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>5.75%, 2015</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="88%"><FONT face=sans-serif size=1>VTB Capital SA 144A notes (Luxembourg) </FONT><FONT face=sans-serif size=1>(0.5%)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>7.5%, 2011</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="88%"><FONT face=sans-serif size=1>Freeport-McMoRan Copper &amp; Gold, Inc </FONT><FONT face=sans-serif size=1>(0.5%)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>7.11%, 2014</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="88%"><FONT face=sans-serif size=1>Government sector</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="88%"><FONT face=sans-serif size=1>U.S. Treasury Notes </FONT><FONT face=sans-serif size=1>(5.7%)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>4.25%, 2013</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="88%"><FONT face=sans-serif size=1>U.S. Treasury Notes </FONT><FONT face=sans-serif size=1>(4.1%)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>3.25%, 2008</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="88%"><FONT face=sans-serif size=1>Ireland (Republic of) bonds </FONT><FONT face=sans-serif size=1>(1.6%)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>5%, 2013</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>10</FONT></P>
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<P align=left><FONT face=serif size=2>to other fixed-income securities should interest rates rise. The most common types of structured securities are </FONT><B><FONT face=serif size=2>mortgage-backed securities (MBSs) </FONT></B><FONT face=serif size=2>issued by the </FONT><B><FONT face=serif size=2>Federal National Mortgage Association (Fannie Mae) </FONT></B><FONT face=serif size=2>and the </FONT><B><FONT face=serif size=2>Government National Mortgage Association (Ginnie Mae). </FONT></B><FONT face=serif size=2>Other types include </FONT><B><FONT face=serif size=2>asset-backed securities (ABSs)</FONT></B><FONT face=serif size=2>, which are typically backed by car loans and credit card payments, and </FONT><B><FONT face=serif size=2>commercial mortgage-backed securities (CMBSs)</FONT></B><FONT face=serif size=2>, which are backed by loans on large commercial real estate projects, such as office parks or shopping malls. As part of our defensive posture, we have increased credit quality within the structured 
securities portion of the portfolio.</FONT></P>
<P align=left><FONT face=serif size=2>Our country selection in the area of </FONT><B><FONT face=serif size=2>European government bonds </FONT></B><FONT face=serif size=2>also contributed positively to performance. The portfolio had limited exposure to bonds from </FONT><B><FONT face=serif size=2>Portugal </FONT></B><FONT face=serif size=2>and </FONT><B><FONT face=serif size=2>Greece, </FONT></B><FONT face=serif size=2>countries that have been experiencing higher inflation and large deficits. In contrast, we emphasized issues from </FONT><B><FONT face=serif size=2>France </FONT></B><FONT face=serif size=2>and </FONT><B><FONT face=serif size=2>Germany, </FONT></B><FONT face=serif size=2>countries with tight fiscal management, whose securities appear to offer better relative value. </FONT></P>
<P align=left><FONT face=serif size=2>While we have gradually reduced the fund&#146;s weighting in </FONT><B><FONT face=serif size=2>emerging-market securities </FONT></B><FONT face=serif size=2>over the past three years, holdings in this area nevertheless helped performance for the period. In light of the current environment of significantly higher commodity prices, we emphasized bonds from </FONT><B><FONT face=serif size=2>Russia </FONT></B><FONT face=serif size=2>and </FONT><B><FONT face=serif size=2>Peru</FONT></B><FONT face=serif size=2>, which have high levels of commodity </FONT><FONT face=serif size=2>exports. The fund&#146;s moderate market exposure to </FONT><B><FONT face=serif size=2>Hungary </FONT></B><FONT face=serif size=2>detracted from relative performance even though the securities that made up our position were sold at a profit. </FONT></P>
<P align=left><FONT face=serif size=2>The fund&#146;s position in </FONT><B><FONT face=serif size=2>senior-secured bank loans </FONT></B><FONT face=serif size=2>contributed positively to performance, although we have reduced the size of the position as valuations have risen in this sector. These floating-rate bank loans are issued by banks to corporations. The interest these loans pay adjusts to reflect changes in short-term interest rates. Also, their senior-secured status means that they are backed by the assets of each issuing company, such as buildings and equipment. Although the floating-rate feature of these securities does not eliminate interest-rate or inflation risk, floating-rate bank loans can help an income-oriented portfolio weather the ups and downs of a full interest-rate cycle. </FONT></P>
<P align=left><I><FONT face=sans-serif size=2>Please note that the holdings discussed in this report may not have been held by the fund for the entire period. Portfolio composition is subject to review in accordance with the fund&#146;s investment strategy and may vary in the future.</FONT></I></P>
<P align=left><FONT face=sans-serif size=2>11</FONT></P>
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<P align="left">
<B><FONT face="sans-serif">The outlook for your fund</FONT></B></P>
<P align="left">
<FONT size=2 face="sans-serif">The following commentary reflects anticipated developments that could affect your fund over the next six months, as well as your management team&#146;s plans for responding to them.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">With U.S. economic growth remaining reasonably strong, and inflation staying within bounds for the moment, we believe that the Fed will keep short-term interest rates stable for the remainder of this year, despite some
predictions from market watchers that a faltering housing market and high commodity prices will force the Fed to cut rates during 2007. However, Europe has been a surprisingly strong growth engine for the global economy over the past year, and we
think that the European Central Bank (ECB) will be aggressive with its rate moves in order to keep inflation there under control. Eventually, upward rate moves by the ECB and the Japanese central bank could force the Fed to raise rates in the United
States. The Treasury yield curve, a graphical representation of interest-rate levels across the maturity spectrum, has become more positively sloped recently, meaning that longer-term rates are beginning to trend upward on concerns that inflationary
pressures may be building. With these factors in mind, we are increasing our efforts to position the fund defensively with regard to both duration and credit. Going forward, we will remain vigilant regarding any possible disruptions to the global
economy and fixed-income markets, and intend to continue our efforts to diversify the portfolio across a broad range of fixed-income sectors and securities. </FONT></P>
<P align="left">
<I><FONT size=2 face="sans-serif">The views expressed in this report are exclusively those of Putnam Management. They are not meant as investment advice. </FONT></I></P>
<P align="left">
<I><FONT size=2 face="sans-serif">International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Additional risks may be associated with emerging-market securities, including
illiquidity and volatility. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk. Funds that invest in bonds are
subject to certain risks, including interest-rate risk, credit risk, and inflation risk. As interest rates rise, the prices of bonds fall. Long-term bonds are more exposed to interest-rate risk than short-term bonds. Unlike bonds, bond funds have
ongoing fees and expenses. The use of derivatives involves special risks and may result in losses. The fund&#146;s shares trade on a stock exchange at market prices, which may be lower than the fund's net asset value.</FONT></I></P>
<P align="left">
<FONT size=2 face="sans-serif">12</FONT></P>

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<P align=left><B><FONT face=sans-serif size=4>Your fund&#146;s performance</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>This section shows your fund&#146;s performance for periods ended March 31, 2007, the end of the first half of its current fiscal year. Performance should always be considered in light of a fund&#146;s investment strategy. Data represents past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return, net asset value, and market price will fluctuate, and you may have a gain or a loss when you sell your shares.</FONT></P>
<P align=left><B><FONT face=sans-serif>Fund performance</FONT></B><BR>
<BR>
<FONT face=sans-serif size=2>Total return for periods ended 3/31/07</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=center width="33%"><FONT face=sans-serif size=1>NAV</FONT>&nbsp; </TD>
     <TD noWrap align=center width="33%"><FONT face=sans-serif size=1>Market price</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="33%"><FONT face=sans-serif size=1>Annual average</FONT>&nbsp; </TD>
     <TD noWrap align=center width="33%">&nbsp; </TD>
     <TD noWrap align=center width="33%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="33%"><FONT face=sans-serif size=1>Life of fund (since 4/29/88)</FONT>&nbsp; </TD>
     <TD noWrap align=center width="33%"><FONT face=sans-serif size=1>7.80%</FONT>&nbsp; </TD>
     <TD noWrap align=center width="33%"><FONT face=sans-serif size=1>6.89%</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="33%"><FONT face=sans-serif size=1>10 years</FONT>&nbsp; </TD>
     <TD noWrap align=center width="33%"><FONT face=sans-serif size=1>86.87</FONT>&nbsp; </TD>
     <TD noWrap align=center width="33%"><FONT face=sans-serif size=1>93.35</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="33%"><FONT face=sans-serif size=1>Annual average</FONT>&nbsp; </TD>
     <TD noWrap align=center width="33%"><FONT face=sans-serif size=1>6.45</FONT>&nbsp; </TD>
     <TD noWrap align=center width="33%"><FONT face=sans-serif size=1>6.82</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="33%"><FONT face=sans-serif size=1>5 years</FONT>&nbsp; </TD>
     <TD noWrap align=center width="33%"><FONT face=sans-serif size=1>52.59</FONT>&nbsp; </TD>
     <TD noWrap align=center width="33%"><FONT face=sans-serif size=1>50.29</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="33%"><FONT face=sans-serif size=1>Annual average</FONT>&nbsp; </TD>
     <TD noWrap align=center width="33%"><FONT face=sans-serif size=1>8.82</FONT>&nbsp; </TD>
     <TD noWrap align=center width="33%"><FONT face=sans-serif size=1>8.49</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="33%"><FONT face=sans-serif size=1>3 years</FONT>&nbsp; </TD>
     <TD noWrap align=center width="33%"><FONT face=sans-serif size=1>18.77</FONT>&nbsp; </TD>
     <TD noWrap align=center width="33%"><FONT face=sans-serif size=1>14.51</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="33%"><FONT face=sans-serif size=1>Annual average</FONT>&nbsp; </TD>
     <TD noWrap align=center width="33%"><FONT face=sans-serif size=1>5.90</FONT>&nbsp; </TD>
     <TD noWrap align=center width="33%"><FONT face=sans-serif size=1>4.62</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="33%"><FONT face=sans-serif size=1>1 year</FONT>&nbsp; </TD>
     <TD noWrap align=center width="33%"><FONT face=sans-serif size=1>8.80</FONT>&nbsp; </TD>
     <TD noWrap align=center width="33%"><FONT face=sans-serif size=1>15.43</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="33%"><FONT face=sans-serif size=1>6 months</FONT>&nbsp; </TD>
     <TD noWrap align=center width="33%"><FONT face=sans-serif size=1>3.96</FONT>&nbsp; </TD>
     <TD noWrap align=center width="33%"><FONT face=sans-serif size=1>9.65</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><I><FONT face=sans-serif size=1>Performance assumes reinvestment of distributions and does not account for taxes.</FONT></I></P>
<P align=left><FONT face=sans-serif size=2>13</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<P align=left><B><FONT face=sans-serif>Comparative index returns</FONT></B><BR>
<BR>
<FONT face=sans-serif size=2>For periods ended 3/31/07</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="30%">&nbsp; </TD>
     <TD noWrap align=center width="20%"><FONT face=sans-serif size=1>Lehman</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>Citigroup Non-</FONT>&nbsp; </TD>
     <TD noWrap align=center width="14%">&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>Lipper Flexible</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="30%">&nbsp; </TD>
     <TD noWrap align=center width="20%"><FONT face=sans-serif size=1>Government/</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>U.S. World</FONT>&nbsp; </TD>
     <TD noWrap align=center width="14%"><FONT face=sans-serif size=1>JPMorgan</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>Income Funds</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="30%">&nbsp; </TD>
     <TD noWrap align=center width="20%"><FONT face=sans-serif size=1>Credit Bond</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>Government</FONT>&nbsp; </TD>
     <TD noWrap align=center width="14%"><FONT face=sans-serif size=1>Global High</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>(closed-end)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="30%">&nbsp; </TD>
     <TD noWrap align=center width="20%"><FONT face=sans-serif size=1>Index</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>Bond Index</FONT>&nbsp; </TD>
     <TD noWrap align=center width="14%"><FONT face=sans-serif size=1>Yield Index</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>category average&#134;</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="30%"><FONT face=sans-serif size=1>Annual average</FONT>&nbsp; </TD>
     <TD noWrap align=center width="20%">&nbsp; </TD>
     <TD noWrap align=center width="17%">&nbsp; </TD>
     <TD noWrap align=center width="14%">&nbsp; </TD>
     <TD noWrap align=center width="17%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="30%"><FONT face=sans-serif size=1>(Life of fund, since 4/29/88)</FONT>&nbsp; </TD>
     <TD noWrap align=center width="20%"><FONT face=sans-serif size=1>&nbsp; &nbsp;7.53%</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>&nbsp; 6.59%</FONT>&nbsp; </TD>
     <TD noWrap align=center width="14%"><FONT face=sans-serif size=1>&nbsp;&nbsp; &nbsp;&#151;*</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>&nbsp;&nbsp;&nbsp; 7.53%</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="30%"><FONT face=sans-serif size=1>10 years</FONT>&nbsp; </TD>
     <TD noWrap align=center width="20%"><FONT face=sans-serif size=1>87.87</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>69.82</FONT>&nbsp; </TD>
     <TD noWrap align=center width="14%"><FONT face=sans-serif size=1>&nbsp; 98.69%</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>75.08</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="30%"><FONT face=sans-serif size=1>Annual average</FONT>&nbsp; </TD>
     <TD noWrap align=center width="20%"><FONT face=sans-serif size=1>6.51</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>5.44</FONT>&nbsp; </TD>
     <TD noWrap align=center width="14%"><FONT face=sans-serif size=1>7.11</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>5.69</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="30%"><FONT face=sans-serif size=1>5 years</FONT>&nbsp; </TD>
     <TD noWrap align=center width="20%"><FONT face=sans-serif size=1>31.18</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>62.16</FONT>&nbsp; </TD>
     <TD noWrap align=center width="14%"><FONT face=sans-serif size=1>68.19</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>53.00</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="30%"><FONT face=sans-serif size=1>Annual average</FONT>&nbsp; </TD>
     <TD noWrap align=center width="20%"><FONT face=sans-serif size=1>5.58</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>10.15</FONT>&nbsp; </TD>
     <TD noWrap align=center width="14%"><FONT face=sans-serif size=1>10.96</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>8.73</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="30%"><FONT face=sans-serif size=1>3 years</FONT>&nbsp; </TD>
     <TD noWrap align=center width="20%"><FONT face=sans-serif size=1>8.96</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>8.37</FONT>&nbsp; </TD>
     <TD noWrap align=center width="14%"><FONT face=sans-serif size=1>28.55</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>20.52</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="30%"><FONT face=sans-serif size=1>Annual average</FONT>&nbsp; </TD>
     <TD noWrap align=center width="20%"><FONT face=sans-serif size=1>2.90</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>2.71</FONT>&nbsp; </TD>
     <TD noWrap align=center width="14%"><FONT face=sans-serif size=1>8.73</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>6.38</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="30%"><FONT face=sans-serif size=1>1 year</FONT>&nbsp; </TD>
     <TD noWrap align=center width="20%"><FONT face=sans-serif size=1>6.38</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>8.31</FONT>&nbsp; </TD>
     <TD noWrap align=center width="14%"><FONT face=sans-serif size=1>11.71</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>8.83</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="30%"><FONT face=sans-serif size=1>6 months</FONT>&nbsp; </TD>
     <TD noWrap align=center width="20%"><FONT face=sans-serif size=1>2.52</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>3.20</FONT>&nbsp; </TD>
     <TD noWrap align=center width="14%"><FONT face=sans-serif size=1>7.55</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=1>4.84</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><I><FONT face=sans-serif size=1>Index and Lipper results should be compared to fund performance at net asset value. Lipper calculations for reinvested dividends may differ from actual performance.</FONT></I></P>
<P align=left><I><FONT face=sans-serif size=1>* The inception date of the JPMorgan Global High Yield Index was 12/31/93.</FONT></I></P>
<P align=left><I><FONT face=sans-serif size=1>&#134; Over the 6-month and 1-, 3-, 5-, 10-year, and life-of-fund periods ended 3/31/07, there were 8, 7, 7, 7, 7, and 3 funds, respectively, in this Lipper category.</FONT></I></P>
<P align=left><B><FONT face=sans-serif>Fund price and distribution information</FONT></B><BR>
<BR>
<FONT face=sans-serif size=2>For the six-month period ended 3/31/07</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="76%"><FONT face=sans-serif size=1>Distributions*</FONT>&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="76%"><FONT face=sans-serif size=1>Number</FONT>&nbsp; </TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=1>6</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="76%"><FONT face=sans-serif size=1>Income</FONT>&nbsp; </TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=1>$0.180</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="76%"><FONT face=sans-serif size=1>Capital gains</FONT>&nbsp; </TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="76%"><FONT face=sans-serif size=1>Total</FONT>&nbsp; </TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=1>$0.180</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp;</TD></TR>
<TR>
     <TD width="97%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="76%"><FONT face=sans-serif size=1>Share value:</FONT>&nbsp; </TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=1>NAV</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>Market price</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="97%" background="" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="76%"><FONT face=sans-serif size=1>9/30/06</FONT>&nbsp; </TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=1>$7.08</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>$6.15</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="76%"><FONT face=sans-serif size=1>3/31/07</FONT>&nbsp; </TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=1>7.16</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>6.56</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="76%"><FONT face=sans-serif size=1>Current yield (end of period)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="97%" background="" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="76%"><FONT face=sans-serif size=1>Current dividend rate</FONT><SUP><FONT face=sans-serif size=1>1</FONT></SUP>&nbsp; </TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=1>5.03%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>5.49%</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><I><FONT face=sans-serif size=1>* Dividend sources are estimated and may vary based on final tax calculations after the fund&#146;s fiscal year-end.</FONT></I></P>
<P align=left><I><FONT face=sans-serif size=1>1 </FONT></I><I><FONT face=sans-serif size=1>Most recent distribution, excluding capital gains, annualized and divided by NAV or market price at end of period.</FONT></I></P>
<P align=left><FONT face=sans-serif size=2>14</FONT></P>
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<P align=left><B><FONT face=sans-serif size=4>Your fund&#146;s management</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>Your fund is managed by the members of the Putnam Core Fixed-Income and Core Fixed-Income High Yield teams. D. William Kohli is the Portfolio Leader. Rob Bloemker, Jeffrey Kaufman, Kevin Murphy, and Paul Scanlon are Portfolio Members of the fund. The Portfolio Leader and Portfolio Members coordinate the team&#146;s management of the fund. </FONT></P>
<P align=left><FONT face=sans-serif size=2>For a complete listing of the members of the Putnam Core Fixed-Income and Core Fixed-Income High-Yield teams, including those who are not Portfolio Leaders or Portfolio Members of your fund, visit Putnam&#146;s Individual Investor Web site at www.putnam.com. </FONT></P>
<P align=left><B><FONT face=sans-serif>Investment team fund ownership</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>The table below shows how much the fund&#146;s current Portfolio Leader and Portfolio Members have invested in the fund and in all Putnam mutual funds (in dollar ranges). Information shown is as of March 31, 2007, and March 31, 2006. </FONT></P>
<IMG src="masterinterincx16x1.jpg" border=0>
<BR>
<P align=left><I><FONT face=sans-serif size=1>N/A indicates the individual was not a Portfolio Leader or Portfolio Member as of 3/31/06.</FONT></I></P>
<P align=left><B><FONT face=sans-serif>Trustee and Putnam employee fund ownership</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>As of March 31, 2007, all of the Trustees of the Putnam funds owned fund shares. The table below shows the approximate value of investments in the fund and all Putnam funds as of that date by the Trustees and Putnam employees. These amounts include investments by the Trustees&#146; and employees&#146; immediate family members and investments through retirement and deferred compensation plans.</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=left width="33%"><FONT face=sans-serif size=2>Total assets in</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=left width="33%"><FONT face=sans-serif size=2>Assets in the fund</FONT>&nbsp; </TD>
     <TD noWrap align=left width="33%"><FONT face=sans-serif size=2>all Putnam funds</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="99%" background="" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="33%"><FONT face=sans-serif size=1>Trustees</FONT>&nbsp; </TD>
     <TD noWrap align=left width="33%"><FONT face=sans-serif size=1>$33,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="33%"><FONT face=sans-serif size=1>$ 98,000,000</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="33%"><FONT face=sans-serif size=1>Putnam employees</FONT>&nbsp; </TD>
     <TD noWrap align=left width="33%"><FONT face=sans-serif size=1>$ 7,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="33%"><FONT face=sans-serif size=1>$458,000,000</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>15</FONT></P>
<HR align=center width="100%" noShade SIZE=2>


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<P align="left">
<B><FONT face="sans-serif">Fund manager compensation</FONT></B></P>
<P align="left">
<FONT size=2 face="sans-serif">The total 2006 fund manager compensation that is attributable to your fund is approximately &#36;500,000. This amount includes a portion of 2006 compensation paid by Putnam Management to the fund managers listed in
this section for their portfolio management responsibilities, calculated based on the fund assets they manage taken as a percentage of the total assets they manage. The compensation amount also includes a portion of the 2006 compensation paid to the
Chief Investment Officer of the team and the Group Chief Investment Officer of the fund&#146;s broader investment category for their oversight responsibilities, calculated based on the fund assets they oversee taken as a percentage of the total
assets they oversee. This amount does not include compensation of other personnel involved in research, trading, administration, systems, compliance, or fund operations; nor does it include non-compensation costs. These percentages are determined as
of the fund&#146;s fiscal period-end. For personnel who joined Putnam Management during or after 2006, the calculation reflects annualized 2006 compensation or an estimate of 2007 compensation, as applicable. </FONT></P>
<P align="left">
<B><FONT face="sans-serif">Other Putnam funds managed by the Portfolio Leader and Portfolio Members </FONT></B></P>
<P align="left">
<FONT size=2 face="sans-serif">D. William Kohli is also a Portfolio Leader of Putnam Diversified Income Trust and Putnam Premier Income Trust, and a Portfolio Member of Putnam Global Income Trust.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">Rob Bloemker is also a Portfolio Member of Putnam American Government Income Fund, Putnam Diversified Income Trust, Putnam Income Fund, Putnam Limited Duration Government Income Fund, Putnam Premier Income Trust, and
Putnam U.S. Government Income Trust. Jeffrey Kaufman is also a Portfolio Member of Putnam Diversified Income Trust and Putnam Premier Income Trust.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">Kevin Murphy is also a Portfolio Member of Putnam Diversified Income Trust, Putnam Income Fund, Putnam Premier Income Trust, and Putnam Utilities Growth and Income Fund.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">Paul Scanlon is also a Portfolio Leader of Putnam Floating Rate Income Fund, Putnam High Yield Advantage Fund, and Putnam High Yield Trust. He is also a Portfolio Member of Putnam Diversified Income Trust and Putnam
Premier Income Trust.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">D. William Kohli, Rob Bloemker, Jeffrey Kaufman, Kevin Murphy, and Paul Scanlon may also manage other accounts and variable trust funds advised by Putnam Management or an affiliate.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">16</FONT></P>

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


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<A name="page_18"></A>
<P align=left><B><FONT face=sans-serif>Changes in your fund&#146;s Portfolio Leader and Portfolio Members</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>During the year ended March 31, 2007, Kevin Murphy became a Portfolio Member of your fund and Portfolio Member David Waldman left your fund&#146;s management team. Kevin Murphy joined the fund in March 2007. Since 1999, he has been employed by Putnam Management, currently as a Team Leader, High Grade Credit, and previously as an Investment Strategist.</FONT></P>
<P align=left><B><FONT face=sans-serif>Putnam fund ownership by Putnam&#146;s Executive Board</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>The table below shows how much the members of Putnam&#146;s Executive Board have invested in all Putnam mutual funds (in dollar ranges). Information shown is as of March 31, 2007, and March 31, 2006. </FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
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     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
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     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>$1 &#150;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>$10,001 &#150;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>$50,001 &#150;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>$100,001 &#150;</FONT>&nbsp; </TD>
     <TD noWrap align=center width="10%" background=""><FONT face=Arial size=1>$500,001 &#150; </FONT></TD>
     <TD noWrap align=center width="10%"><FONT face=sans-serif size=1>$1,000,001</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="10%">&nbsp; </TD>
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     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>Year </FONT></TD>
     <TD noWrap align=left width="10%" background=""><FONT face=Arial size=1>$0</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>$10,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>$50,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>$100,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>$500,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="10%" background=""><FONT face=Arial size=1>$1,000,000</FONT></TD>
     <TD noWrap align=center width="10%"><FONT face=sans-serif size=1>&nbsp;and over</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>Philippe Bibi</FONT>&nbsp; </TD>
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     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>2007</FONT>&nbsp; </TD>
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     <TD noWrap align=center width="10%"><FONT face=sans-serif>&#149;</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="30%" colSpan=3></TD>
     <TD width="70%" background="" colSpan=7>
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<TR vAlign=bottom>
     <TD noWrap align=left width="10%"><I><FONT face=sans-serif size=1>Chief Technology Officer</FONT></I>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>2006</FONT>&nbsp; </TD>
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     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>Joshua Brooks</FONT>&nbsp; </TD>
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     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>2007</FONT>&nbsp; </TD>
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     <TD noWrap align=center width="10%"><FONT face=sans-serif>&#149;</FONT>&nbsp; </TD></TR>
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     <TD width="30%" colSpan=3></TD>
     <TD width="70%" background="" colSpan=7>
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     <TD noWrap align=left width="10%"><I><FONT face=sans-serif size=1>Deputy Head of Investments</FONT></I>&nbsp; </TD>
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     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>2006</FONT>&nbsp; </TD>
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     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>William Connolly</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>2007</FONT>&nbsp; </TD>
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     <TD width="30%" colSpan=3></TD>
     <TD width="70%" background="" colSpan=7>
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     <TD noWrap align=left width="10%"><I><FONT face=sans-serif size=1>Head of Retail Management</FONT></I>&nbsp; </TD>
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     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>2006</FONT>&nbsp; </TD>
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     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>Kevin Cronin</FONT>&nbsp; </TD>
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     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>2007</FONT>&nbsp; </TD>
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     <TD noWrap align=left width="10%"><I><FONT face=sans-serif size=1>Head of Investments</FONT></I>&nbsp; </TD>
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     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>2006</FONT>&nbsp; </TD>
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     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>Charles Haldeman, Jr.</FONT>&nbsp; </TD>
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     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>2007</FONT>&nbsp; </TD>
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     <TD width="30%" colSpan=3></TD>
     <TD width="70%" background="" colSpan=7>
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     <TD noWrap align=left width="10%"><I><FONT face=sans-serif size=1>President and CEO</FONT></I>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>2006</FONT>&nbsp; </TD>
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     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>Amrit Kanwal</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>2007</FONT>&nbsp; </TD>
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     <TD width="70%" background="" colSpan=7>
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     <TD noWrap align=left width="10%"><I><FONT face=sans-serif size=1>Chief Financial Officer</FONT></I>&nbsp; </TD>
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     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>2006</FONT>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>Steven Krichmar</FONT>&nbsp; </TD>
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     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>2007</FONT>&nbsp; </TD>
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     <TD noWrap align=center width="10%"><FONT face=sans-serif>&#149;</FONT>&nbsp; </TD></TR>
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     <TD width="30%" colSpan=3></TD>
     <TD width="70%" background="" colSpan=7>
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<TR vAlign=bottom>
     <TD noWrap align=left width="10%"><I><FONT face=sans-serif size=1>Chief of Operations</FONT></I>&nbsp; </TD>
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     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>2006</FONT>&nbsp; </TD>
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     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>Francis McNamara, III</FONT>&nbsp; </TD>
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     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>2007</FONT>&nbsp; </TD>
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     <TD noWrap align=center width="10%" background=""></TD>
     <TD noWrap align=center width="10%"><FONT face=sans-serif>&#149;</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="30%" colSpan=3></TD>
     <TD width="70%" background="" colSpan=7>
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<TR vAlign=bottom>
     <TD noWrap align=left width="10%"><I><FONT face=sans-serif size=1>General Counsel</FONT></I>&nbsp; </TD>
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     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>2006</FONT>&nbsp; </TD>
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     <TD noWrap align=center width="10%"><FONT face=sans-serif>&#149;</FONT>&nbsp; </TD></TR>
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     <TD width="100%" colSpan=10>
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<TR vAlign=bottom>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>Jeffrey Peters</FONT>&nbsp; </TD>
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     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>2007</FONT>&nbsp; </TD>
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     <TD noWrap align=center width="10%"><FONT face=sans-serif>&#149;</FONT>&nbsp; </TD></TR>
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     <TD width="30%" colSpan=3></TD>
     <TD width="70%" background="" colSpan=7>
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<TR vAlign=bottom>
     <TD noWrap align=left width="10%"><I><FONT face=sans-serif size=1>Head of International Business</FONT></I>&nbsp; </TD>
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     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>N/A</FONT>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>Richard Robie, III</FONT>&nbsp; </TD>
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     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>2007</FONT>&nbsp; </TD>
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     <TD noWrap align=center width="10%" background=""><FONT face=Arial>&#149;</FONT>&nbsp;</TD>
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     <TD width="30%" colSpan=3></TD>
     <TD width="70%" background="" colSpan=7>
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<TR vAlign=bottom>
     <TD noWrap align=left width="10%"><I><FONT face=sans-serif size=1>Chief Administrative Officer</FONT></I>&nbsp; </TD>
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     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>2006</FONT>&nbsp; </TD>
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     <TD noWrap align=center width="10%" background=""><FONT face=Arial>&#149;</FONT>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>Edward Shadek</FONT>&nbsp; </TD>
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     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>2007</FONT>&nbsp; </TD>
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     <TD width="30%" colSpan=3></TD>
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<TR vAlign=bottom>
     <TD noWrap align=left width="10%"><I><FONT face=sans-serif size=1>Deputy Head of Investments</FONT></I>&nbsp; </TD>
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     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>2006</FONT>&nbsp; </TD>
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     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>Sandra Whiston</FONT>&nbsp; </TD>
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     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>2007</FONT>&nbsp; </TD>
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     <TD width="30%" colSpan=3></TD>
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     <TD noWrap align=left width="10%"><I><FONT face=sans-serif size=1>Head of Institutional Management</FONT></I>&nbsp; </TD>
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     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>2006</FONT>&nbsp; </TD>
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</TD></TR></TABLE><BR>
<P align=left><I><FONT face=sans-serif size=1>N/A indicates the individual was not a member of Putnam&#146;s Executive Board as of 3/31/06.</FONT></I></P>
<P align=left><FONT face=sans-serif size=2>17</FONT></P>
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<P align=left><B><FONT face=sans-serif size=4>Terms and definitions</FONT></B></P>
<P align=left><B><FONT face=sans-serif>Important terms</FONT></B></P>
<P align=left><FONT face=sans-serif size=2><B>Total return</B></FONT> <FONT face=sans-serif size=2>shows how the value of the fund&#146;s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>Net asset value (NAV)</B></FONT> <FONT face=sans-serif size=2>is the value of all your fund&#146;s assets, minus any liabilities, divided by the number of outstanding shares.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>Market price</B></FONT> <FONT face=sans-serif size=2>is the current trading price of one share of the fund. Market prices are set by transactions between buyers and sellers on exchanges such as the New York Stock Exchange and the American Stock Exchange.</FONT></P>
<P align=left><B><FONT face=sans-serif>Comparative indexes</FONT></B></P>
<P align=left><FONT face=sans-serif size=2><B>Citigroup Non-U.S. World Government Bond Index</B></FONT> <FONT face=sans-serif size=2>is an unmanaged index of international investment-grade fixed-income securities, excluding the United States.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>JPMorgan Global Diversified Emerging Markets Bond Index</B></FONT> <FONT face=sans-serif size=2>is an unmanaged index of global emerging-market fixed-income securities.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>JPMorgan Global High Yield Index</B></FONT> <FONT face=sans-serif size=2>is an unmanaged index of global high-yield fixed-income securities.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>Lehman Government/Credit Bond Index</B></FONT> <FONT face=sans-serif size=2>is an unmanaged index of U.S. Treasuries, agency securities, and investment-grade corporate bonds.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>Russell 2000 Growth Index</B></FONT> <FONT face=sans-serif size=2>is an unmanaged index of those companies in the small-cap Russell 2000 Index chosen for their growth orientation.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>Russell 2000 Value Index</B></FONT> <FONT face=sans-serif size=2>is an unmanaged index of those companies in the small-cap Russell 2000 Index chosen for their value orientation.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>S&amp;P 500 Index</B></FONT> <FONT face=sans-serif size=2>is an unmanaged index of common stock performance.</FONT></P>
<P align=left><I><FONT face=sans-serif size=1>Indexes assume reinvestment of all distributions and do not account for fees. Securities and performance of a fund and an index will differ. You cannot invest directly in an index.</FONT></I></P>
<P align=left><FONT face=sans-serif size=2>Lipper</FONT> <FONT face=sans-serif size=2>is a third-party industry-ranking entity that ranks mutual funds. Its rankings do not reflect sales charges. Lipper rankings are based on total return at net asset value relative to other funds that have similar current investment styles or objectives as determined by Lipper. Lipper may change a fund&#146;s category assignment at its discretion. Lipper category averages reflect performance trends for funds within a category.</FONT></P>
<P align=left><FONT face=sans-serif size=2>18</FONT></P>
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<P align=left><B><FONT face=sans-serif size=4>Trustee approval of </FONT></B><BR>
<B><FONT face=sans-serif size=4>management contract</FONT></B></P>
<P align=left><B><FONT face=sans-serif>General conclusions</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>The Board of Trustees of the Putnam funds oversees the management of each fund and, as required by law, determines annually whether to approve the continuance of your fund&#146;s management contract with Putnam Management and the sub-management contract between Putnam Management&#146;s affiliate, Putnam Investments Limited (&#147;PIL&#148;), and Putnam Management. In this regard, the Board of Trustees, with the assistance of its Contract Committee consisting solely of Trustees who are not &#147;interested persons&#148; (as such term is defined in the Investment Company Act of 1940, as amended) of the Putnam funds (the &#147;Independent Trustees&#148;), requests and evaluates all information it deems reasonably necessary under the circumstances. Over the course of several months ending in June 2006, the Contract Committee met four times to consider the information provided by Putnam Management and other information developed with the assistance of the Board&#146;s in
dependent counsel and independent staff. The Contract Committee reviewed and discussed key aspects of this information with all of the Independent Trustees. Upon completion of this review, the Contract Committee recommended, and the Independent Trustees approved, the continuance of your fund&#146;s management contract and sub-management contract, effective July 1, 2006. (Because PIL is an affiliate of Putnam Management and Putnam Management remain fully responsible for all services provided by PIL, the Trustees have not evaluated PIL as a separate entity, and all subsequent references to Putnam Management below include reference to PIL as necessary or appropriate in the context.) <BR>
<BR>
This approval was based on the following conclusions: <BR>
<BR>
</FONT><FONT face=sans-serif size=2>&#149; </FONT><FONT face=sans-serif size=2>That the fee schedule in effect for your fund represented reasonable compensation in light of the nature and quality of the services being provided to the fund, the fees paid by competitive funds and the costs incurred by Putnam Management in providing such services, and <BR>
<BR>
</FONT><FONT face=sans-serif size=2>&#149; </FONT><FONT face=sans-serif size=2>That such fee schedule represented an appropriate sharing between fund shareholders and Putnam Management of such economies of scale as may exist in the management of the fund at current asset levels.</FONT></P>
<P align=left><FONT face=sans-serif size=2>These conclusions were based on a comprehensive consideration of all information provided to the Trustees and were not the result of any single factor. Some of the factors that figured particularly in the Trustees&#146; deliberations and how the Trustees considered these factors are described below, although individual Trustees may have evaluated the information presented differently, giving different weights to various factors. It is also important to recognize that the fee arrangements for your fund and the other Putnam funds are the result of many years of review and discussion between the Independent Trustees and Putnam Management, that certain aspects of such arrangements may receive greater scrutiny in some years than others, and that the Trustees&#146; conclusions may be based, in part, on their consideration of these same arrangements in prior years.</FONT></P>
<P align=left><FONT face=sans-serif size=2>19</FONT></P>
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<P align=left><B><FONT face=sans-serif>Management fee schedules and categories; total expenses</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>The Trustees reviewed the management fee schedules in effect for all Putnam funds, including fee levels and breakpoints, and the assignment of funds to particular fee categories. In reviewing fees and expenses, the Trustees generally focused their attention on material changes in circumstances &#151; for example, changes in a fund&#146;s size or investment style, changes in Putnam Management&#146;s operating costs, or changes in competitive practices in the mutual fund industry &#151; that suggest that consideration of fee changes might be warranted. The Trustees concluded that the circumstances did not warrant changes to the management fee structure of your fund, which had been carefully developed over the years, re-examined on many occasions and adjusted where appropriate. The Trustees focused on two areas of particular interest, as discussed further below: <BR>
<BR>
</FONT><FONT face=sans-serif size=2>&#149;</FONT> <FONT face=sans-serif size=2><B>Competitiveness</B>.</FONT> <FONT face=sans-serif size=2>The Trustees reviewed comparative fee and expense information for competitive funds, which indicated that, in a custom peer group of competitive funds selected by Lipper Inc., your fund ranked in the 67th percentile in management fees and in the 67th percentile in total expenses as of December 31, 2005 (the first percentile being the least expensive funds and the 100th percentile being the most expensive funds). The Trustees expressed their intention to monitor this information closely to ensure that fees and expenses of your fund continue to meet evolving competitive standards.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149;</FONT> <FONT face=sans-serif size=2><B>Economies of scale</B>.</FONT> <FONT face=sans-serif size=2>Your fund currently has the benefit of breakpoints in its management fee that provide shareholders with significant economies of scale, which means that the effective management fee rate of a fund (as a percentage of fund assets) declines as a fund grows in size and crosses specified asset thresholds. Conversely, as a fund shrinks in size &#151; as has been the case for many Putnam funds in recent years &#151; these breakpoints result in increasing fee levels. In recent years, the Trustees have examined the operation of the existing breakpoint structure during periods of both growth and decline in asset levels. The Trustees concluded that the fee schedules in effect for the funds represented an appropriate sharing of economies of scale at current asset levels. In reaching this conclusion, the Trustees considered the Contract Committee&#146;s stated intent to con
tinue to work with Putnam Management to plan for an eventual resumption in the growth of assets, including a study of potential economies that might be produced under various growth assumptions.</FONT></P>
<P align=left><FONT face=sans-serif size=2>In connection with their review of the management fees and total expenses of the Putnam funds, the Trustees also reviewed the costs of the services to be provided and profits to be realized by Putnam Management and its affiliates from the relationship with the funds. This information included trends in revenues, expenses and profitability of Putnam Management and its affiliates relating to the investment management and distribution services provided to the funds. In this regard, the Trustees also reviewed an analysis of Putnam Management&#146;s revenues, expenses and profitability with respect to the funds&#146; management contracts, allocated on a fund-by-fund basis.</FONT></P>
<P align=left><FONT face=sans-serif size=2>20</FONT></P>
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<P align="left">
<FONT size=2 face="sans-serif">Because many of the costs incurred by Putnam Management in managing the funds are not readily identifiable to particular funds, the Trustees observed that the methodology for allocating costs is an important factor in
evaluating Putnam Management&#146;s costs and profitability, both as to the Putnam funds in the aggregate and as to individual funds. The Trustees reviewed Putnam Management&#146;s cost allocation methodology with the assistance of independent
consultants and concluded that this methodology was reasonable and well-considered.</FONT></P>
<P align="left">
<B><FONT face="sans-serif">Investment performance</FONT></B></P>
<P align="left">
<FONT size=2 face="sans-serif">The quality of the investment process provided by Putnam Management represented a major factor in the Trustees&#146; evaluation of the quality of services provided by Putnam Management under your fund&#146;s management
contract. The Trustees were assisted in their review of the Putnam funds&#146; investment process and performance by the work of the Investment Process Committee of the Trustees and the Investment Oversight Committees of the Trustees, which meet on
a regular monthly basis with the funds&#146; portfolio teams throughout the year. The Trustees concluded that Putnam Management generally provides a high-quality investment process &#151; as measured by the experience and skills of the individuals
assigned to the management of fund portfolios, the resources made available to such personnel, and in general the ability of Putnam Management to attract and retain high-quality personnel &#151; but also recognize that this does not guarantee
favorable investment results for every fund in every time period. The Trustees considered the investment performance of each fund over multiple time periods and considered information comparing each fund&#146;s performance with various benchmarks
and with the performance of competitive funds. </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">The Trustees noted the satisfactory investment performance of many Putnam funds. They also noted the disappointing investment performance of certain funds in recent years and discussed with senior management of Putnam
Management the factors contributing to such underperfor-mance and actions being taken to improve performance. The Trustees recognized that, in recent years, Putnam Management has made significant changes in its investment personnel and processes and
in the fund product line to address areas of underperformance. In particular, they noted the important contributions of Putnam Management&#146;s leadership in attracting, retaining and supporting high-quality investment professionals and in
systematically implementing an investment process that seeks to merge the best features of fundamental and quantitative analysis. The Trustees indicated their intention to continue to monitor performance trends to assess the effectiveness of these
changes and to evaluate whether additional changes to address areas of underperformance are warranted.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">In the case of your fund, the Trustees considered that your fund&#146;s common share cumulative total return performance at net asset value was in the following percentiles of its Lipper Inc. peer group (Lipper
Flexible Income Funds (closed-end)) for the one-, three- and five-year</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">21</FONT></P>

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<P align=left><FONT face=sans-serif size=2>periods ended March 31, 2006 (the first percentile being the best performing funds and the 100th percentile being the worst performing funds):</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=center width="30%"><B><FONT face=sans-serif size=2>One-year period</FONT>&nbsp; </B></TD>
     <TD noWrap align=center width="39%"><B><FONT face=sans-serif size=2>Three-year period</FONT>&nbsp; </B></TD>
     <TD noWrap align=center width="29%"><B><FONT face=sans-serif size=2>Five-year period</FONT>&nbsp; </B></TD></TR>
<TR>
     <TD width="98%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center width="30%"><FONT face=sans-serif size=2>78th</FONT>&nbsp; </TD>
     <TD noWrap align=center width="39%"><FONT face=sans-serif size=2>45th</FONT>&nbsp; </TD>
     <TD noWrap align=center width="29%"><FONT face=sans-serif size=2>45th</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>(Because of the passage of time, these performance results may differ from the performance results for more recent periods shown elsewhere in this report. Over the one-, three- and five-year periods ended March 31, 2006, there were 8 funds in your fund&#146;s Lipper peer group.* Past performance is no guarantee of future performance.) <BR>
<BR>
The Trustees noted the disappointing performance for your fund for the one-year period ended March 31, 2006. In this regard, the Trustees considered Putnam Management&#146;s view that one factor in the fund&#146;s relative underperformance during this period was its selection of higher quality bonds during recent periods, given market conditions. The Trustees also considered Putnam Management&#146;s belief that the fund&#146;s investment strategy and process are designed to produce attractive relative performance over longer periods. </FONT></P>
<P align=left><FONT face=sans-serif size=2>As a general matter, the Trustees concluded that cooperative efforts between the Trustees and Putnam Management represent the most effective way to address investment performance problems. The Trustees noted that investors in the Putnam funds have, in effect, placed their trust in the Putnam organization, under the oversight of the funds&#146; Trustees, to make appropriate decisions regarding the management of the funds. Based on the responsiveness of Putnam Management in the recent past to Trustee concerns about investment performance, the Trustees concluded that it is preferable to seek change within Putnam Management to address performance shortcomings. In the Trustees&#146; view, the alternative of terminating a management contract and engaging a new investment adviser for an underperforming fund would entail significant disruptions and would not provide any greater assurance of improved investment performance.</FONT></P>
<P align=left><B><FONT face=sans-serif>Brokerage and soft-dollar allocations; other benefits</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>The Trustees considered various potential benefits that Putnam Management may receive in connection with the services it provides under the management contract with your fund. These include benefits related to brokerage and soft-dollar allocations, whereby a portion of the commissions paid by a fund for brokerage may be used to acquire research services that may be useful to Putnam Management in managing the assets of the fund and of other clients. The Trustees indicated their continued intent to monitor the potential benefits associated with the</FONT></P>
<P align=left><I><FONT face=sans-serif size=1>* The percentile rankings for your fund&#146;s common share annualized total return performance in the Lipper Flexible Income Funds (closed-end) category for the one-, five- and ten-year periods ended March 31, 2007, were 50%, 50%, and 50%, respectively. Over the one-, five- and ten-year periods ended March 31, 2007, the fund ranked 4th out of 7, 4th out of 7, and 4th out of 7 funds, respectively. Note that his more recent information was not available when the Trustees approved the continuance of your fund&#146;s management contract.</FONT></I></P>
<P align=left><FONT face=sans-serif size=2>22</FONT></P>
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<P align=left><FONT face=sans-serif size=2>allocation of fund brokerage to ensure that the principle of seeking &#147;best price and execution&#148; remains paramount in the portfolio trading process.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The Trustees&#146; annual review of your fund&#146;s management contract also included the review of your fund&#146;s custodian and investor servicing agreements with Putnam Fiduciary Trust Company, which provide benefits to affiliates of Putnam Management. </FONT></P>
<P align=left><B><FONT face=sans-serif>Comparison of retail and institutional fee schedules</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>The information examined by the Trustees as part of their annual contract review has included for many years information regarding fees charged by Putnam Management and its affiliates to institutional clients such as defined benefit pension plans, college endowments, etc. This information included comparison of such fees with fees charged to the funds, as well as a detailed assessment of the differences in the services provided to these two types of clients. The Trustees observed, in this regard, that the differences in fee rates between institutional clients and the funds are by no means uniform when examined by individual asset sectors, suggesting that differences in the pricing of investment management services to these types of clients reflect to a substantial degree historical competitive forces operating in separate market places. The Trustees considered the fact that fee rates across all asset sectors are higher on average for funds than for institutional cli
ents, as well as the differences between the services that Putnam Management provides to the Putnam funds and those that it provides to institutional clients of the firm, but did not rely on such comparisons to any significant extent in concluding that the management fees paid by your fund are reasonable.</FONT></P>
<P align=left><B><FONT face=sans-serif>Approval of new management and sub-management contracts in connection with pending change in control</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>As discussed in the &#147;Message from the Trustees&#148; at the beginning of this shareholder report, on February 1, 2007, Marsh &amp; McLennan Companies, Inc. announced that it had signed a definitive agreement to sell its ownership interest in Putnam Investments Trust, the parent company of Putnam Management and its affiliates, to Great-West Lifeco Inc., a member of the Power Financial Corporation group of companies. This transaction is subject to regulatory approvals and other conditions, including the approval of new management contracts by shareholders of a substantial number of Putnam funds at shareholder meetings scheduled for May 15, 2007. The transaction is currently expected to be completed by the middle of 2007.</FONT></P>
<P align=left><FONT face=sans-serif size=2>At an in-person meeting on February 8&#150;9, 2007, the Trustees considered the approval of new management contracts for each Putnam fund proposed to become effective upon the closing of the transaction, and the filing of a preliminary proxy statement. At an in-person meeting on March 8&#150;9, 2007, the Trustees considered the approval of the final forms of the proposed new management contracts for each Putnam fund (and, in the case of your fund, the new sub-management contract) and the proxy statement. They reviewed the terms of the</FONT></P>
<P align=left><FONT face=sans-serif size=2>23</FONT></P>
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<P align="left">
<FONT size=2 face="sans-serif">proposed new management contracts and the differences between the proposed new management contracts and the current management contracts. They noted that the terms of the proposed new management contracts were
substantially identical to the current management contracts, except for certain changes developed at the initiative of the Trustees and designed largely to address inconsistencies among various of the existing contracts, which had been developed and
implemented at different times in the past. They noted, in the case of your fund, that the terms of the proposed new sub-management contract were identical to the current sub-management contract, except for the effective date. In considering the
approval of the proposed new management contracts (and, in the case of your fund, the new sub-management contract), the Trustees also considered, as discussed further in the proxy statement, various matters relating to the transaction. Finally, in
considering the proposed new management contracts (and, in the case of your fund, the new sub-management contract), the Trustees also took into account their deliberations and conclusions (discussed above in the preceding paragraphs of the
&#147;Trustee Approval of Management Contract&#148; section) in connection with the most recent annual approval of the continuance of the Putnam funds&#146; management (and, in the case of your fund, sub-management) contracts effective July 1, 2006,
and the extensive materials that they had reviewed in connection with that approval process. Based upon the foregoing considerations, on March 9, 2007, the Trustees, including all of the Independent Trustees, unanimously approved the proposed new
management contracts (and, in the case of your fund, the new sub-management contract) and determined to recommend their approval to the shareholders of the Putnam funds. </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">24</FONT></P>

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<P align="left">
<B><FONT size=4 face="sans-serif">Other information </FONT></B><BR>
<B><FONT size=4 face="sans-serif">for shareholders</FONT></B></P>
<P align="left">
<B><FONT face="sans-serif">Important notice regarding share repurchase program</FONT></B></P>
<P align="left">
<FONT size=2 face="sans-serif">In September 2006, the Trustees of your fund approved an extension of the current share repurchase program being implemented by Putnam Investments on behalf of your fund. The plan, as extended, allows your fund to
repurchase, in the 24 months ending October 6, 2007, up to 10% of the common shares outstanding as of October 7, 2005.</FONT></P>
<P align="left">
<B><FONT face="sans-serif">Important notice regarding delivery of shareholder documents</FONT></B></P>
<P align="left">
<FONT size=2 face="sans-serif">In accordance with SEC regulations, Putnam sends a single copy of annual and semiannual shareholder reports, prospectuses, and proxy statements to Putnam shareholders who share the same address, unless a shareholder
requests otherwise. If you prefer to receive your own copy of these documents, please call Putnam at 1-800-225-1581, and Putnam will begin sending individual copies within 30 days.</FONT></P>
<P align="left">
<B><FONT face="sans-serif">Proxy voting</FONT></B></P>
<P align="left">
<FONT size=2 face="sans-serif">Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds&#146; proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies
relating to portfolio securities during the 12-month period ended June 30, 2006, are available on the Putnam Individual Investor Web site, www.putnam.com/individual, and on the SEC&#146;s Web site, www.sec.gov. If you have questions about finding
forms on the SEC&#146;s Web site, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds&#146; proxy voting guidelines and procedures at no charge by calling Putnam&#146;s Shareholder Services at 1-800-225-1581.</FONT></P>
<P align="left">
<B><FONT face="sans-serif">Fund portfolio holdings</FONT></B></P>
<P align="left">
<FONT size=2 face="sans-serif">The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Shareholders may obtain the fund&#146;s Forms N-Q on the SEC&#146;s Web
site at www.sec.gov. In addition, the fund&#146;s Forms N-Q may be reviewed and copied at the SEC&#146;s Public Reference Room in Washington, D.C. You may call the SEC at 1-800-SEC-0330 for information about the SEC&#146;s Web site or the operation
of the Public Reference Room.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">25</FONT></P>

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<P align=left><B><FONT face=sans-serif size=4>Financial statements</FONT></B></P>
<P align=left><B><FONT face=sans-serif>A guide to financial statements</FONT></B></P>
<P align=left><FONT face=sans-serif size=2><B>These sections of the report, as well as the accompanying Notes, constitute the fund&#146;s financial statements.</B></FONT></P>
<P align=left><FONT face=sans-serif size=2><B>The fund&#146;s portfolio</B></FONT> <FONT face=sans-serif size=2>lists all the fund&#146;s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>Statement of assets and liabilities</B></FONT> <FONT face=sans-serif size=2>shows how the fund&#146;s net assets and share price are determined. All investment and noninvestment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)</FONT> <BR>
<BR>
<FONT face=sans-serif size=2><B>Statement of operations</B></FONT> <FONT face=sans-serif size=2>shows the fund&#146;s net investment gain or loss. This is done by first adding up all the fund&#146;s earnings &#151; from dividends and interest income &#151; and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings &#151; as well as any unrealized gains or losses over the period &#151; is added to or subtracted from the net investment result to determine the fund&#146;s net gain or loss for the fiscal period.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>Statement of changes in net assets</B></FONT> <FONT face=sans-serif size=2>shows how the fund&#146;s net assets were affected by the fund&#146;s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund&#146;s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund&#146;s fiscal year.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>Financial highlights</B></FONT> <FONT face=sans-serif size=2>provide an overview of the fund&#146;s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlight table also includes the current reporting period.</FONT></P>
<P align=left><FONT face=sans-serif size=2>26</FONT></P>
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<P align=left><B><FONT face=sans-serif size=4>The fund&#146;s portfolio </FONT></B><FONT face=sans-serif size=2>3/31/07 (Unaudited)</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="83%" colSpan=3><FONT face=sans-serif size=1>U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (15.6%)*</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Federal Home Loan Mortgage Corporation Pass-Through</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Certificates 6s, July 1, 2021</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>69,284</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>70,445</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Federal National Mortgage Association</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Pass-Through Certificates</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>8s, October 1, 2025</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>5,384</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>5,721</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>6 1/2s, June 1, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>50,067</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>51,088</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>6 1/2s, October 1, 2018</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>16,186</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>16,632</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>6s, with due dates from July 1, 2019 to January 1, 2022</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>10,288,102</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>10,460,508</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>6s, TBA, May 1, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>800,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>805,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>6s, TBA, April 1, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>800,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>805,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>5 1/2s, April 1, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>45,508</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>45,046</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>5 1/2s, with due dates from March 1, 2020 to</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>January 1, 2021</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>924,235</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>926,593</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>5 1/2s, TBA, May 1, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>40,400,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>39,956,545</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>5 1/2s, TBA, April 1, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>40,400,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>39,967,595</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>5s, May 1, 2021</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>112,170</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>110,619</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>4 1/2s, with due dates from July 1, 2020 to June 1, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>9,519,094</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>9,148,779</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="83%" colSpan=3><FONT face=sans-serif size=1>Total U.S. government and agency mortgage obligations (cost $102,481,890)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>102,370,946</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5></TD></TR>
<TR>
     <TD width="98%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>U.S. TREASURY OBLIGATIONS (11.0%)*</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>U.S. Treasury Notes</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>6 1/2s, February 15, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>7,500,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>7,887,305</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>4 1/4s, August 15, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>38,008,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>37,366,615</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>3 1/4s, August 15, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>27,242,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>26,695,032</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Total U.S. treasury obligations (cost $73,460,745)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>71,948,952</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>CORPORATE BONDS AND NOTES (14.4%)*</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Basic Materials (1.2%)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Abitibi-Consolidated, Inc. notes 7 3/4s, 2011 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>145,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>138,475</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Builders FirstSource, Inc. company guaranty FRN</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>9.61s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>95,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>96,425</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Chaparral Steel Co. company guaranty 10s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>486,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>541,890</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Cognis Holding GmbH &amp; Co. 144A sr. notes 9 1/2s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>2014 (Germany)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>148,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>214,917</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Compass Minerals International, Inc. sr. disc.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>notes stepped-coupon Ser. B, zero % (12s, 6/1/08), 2013 &#134;&#134;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>285,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>277,163</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>27</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
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<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>CORPORATE BONDS AND NOTES (14.4%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Basic Materials </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Compass Minerals International, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>sr. notes stepped-coupon zero % (12 3/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>12/15/07), 2012 &#134;&#134;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>775,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>781,781</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Covalence Specialty Materials Corp. 144A</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>sr. sub. notes 10 1/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>116,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>116,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Crystal US Holdings, LLC sr. disc.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>notes stepped-coupon Ser. A, zero % (10s, 10/1/09), 2014 &#134;&#134;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>444,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>411,384</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Freeport-McMoRan Copper &amp; Gold, Inc. sr. unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>8 3/8s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>841,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>908,280</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Freeport-McMoRan Copper &amp; Gold, Inc. sr. unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>8 1/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>422,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>453,650</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Gerdau Ameristeel Corp. sr. notes 10 3/8s, 2011 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>358,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>380,375</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>MDP Acquisitions PLC sr. notes 9 5/8s, 2012 (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>93,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>98,813</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Momentive Performance Materials, Inc. 144A</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>sr. notes 9 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>430,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>442,900</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Mosaic Co. (The) 144A sr. notes 7 5/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>224,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>236,320</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Mosaic Co. (The) 144A sr. notes 7 3/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>136,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>141,780</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Nalco Co. sr. sub. notes 8 7/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>640,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>680,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>NewPage Corp. company guaranty 10s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>126,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>137,813</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Norske Skog Canada, Ltd. company guaranty Ser. D,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>8 5/8s, 2011 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>237,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>240,555</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Novelis, Inc. company guaranty 7 1/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>(acquired 1/26/07, cost $266,738) &#135;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>223,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>235,823</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>PQ Corp. company guaranty 7 1/2s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>63,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>63,630</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Rockwood Specialties Group, Inc. company</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>guaranty 7 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>300,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>422,422</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Steel Dynamics, Inc. 144A sr. notes 6 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>365,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>365,913</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Stone Container Corp. sr. notes 8 3/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>240,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>240,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>7,626,909</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Capital Goods (0.8%)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Alliant Techsystems, Inc. sr. sub. notes 6 3/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>129,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>129,323</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Blount, Inc. sr. sub. notes 8 7/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>311,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>321,885</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Crown Americas, LLC/Crown Americas Capital Corp.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>sr. notes 7 5/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>145,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>149,169</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>L-3 Communications Corp. company guaranty 6 1/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,370,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,334,450</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>L-3 Communications Corp. sr. sub. notes 5 7/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>854,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>829,448</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Manitowoc Co., Inc. (The) company guaranty 10 1/2s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>150,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>159,938</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Milacron Escrow Corp. sec. notes 11 1/2s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>29,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>28,130</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Owens-Brockway Glass company guaranty 7 3/4s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>181,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>186,883</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Owens-Brockway Glass Container, Inc. sr. sec.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>notes 8 3/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>867,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>912,518</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>5,051,744</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Communication Services (0.7%)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>American Cellular Corp. company guaranty 9 1/2s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>195,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>191,588</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Cincinnati Bell, Inc. company guaranty 7s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>578,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>573,665</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Digicel, Ltd. 144A sr. notes 9 1/4s, 2012 (Jamaica)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>170,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>179,350</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>28</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>CORPORATE BONDS AND NOTES (14.4%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Communication Services </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Inmarsat Finance PLC company guaranty 7 5/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>(United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>223,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>232,478</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Inmarsat Finance PLC company guaranty stepped-coupon</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>zero % (10 3/8s, 11/15/08), 2012 (United Kingdom) &#134;&#134;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>866,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>818,370</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>iPCS, Inc. sr. notes 11 1/2s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>300,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>330,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Qwest Communications International, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>company guaranty 7 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>353,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>363,590</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Qwest Corp. notes 8 7/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,501,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,658,605</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Qwest Corp. sr. notes 7 5/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>409,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>436,608</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Qwest Corp. sr. unsec. notes 7 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>79,125</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Rural Cellular Corp. sr. sub. notes 9 3/4s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>77,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>4,940,629</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Consumer Cyclicals (2.7%)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Boyd Gaming Corp. sr. sub. notes 8 3/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>585,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>610,594</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Boyd Gaming Corp. sr. sub. notes 7 3/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>165,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>170,363</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Boyd Gaming Corp. sr. sub. notes 6 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>134,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>133,665</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>CanWest Media, Inc. company guaranty 8s, 2012 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>337,021</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>348,817</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Dex Media West, LLC/Dex Media Finance Co.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>sr. notes Ser. B, 8 1/2s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>605,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>632,981</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Dex Media, Inc. notes 8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>111,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>116,273</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>FelCor Lodging LP company guaranty 8 1/2s, 2008 (R)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>515,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>551,694</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ford Motor Credit Corp. notes 7 7/8s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>245,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>245,911</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ford Motor Credit Corp. notes 7 3/8s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>195,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>194,642</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ford Motor Credit Corp. sr. notes 9 7/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>621,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>654,560</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ford Motor Credit Corp. sr. unsec. notes 8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>160,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>154,123</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ford Motor Credit Corp. sr. unsec. FRN 8.11s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>126,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>123,225</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ford Motor Credit Corp. 144A sr. unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>notes 9 3/4s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>444,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>467,684</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Goodyear Tire &amp; Rubber Co. (The) sr. notes 9s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>448,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>491,680</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Goodyear Tire &amp; Rubber Co. (The) 144A</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>sr. notes 8 5/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>240,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>258,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Hanesbrands, Inc. 144A sr. notes FRN 8.735s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>85,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>86,594</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Host Marriott LP sr. notes Ser. M, 7s, 2012 (R)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>725,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>738,594</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Jostens IH Corp. company guaranty 7 5/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>718,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>730,565</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>K. Hovnanian Enterprises, Inc. company</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>guaranty 8 7/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>138,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>132,825</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>K. Hovnanian Enterprises, Inc. company</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>guaranty 7 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>134,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>121,940</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Levi Strauss &amp; Co. sr. notes 9 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>651,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>714,473</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Levi Strauss &amp; Co. sr. notes 8 7/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>285,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>304,950</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Meritage Homes Corp. company guaranty 6 1/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>194,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>172,660</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Meritor Automotive, Inc. notes 6.8s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>71,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>71,355</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>MGM Mirage, Inc. company guaranty 8 1/2s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>468,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>500,175</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>MGM Mirage, Inc. company guaranty 6s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,009,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,010,261</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Movie Gallery, Inc. sr. unsec. notes 11s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>190,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>174,325</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>NTK Holdings, Inc. sr. disc. notes zero %, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>104,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>75,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Oxford Industries, Inc. sr. notes 8 7/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>460,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>476,100</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>29</FONT></P>
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<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>CORPORATE BONDS AND NOTES (14.4%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&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="67%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Consumer Cyclicals </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Park Place Entertainment Corp.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>sr. sub. notes 7 7/8s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>395,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>412,775</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>247,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>254,410</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>PRIMEDIA, Inc. company guaranty 8 7/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>146,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>150,015</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>PRIMEDIA, Inc. sr. notes 8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>542,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>560,970</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>R.H. Donnelley Corp. sr. disc. notes Ser. A-2, 6 7/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>67,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>65,158</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>R.H. Donnelley Corp. sr. notes 6 7/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>268,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>260,630</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Resorts International Hotel and Casino, Inc. company</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>guaranty 11 1/2s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>450,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>477,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Scientific Games Corp. company guaranty 6 1/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>626,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>613,480</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>735,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>773,588</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Standard Pacific Corp. sr. notes 7 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>101,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>96,960</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Station Casinos, Inc. sr. notes 6s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>318,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>308,063</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Tenneco Automotive, Inc. company guaranty 8 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>70,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>72,975</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Texas Industries, Inc. sr. unsec. notes 7 1/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>161,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>165,830</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>THL Buildco, Inc. (Nortek Holdings, Inc.)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>sr. sub. notes 8 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>410,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>398,725</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Trump Entertainment Resorts, Inc. sec. notes 8 1/2s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>117,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>118,170</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>United Auto Group, Inc. 144A sr. sub. notes 7 3/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>345,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>348,450</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Vertis, Inc. company guaranty Ser. B, 10 7/8s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>661,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>669,263</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Vertis, Inc. 144A sub. notes 13 1/2s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>170,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>160,650</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Wimar Opco, LLC. 144A sr. sub. notes 9 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,003,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>1st mtge. 6 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>555,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>549,450</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>17,924,741</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="67%"><FONT face=sans-serif size=1>Consumer Staples (2.3%)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Affinity Group, Inc. sr. sub. notes 9s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>545,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>559,988</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>AMC Entertainment, Inc. company guaranty 11s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>251,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>285,826</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>AMC Entertainment, Inc. sr. sub. notes 8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>205,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>208,588</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Archibald Candy Corp. company guaranty 10s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>2007 (In default) (F) &#134;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>90,153</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>4,711</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Avis Budget Car Rental, LLC 144A sr. notes 7 3/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>285,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>290,700</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Cablevision Systems Corp. sr. notes Ser. B, 8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>167,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>169,505</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>CCH I Holdings, LLC company guaranty 12 1/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>8,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>7,780</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>CCH I, LLC/Capital Corp. sec. notes 11s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,347,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,397,513</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>CCH II, LLC/Capital Corp. sr. notes Ser. B, 10 1/4s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>259,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>272,921</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>CCH, LLC/Capital Corp. sr. notes 10 1/4s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>86,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>90,730</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Church &amp; Dwight Co., Inc. company guaranty 6s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>444,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>432,900</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Cinemark, Inc. sr. disc. notes stepped-coupon zero %</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>(9 3/4s, 3/15/09), 2014 &#134;&#134;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>990,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>905,850</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Constellation Brands, Inc. company guaranty Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>8s, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>825,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>838,406</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>CSC Holdings, Inc. sr. notes Ser. B, 7 5/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>595,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>609,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>CSC Holdings, Inc. 144A sr. notes 6 3/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,068,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,059,990</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Dean Foods Co. company guaranty 7s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>134,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>134,503</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Del Monte Corp. company guaranty 6 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>320,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>316,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Del Monte Corp. sr. sub. notes 8 5/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>560,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>582,400</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>30</FONT></P>
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<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>CORPORATE BONDS AND NOTES (14.4%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&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="67%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Consumer Staples </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>DirecTV Holdings, LLC company guaranty 6 3/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>718,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>682,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Echostar DBS Corp. company guaranty 6 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,119,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,132,244</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Interpublic Group of Companies, Inc. notes 6 1/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>118,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>110,920</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Pinnacle Foods Holding Corp. sr. sub. notes 8 1/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>741,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>805,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Playtex Products, Inc. company guaranty 9 3/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>170,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>175,738</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Playtex Products, Inc. sec. notes 8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>770,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>804,650</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Prestige Brands, Inc. sr. sub. notes 9 1/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>450,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>465,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Rainbow National Services, LLC 144A</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>sr. notes 8 3/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>471,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>501,026</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Rental Services Corp. 144A bonds 9 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>70,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>74,550</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>United Rentals NA, Inc. sr. sub. notes 7s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>352,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>351,120</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Young Broadcasting, Inc. company guaranty 10s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>376,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>370,360</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Young Broadcasting, Inc. sr. sub. notes 8 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>293,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>273,223</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>14,916,142</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="67%"><FONT face=sans-serif size=1>Energy (2.9%)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Arch Western Finance, LLC sr. notes 6 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,347,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,325,111</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Bluewater Finance, Ltd. company guaranty 10 1/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>2012 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>403,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>420,128</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>CHC Helicopter Corp. sr. sub. notes 7 3/8s, 2014 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>812,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>789,670</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Chesapeake Energy Corp. company guaranty 7 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>269,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>280,433</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Chesapeake Energy Corp. sr. notes 7 1/2s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,031,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,077,395</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Chesapeake Energy Corp. sr. notes 7s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>279,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>287,370</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Complete Production Services, Inc. 144A</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>sr. notes 8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>515,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>527,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Comstock Resources, Inc. sr. notes 6 7/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>510,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>494,700</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>EXCO Resources, Inc. company guaranty 7 1/4s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>725,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>726,813</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Forest Oil Corp. sr. notes 8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>540,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>562,950</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Harvest Operations Corp. sr. notes 7 7/8s, 2011 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>584,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>559,910</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Hornbeck Offshore Services, Inc. sr. notes Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>6 1/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>517,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>489,211</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Massey Energy Co. sr. notes 6 5/8s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>774,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>781,740</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Newfield Exploration Co. sr. sub. notes 6 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>348,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>348,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Offshore Logistics, Inc. company guaranty 6 1/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>655,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>623,888</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Oslo Seismic Services, Inc. 1st mtge. 8.28s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>424,317</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>434,545</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Pacific Energy Partners/Pacific Energy Finance Corp.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>sr. notes 7 1/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>355,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>370,734</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Pemex Finance, Ltd. bonds 9.69s, 2009 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>507,500</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>531,779</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Pemex Project Funding Master Trust company</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>guaranty 5 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>5,838,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>5,849,676</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>PetroHawk Energy Corp. company guaranty 9 1/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>864,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>920,160</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Pogo Producing Co. sr. sub. notes Ser. B, 8 1/4s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>670,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>681,725</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Pride International, Inc. sr. notes 7 3/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>826,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>846,650</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>18,930,463</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="67%"><FONT face=sans-serif size=1>Financial (1.1%)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Bosphorus Financial Services, Ltd. 144A sec. FRN</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>7.16s, 2012 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,445,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,459,524</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Crescent Real Estate Equities LP notes 7 1/2s, 2007 (R)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>310,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>311,550</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Finova Group, Inc. notes 7 1/2s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>431,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>118,525</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>31</FONT></P>
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     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>CORPORATE BONDS AND NOTES (14.4%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
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<TR vAlign=bottom>
     <TD noWrap align=left width="68%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Financial </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>General Motors Acceptance Corp. FRN 6.31s, 2007</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>350,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>349,999</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>General Motors Acceptance Corp. notes 7 3/4s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>90,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>92,378</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>General Motors Acceptance Corp. notes 7s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>40,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>40,202</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>General Motors Acceptance Corp. notes 6 7/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>68,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>67,726</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>General Motors Acceptance Corp. notes 6 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>305,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>299,843</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>General Motors Acceptance Corp. sr. unsub. notes</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>5.85s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>33,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>32,575</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>UBS Luxembourg SA for Sberbank unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>sub. notes stepped-coupon 6.23s (7.429s, 2/11/10),</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>2015 (Luxembourg) &#134;&#134;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,400,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,416,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>VTB Capital SA 144A notes 7 1/2s, 2011 (Luxembourg)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>3,010,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>3,224,463</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>7,412,885</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Health Care (1.0%)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Community Health Systems, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>sr. sub. notes 6 1/2s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>53,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>54,590</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>DaVita, Inc. company guaranty 6 5/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>153,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>153,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>HCA, Inc. notes 6 3/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>212,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>180,995</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>HCA, Inc. notes 5 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>260,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>221,975</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>HCA, Inc. 144A sec. notes 9 1/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>645,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>695,794</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>HCA, Inc. 144A sec. sr. notes 9 5/8s, 2016 &#135;&#135;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>550,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>594,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>MedQuest, Inc. company guaranty Ser. B, 11 7/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>595,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>541,450</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Omnicare, Inc. sr. sub. notes 6 1/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>740,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>720,575</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Service Corporation International sr. notes 7s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>170,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>171,275</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Service Corporation International sr. notes 6 3/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>535,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>532,325</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Stewart Enterprises, Inc. sr. notes 6 1/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>724,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>704,090</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Tenet Healthcare Corp. notes 7 3/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>390,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>362,213</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Tenet Healthcare Corp. sr. notes 9 7/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>299,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>301,990</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>US Oncology, Inc. company guaranty 9s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>420,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>448,350</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Vanguard Health Holding Co. II, LLC</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>sr. sub. notes 9s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>388,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>392,850</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ventas Realty LP/Capital Corp. company guaranty 9s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>2012 (R)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>305,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>343,125</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ventas Realty LP/Capital Corp. company</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>guaranty 6 3/4s, 2010 (R)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>201,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>206,528</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ventas Realty LP/Capital Corp. sr. notes 6 5/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>2014 (R)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>173,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>176,460</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>6,801,585</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Technology (0.6%)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Advanced Micro Devices, Inc. sr. notes 7 3/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>334,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>337,758</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Freescale Semiconductor, Inc. 144A sr. notes 9 1/8s, 2014 &#135;&#135;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>383,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>380,128</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Freescale Semiconductor, Inc. 144A sr. notes 8 7/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>768,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>768,960</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Freescale Semiconductor, Inc. 144A</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>sr. sub. notes 10 1/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>384,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>384,960</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Iron Mountain, Inc. company guaranty 8 5/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>700,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>719,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>New ASAT Finance, Ltd. company guaranty 9 1/4s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>(Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>13,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>11,440</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>SunGard Data Systems, Inc. company guaranty 9 1/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>340,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>364,650</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Xerox Corp. sr. notes 9 3/4s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>140,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>210,216</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>32</FONT></P>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>CORPORATE BONDS AND NOTES (14.4%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
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     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Principal amount</FONT>&nbsp; </TD>
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     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Technology </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Xerox Corp. sr. notes 7 5/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>278,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>291,553</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Xerox Corp. unsec. sr. notes 6 3/4s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>153,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>160,102</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>3,629,017</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Utilities &amp; Power (1.1%)</FONT>&nbsp; </TD>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>AES Corp. (The) sr. notes 8 7/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>54,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>57,645</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>AES Corp. (The) 144A sec. notes 8 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>460,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>487,600</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>CMS Energy Corp. sr. notes 8.9s, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>600,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>622,500</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>CMS Energy Corp. sr. notes 7 3/4s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>180,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>190,800</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Colorado Interstate Gas Co. sr. notes 5.95s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>174,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>175,086</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Edison Mission Energy sr. unsec. notes 7 3/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>146,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>152,205</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Edison Mission Energy sr. unsec. notes 7 1/2s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>172,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>177,590</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>El Paso Natural Gas Co. sr. notes Ser. A, 7 5/8s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>365,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>379,600</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>El Paso Production Holding Co. company</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
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     <TD noWrap align=right width="5%">&nbsp; </TD>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>guaranty 7 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>993,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,037,685</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ferrellgas LP/Finance sr. notes 6 3/4s, 2014</FONT>&nbsp; </TD>
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     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>520,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>509,600</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Mission Energy Holding Co. sec. notes 13 1/2s, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>749,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>816,410</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>NRG Energy, Inc. sr. notes 7 3/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>241,463</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Orion Power Holdings, Inc. sr. notes 12s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>655,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>756,525</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>SEMCO Energy, Inc. sr. notes 7 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>517,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>529,523</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Teco Energy, Inc. notes 7.2s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>185,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>196,100</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Teco Energy, Inc. notes 7s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>280,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>295,400</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Teco Energy, Inc. sr. notes 6 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>32,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>33,640</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Utilicorp United, Inc. sr. notes 9.95s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>18,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>19,710</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Williams Cos., Inc. (The) notes 8 1/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>150,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>163,125</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Williams Cos., Inc. (The) 144A notes 6 3/8s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>172,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>174,365</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Williams Partners LP/ Williams Partners</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Finance Corp. 144A bonds 7 1/4s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>145,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>153,338</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>7,169,910</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Total corporate bonds and notes (cost $92,795,729)</FONT>&nbsp; </TD>
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     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>94,404,025</FONT>&nbsp; </TD></TR>
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     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>FOREIGN GOVERNMENT BONDS AND NOTES (12.7%)*</FONT>&nbsp; </TD>
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     <TD noWrap align=left width="67%">&nbsp; </TD>
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     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Argentina (Republic of) FRB 5.475s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>8,133,750</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>7,710,524</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Austria (Republic of) 144A notes Ser. EMTN, 3.8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,390,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,829,674</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Brazil (Federal Republic of) bonds 6s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,490,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,499,685</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Canada (Government of) bonds Ser. WH31, 6s, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>CAD</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>3,680,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>3,260,409</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Colombia (Republic of) notes 10s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>3,697,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>4,349,521</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>France (Government of) bonds 4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>4,730,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>6,303,274</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Germany (Federal Republic of) bonds Ser. 97, 6s, 2007</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>5,500,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>7,380,871</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ireland (Republic of) bonds 5s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>7,500,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>10,510,981</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Japan (Government of) CPI Linked bonds Ser. 8, 1s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,114,545,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>9,296,297</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Mexican (Government of) bonds Ser. M 10, 8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>MXN</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>17,460,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,628,967</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Russia (Ministry of Finance) debs. Ser. V, 3s, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,445,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,374,829</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>South Africa (Republic of) notes 7 3/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,495,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,624,318</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>South Africa (Republic of) notes 6 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,330,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,408,470</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Spain (Government of) bonds 5.4s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,404,856</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>33</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_35"></A>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="72%" colSpan=2><FONT face=sans-serif size=1>FOREIGN GOVERNMENT BONDS AND NOTES (12.7%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&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="67%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Spain (Kingdom of ) bonds 5s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>800,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,114,837</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Sweden (Government of ) debs. Ser. 1041, 6 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>SEK</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>30,690,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>5,146,945</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Turkey (Republic of ) notes 11s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>6,105,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>7,463,363</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ukraine (Government of ) 144A sr. unsub. 6.58s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,495,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,515,930</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>United Mexican States notes 6 5/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>4,530,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>4,892,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Venezuela (Republic of ) notes 10 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,150,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,612,250</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="72%" colSpan=2><FONT face=sans-serif size=1>Total foreign government bonds and notes (cost $78,558,889)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>83,328,401</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5></TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE OBLIGATIONS (11.9%)*</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&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="67%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Amresco Commercial Mortgage Funding I 144A</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ser. 97-C1, Class G, 7s, 2029</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>434,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>432,789</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Banc of America Commercial Mortgage, Inc. Ser. 01-1,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Class G, 7.324s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>325,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>344,199</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Banc of America Commercial Mortgage, Inc. 144A</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ser. 01-1, Class J, 6 1/8s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>163,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>163,822</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ser. 01-1, Class K, 6 1/8s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>367,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>309,373</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Banc of America Large Loan 144A</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>FRB Ser. 05-MIB1, Class K, 7.32s, 2022</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>645,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>644,439</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>FRB Ser. 05-ESHA, Class K, 7.12s, 2020</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>712,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>711,379</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>FRB Ser. 06-LAQ, Class M, 6.97s, 2021</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>548,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>548,141</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>FRB Ser. 06-LAQ, Class L, 6.87s, 2021</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>517,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>517,946</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Banc of America Funding Corp. IFB Ser. 06-4,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Class A4, Interest Only (IO), 0.18s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,014,698</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,910</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Banc of America Mortgage Securities IFB Ser. 06-2,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Class A4, IO, 0.08s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>992,729</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>6,388</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Bayview Commercial Asset Trust Ser. 07-1, Class A,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>IO, 1.211s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>4,181,335</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>549,722</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Bear Stearns Commercial Mortgage Securities, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>FRB Ser. 00-WF2, Class F, 8.453s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>410,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>457,411</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Bear Stearns Commercial Mortgage Securities, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>144A FRB Ser. 05-LXR1, Class J, 6.97s, 2018</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>696,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>696,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Broadgate Financing PLC sec. FRB Ser. D, 6.127s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>2023 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>456,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>893,412</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Commercial Mortgage Pass-Through Certificates 144A</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>FRB Ser. 05-F10A, Class A1, 5.42s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>992,341</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>992,327</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Countrywide Alternative Loan Trust</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>IFB Ser. 06-6CB, Class 1A3, IO, zero %, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>6,773,696</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>16,934</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ser. 06-OA10, Class XBI, IO, 2.608s, 2046</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>5,821,874</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>236,514</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>CRESI Finance Limited Partnership 144A FRB</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ser. 06-A, Class C, 5.92s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>251,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>250,999</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>CS First Boston Mortgage Securities Corp. 144A</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>FRB Ser. 05-TFLA, Class L, 7.17s, 2020</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>699,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>699,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>FRB Ser. 05-TFLA, Class K, 6.62s, 2020</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>388,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>388,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ser. 98-C1, Class F, 6s, 2040</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>966,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>932,115</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ser. 02-CP5, Class M, 5 1/4s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>354,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>311,714</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Deutsche Mortgage &amp; Asset Receiving Corp.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ser. 98-C1, Class X, IO, 0.549s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>14,250,252</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>151,409</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>34</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<A name="page_36"></A>
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<TR vAlign=bottom>
     <TD noWrap align=left width="68%" colSpan=2><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE OBLIGATIONS (11.9%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=6></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=6>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>DLJ Commercial Mortgage Corp. Ser. 98-CF2, Class B4,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>6.04s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>286,492</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>292,537</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>DLJ Commercial Mortgage Corp. 144A Ser. 98-CF2,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>Class B5, 5.95s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>915,958</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>871,342</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>DLJ Mortgage Acceptance Corp. 144A</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>Ser. 97-CF1, Class B2, 8.16s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>275,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>258,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>Ser. 97-CF1, Class B1, 7.91s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>257,923</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>258,052</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>European Loan Conduit 144A FRB Ser. 22A, Class D,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>6.433s, 2014 (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>507,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>997,523</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>European Prime Real Estate PLC 144A FRB Ser. 1-A,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>Class D, 6.441s, 2014 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>352,406</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>692,041</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>Fannie Mae</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>IFB Ser. 06-70, Class SM, 9.605s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>281,813</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>304,494</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>IFB Ser. 06-62, Class PS, 7.98s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>791,622</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>886,080</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>IFB Ser. 06-76, Class QB, 7.68s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,906,183</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,025,428</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>IFB Ser. 06-70, Class SJ, 7.68s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>131,276</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>147,059</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>Ser. 04-W8, Class 3A, 7 1/2s, 2044</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>361,900</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>381,483</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>Ser. 04-W2, Class 5A, 7 1/2s, 2044</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,217,751</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,281,180</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>Ser. 04-T2, Class 1A4, 7 1/2s, 2043</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>313,126</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>329,708</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>Ser. 03-W4, Class 4A, 7 1/2s, 2042</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>95,404</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>99,656</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>Ser. 03-W3, Class 1A3, 7 1/2s, 2042</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>203,191</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>212,675</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>Ser. 02-T19, Class A3, 7 1/2s, 2042</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>256,999</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>269,067</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>Ser. 03-W2, Class 1A3, 7 1/2s, 2042</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>4,442</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>4,649</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>Ser. 02-W1, Class 2A, 7 1/2s, 2042</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>393,400</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>409,882</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>Ser. 02-14, Class A2, 7 1/2s, 2042</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,988</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,077</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>Ser. 01-T10, Class A2, 7 1/2s, 2041</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>247,329</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>257,620</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>Ser. 02-T4, Class A3, 7 1/2s, 2041</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,192</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,242</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>Ser. 01-T8, Class A1, 7 1/2s, 2041</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>3,278</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>3,404</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>Ser. 01-T7, Class A1, 7 1/2s, 2041</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,003,051</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,042,152</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>Ser. 01-T3, Class A1, 7 1/2s, 2040</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>159,997</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>166,414</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>Ser. 01-T1, Class A1, 7 1/2s, 2040</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>491,620</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>511,502</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>Ser. 99-T2, Class A1, 7 1/2s, 2039</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>197,286</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>207,779</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>Ser. 00-T6, Class A1, 7 1/2s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>95,271</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>99,463</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>Ser. 02-W7, Class A5, 7 1/2s, 2029</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>172,303</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>180,101</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>Ser. 01-T4, Class A1, 7 1/2s, 2028</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>454,777</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>479,912</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>Ser. 02-W3, Class A5, 7 1/2s, 2028</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>994</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,039</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>IFB Ser. 06-63, Class SP, 7.38s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,067,829</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,282,614</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>IFB Ser. 06-60, Class TK, 7.32s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>575,704</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>619,920</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>Ser. 04-W12, Class 1A3, 7s, 2044</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>367,756</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>382,864</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>Ser. 01-T10, Class A1, 7s, 2041</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>979,541</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,009,851</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>Ser. 07-16, Class TS, IO, 5 1/2s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>5,841,093</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>125,034</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>IFB Ser. 05-74, Class CS, 5.39s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>633,766</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>644,019</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>IFB Ser. 05-74, Class CP, 5.243s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>555,891</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>572,751</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>IFB Ser. 06-27, Class SP, 5.06s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>791,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>818,098</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>IFB Ser. 06-8, Class HP, 5.06s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>920,838</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>940,251</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>IFB Ser. 06-8, Class WK, 5.06s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,441,547</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,461,108</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>IFB Ser. 05-106, Class US, 5.06s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,353,618</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,394,520</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>IFB Ser. 05-99, Class SA, 5.06s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>664,190</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>674,533</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>Ser. 07-39, Class A, IO, 5s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,488,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>92,388</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=sans-serif size=1>IFB Ser. 05-114, Class SP, 4.95s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>389,855</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>369,875</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>35</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE OBLIGATIONS (11.9%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Fannie Mae</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 06-60, Class CS, 4.583s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>912,866</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>880,642</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 05-95, Class CP, 4.089s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>104,092</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>104,002</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 05-95, Class OP, 3.923s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>360,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>340,065</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 05-83, Class QP, 3.562s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>219,131</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>206,805</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 02-36, Class QH, IO, 2.73s, 2029</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>60,163</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>241</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 06-90, Class SE, IO, 2.48s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,346,005</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>220,030</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 03-66, Class SA, IO, 2.33s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,122,625</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>87,530</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 07-W2, Class 3A2, IO, 1.96s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,774,815</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>115,794</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 05-113, Class AI, IO, 1.91s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>773,225</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>59,208</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 05-113, Class DI, IO, 1.91s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>6,254,025</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>373,533</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 06-60, Class DI, IO, 1 3/4s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,275,284</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>125,252</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 07-30, Class WI, IO, 1.44s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,737,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>152,082</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 07-22, Class S, IO, 1.43s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>19,259,023</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,176,464</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 07-W2, Class 2A2, IO, 1.43s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,287,985</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>123,350</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 06-128, Class SH, IO, 1.43s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,288,126</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>71,877</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 06-56, Class SM, IO, 1.43s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,639,647</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>90,390</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 06-12, Class SD, IO, 1.43s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>4,184,854</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>302,983</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 06-123, Class CI, IO, 1.42s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,456,422</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>159,755</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 05-95, Class CI, IO, 1.38s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,401,569</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>90,468</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 05-84, Class SG, IO, 1.38s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,400,622</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>156,744</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 05-104, Class NI, IO, 1.38s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,632,452</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>109,864</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 04-92, Class S, IO, 1.38s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,922,487</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>102,734</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 05-83, Class QI, IO, 1.37s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>364,809</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>26,868</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 05-83, Class SL, IO, 1.35s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>4,217,936</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>222,437</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 06-114, Class IS, IO, 1.33s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,361,503</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>77,010</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 06-20, Class IG, IO, 1.33s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>8,143,980</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>341,113</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 06-109, Class SH, IO, 1.3s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,161,688</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>84,319</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 06-45, Class SM, IO, 1.28s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,991,064</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>84,310</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 06-8, Class JH, IO, 1.28s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>4,847,223</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>267,905</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 06-20, Class IB, IO, 1.27s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>3,489,833</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>139,317</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 05-95, Class OI, IO, 1.27s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>204,194</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>15,253</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 06-98, Class SQ, IO, 1 1/4s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>14,249,127</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>774,769</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 06-85, Class TS, IO, 1.24s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,746,889</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>133,501</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 03-W17, Class 12, IO, 1.153s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,590,173</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>106,715</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 07-30, Class LI, IO, 1.12s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,889,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>109,890</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 07-W2, Class 1A2, IO, 1.11s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>6,108,575</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>290,967</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 07-15, Class CI, IO, 1.06s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>4,496,062</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>243,503</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 06-123, Class BI, IO, 1.06s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>5,969,791</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>316,529</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 06-115, Class JI, IO, 1.06s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>3,302,328</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>175,892</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 06-123, Class LI, IO, 1s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,211,759</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>112,966</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 03-W10, Class 1A, IO, 0.932s, 2043</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>3,673,751</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>54,185</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 03-W10, Class 3A, IO, 0.928s, 2043</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>4,418,529</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>74,450</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 05-74, Class SE, IO, 0.78s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,119,077</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>68,981</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 05-87, Class SE, IO, 0.73s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>9,165,929</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>296,502</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 02-T18, IO, 0.524s, 2042</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>7,127,368</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>90,545</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 06-84, Class OP, Principal Only (PO), zero %, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>77,111</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>74,914</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 05-113, Class DO, PO, zero %, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>961,191</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>771,660</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 363, Class 1, PO, zero %, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,062,358</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,573,572</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 361, Class 1, PO, zero %, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,745,267</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,252,702</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>36</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<TR vAlign=bottom>
     <TD noWrap align=left width="73%" colSpan=2><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE OBLIGATIONS (11.9%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Fannie Mae</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 04-38, Class AO, PO, zero %, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>348,733</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>254,193</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 04-61, Class CO, PO, zero %, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>517,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>423,158</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 99-51, Class N, PO, zero %, 2029</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>73,603</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>61,148</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 07-31, Class TS, IO, zero %, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>3,667,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>78,496</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 07-15, Class IM, IO, zero %, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,422,967</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>27,001</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>FRB Ser. 05-117, Class GF, zero %, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>296,025</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>276,446</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Federal Home Loan Mortgage Corp.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Structured Pass-Through Securities</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. T-59, Class 1A3, 7 1/2s, 2043</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>400,508</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>423,109</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. T-58, Class 4A, 7 1/2s, 2043</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>6,409</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>6,723</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. T-41, Class 3A, 7 1/2s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>960,494</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,002,829</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. T-60, Class 1A2, 7s, 2044</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,845,931</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,919,894</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. T-57, Class 1AX, IO, 0.005s, 2043</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,355,290</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>27,792</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>FFCA Secured Lending Corp. 144A Ser. 00-1, Class X,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IO, 1.366s, 2020</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>5,608,490</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>303,996</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Freddie Mac</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 3153, Class UK, 7 1/2s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>204,552</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>234,576</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 3182, Class PS, 7.32s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>218,382</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>242,313</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 3081, Class DC, 5.22s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>541,601</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>551,322</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 3114, Class GK, 5.12s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>360,660</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>367,059</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 2979, Class AS, 4.767s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>238,350</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>236,779</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 3065, Class DC, 3.9s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>825,563</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>782,402</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 3050, Class SA, 3.575s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>596,709</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>551,208</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 2828, Class TI, IO, 1.73s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>769,072</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>49,022</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 3287, Class SD, IO, 1.43s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,605,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>98,340</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 3028, Class ES, IO, 1.43s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>3,962,972</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>269,136</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 3042, Class SP, IO, 1.43s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>924,999</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>58,645</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 3045, Class DI, IO, 1.41s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>9,778,641</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>472,178</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 3054, Class CS, IO, 1.38s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>876,281</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>38,612</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 3107, Class DC, IO, 1.38s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>4,202,457</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>299,771</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 3066, Class SI, IO, 1.38s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,699,636</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>185,542</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 2950, Class SM, IO, 1.38s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>644,155</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>37,651</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 3031, Class BI, IO, 1.37s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>745,346</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>54,401</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 3114, Class TS, IO, 1.33s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>4,893,709</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>157,348</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 3240, Class S, IO, 1.3s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>3,816,158</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>228,495</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 3065, Class DI, IO, 1.3s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>588,360</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>42,914</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 3174, Class BS, IO, 1.2s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>3,836,551</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>148,872</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 3152, Class SY, IO, 1.16s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>3,312,032</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>206,671</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 3081, Class DI, IO, 1.16s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>759,438</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>41,435</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 3199, Class S, IO, 1.13s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,826,828</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>153,488</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 3284, Class LI, IO, 1.12s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,417,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>135,879</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 3281, Class AI, IO, 1.11s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>4,503,042</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>253,570</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 3240, Class GS, IO, 1.06s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,309,078</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>124,302</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 3288, Class SJ, IO, 0.81s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,225,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>85,871</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 3284, Class CI, IO, 0.8s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>5,361,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>222,374</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 3016, Class SQ, IO, 0.79s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,757,398</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>50,799</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 3284, Class WI, IO, 0.78s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>8,936,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>394,427</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 2815, Class S, IO, 0.68s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,715,987</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>46,675</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 3174, PO, zero %, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>135,861</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>116,562</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>37</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<TR vAlign=bottom>
     <TD noWrap align=left width="73%" colSpan=2><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE OBLIGATIONS (11.9%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Freddie Mac</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 236, PO, zero %, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>675,372</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>547,281</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 3045, Class DO, PO, zero %, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>747,774</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>596,858</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 215, PO, zero %, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>144,556</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>114,540</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 2235, PO, zero %, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>180,298</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>143,957</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>FRB Ser. 3022, Class TC, zero %, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>119,005</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>122,180</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>FRB Ser. 2986, Class XT, zero %, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>76,568</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>75,761</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>FRB Ser. 3046, Class WF, zero %, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>140,271</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>135,683</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>FRB Ser. 3054, Class XF, zero %, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>77,431</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>75,386</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>GE Capital Commercial Mortgage Corp. 144A</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 00-1, Class F, 7.515s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>170,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>181,049</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 00-1, Class G, 6.131s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>596,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>546,753</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>GMAC Commercial Mortgage Securities, Inc. 144A</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 99-C3, Class G, 6.974s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>529,968</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>545,673</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Government National Mortgage Association</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 05-66, Class SP, 3.1s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>505,702</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>471,826</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 07-1, Class SL, IO, 2.04s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>775,841</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>50,826</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 07-1, Class SM, IO, 2.03s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>775,841</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>50,604</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 05-68, Class SN, IO, 1.88s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,481,691</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>136,880</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 07-9, Class AI, IO, 1.18s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,235,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>104,967</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 05-65, Class SI, IO, 1.03s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,874,873</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>71,874</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 05-68, Class SI, IO, 0.98s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>6,559,770</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>289,042</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 06-14, Class S, IO, 0.93s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,921,301</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>69,365</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 05-68, Class S, IO, 0.88s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>3,728,214</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>146,380</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 98-2, Class EA, PO, zero %, 2028</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>73,766</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>60,650</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>GS Mortgage Securities Corp. II 144A FRB</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 03-FL6A, Class L, zero%, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>214,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>214,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>LB Commercial Conduit Mortgage Trust 144A</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 99-C1, Class G, 6.41s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>253,101</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>262,961</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Lehman Brothers Floating Rate Commercial Mortgage</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Trust 144A FRB Ser. 03-LLFA, Class L, 9.07s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>876,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>876,088</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Lehman Mortgage Trust</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 06-5, Class 2A2, IO, 1.83s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,296,946</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>106,187</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 07-2, Class 2A13, IO, 1.37s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,153,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>126,171</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 06-9, Class 2A2, IO, 1.3s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,616,065</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>128,705</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 06-7, Class 2A5, IO, 1.23s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>4,219,319</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>224,930</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 06-7, Class 2A4, IO, 1.23s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>4,720,554</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>178,840</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 06-6, Class 1A2, IO, 1.18s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,917,503</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>74,432</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 06-6, Class 1A3, IO, 1.18s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,561,434</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>125,918</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 06-5, Class 1A3, IO, 0.08s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>831,979</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>4,191</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 06-4, Class 1A3, IO, 0.08s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,178,851</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>10,330</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>IFB Ser. 06-7, Class 1A3, IO, 0.03s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,936,185</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>11,925</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Mach One Commercial Mortgage Trust 144A</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 04-1A, Class J, 5.45s, 2040</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>594,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>503,902</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 04-1A, Class K, 5.45s, 2040</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>212,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>172,300</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 04-1A, Class L, 5.45s, 2040</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>96,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>71,753</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Merrill Lynch Capital Funding Corp. Ser. 06-4,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Class XC, IO, 0.06s, 2049</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>56,824,553</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>854,588</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Class JS, IO, 2.274s, 2028</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,643,175</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>160,081</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>38</FONT></P>
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     <TD noWrap align=left width="72%" colSpan=2><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE OBLIGATIONS (11.9%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&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="67%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Mezz Cap Commercial Mortgage Trust 144A Ser. 04-C1,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Class X, IO, 7.437s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,016,268</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>336,004</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Morgan Stanley Capital I Ser. 98-CF1, Class E,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>7.35s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,252,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,314,595</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Morgan Stanley Capital I 144A Ser. 04-RR, Class F7,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>6s, 2039</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,730,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,266,076</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Morgan Stanley Mortgage Loan Trust IFB Ser. 06-7,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Class 4A3, IO, zero %, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>986,977</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>4,217</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Morgan Stanley Mortgage Loan Trust Ser. 05-5AR,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Class 2A1, 5.39s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,545,304</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,551,099</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Mortgage Capital Funding, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>FRB Ser. 98-MC2, Class E, 7.095s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>327,112</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>334,315</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ser. 97-MC2, Class X, IO, 0.676s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,463,328</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>5,561</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Permanent Financing PLC FRB Ser. 8, Class 2C, 5.74s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>2042 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>500,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>499,971</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>PNC Mortgage Acceptance Corp. 144A Ser. 00-C1,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Class J, 6 5/8s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>123,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>121,312</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Residential Asset Securitization Trust IFB</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ser. 06-A7CB, Class 1A6, IO, 0.23s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>455,328</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>5,798</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>SBA CMBS Trust 144A Ser. 05-1A, Class E, 6.706s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>303,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>303,903</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>STRIPS 144A</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ser. 03-1A, Class M, 5s, 2018 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>162,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>139,453</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>193,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>153,307</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ser. 04-1A, Class M, 5s, 2018 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>174,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>151,598</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ser. 04-1A, Class N, 5s, 2018 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>167,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>136,366</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Titan Europe PLC 144A</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>FRB Ser. 05-CT2A, Class E, 6.641s, 2014 (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>226,682</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>446,181</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>FRB Ser. 05-CT1A, Class D, 6.633s, 2014 (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>605,601</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,192,945</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>FRB Ser. 04-2A, Class D, 4.646s, 2014 (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>274,678</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>367,204</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>URSUS EPC 144A FRB Ser. 1-A, Class D, 6.508s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>2012 (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>264,498</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>520,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Wachovia Bank Commercial Mortgage Trust 144A FRB</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ser. 05-WL5A, Class L, 8.62s, 2018</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>477,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>476,943</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Wells Fargo Mortgage Backed Securities Trust</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ser. 05-AR13, Class 1A4, IO, 0.742s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>13,524,513</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>189,986</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Total collateralized mortgage obligations (cost $76,223,202)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>78,053,913</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5></TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>ASSET-BACKED SECURITIES (9.9%)*</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&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="67%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ameriquest Finance NIM Trust 144A Ser. 04-RN9,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Class N2, 10s, 2034 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>94,287</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>84,858</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Arcap REIT, Inc. 144A</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ser. 03-1A, Class E, 7.11s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>383,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>387,674</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ser. 04-1A, Class E, 6.42s, 2039</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>361,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>359,165</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Asset Backed Funding Certificates 144A FRB</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ser. 06-OPT3, Class B, 7.82s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>52,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>35,308</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Asset Backed Securities Corp. Home Equity Loan Trust</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>144A FRB Ser. 06-HE2, Class M10, 7.82s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>509,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>371,843</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>39</FONT></P>
<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="68%"><FONT face=sans-serif size=1>ASSET-BACKED SECURITIES (9.9%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Aviation Capital Group Trust 144A FRB Ser. 03-2A,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Class G1, 6.02s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>277,625</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>278,796</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Bank One Issuance Trust FRB Ser. 03-C4, Class C4,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>6.35s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>340,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>343,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Bear Stearns Asset Backed Securities, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>FRB Ser. 04-FR3, Class M6, 8.57s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>286,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>282,783</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>FRB Ser. 06-PC1, Class M9, 7.07s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>185,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>120,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Bear Stearns Asset Backed Securities, Inc. 144A FRB</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 06-HE2, Class M10, 7.57s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>270,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>175,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Bombardier Capital Mortgage Securitization Corp.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 00-A, Class A4, 8.29s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>547,366</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>391,281</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 00-A, Class A2, 7.575s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>149,819</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>108,028</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 99-B, Class A4, 7.3s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>708,068</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>467,212</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 99-B, Class A3, 7.18s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,191,610</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>779,760</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>FRB Ser. 00-A, Class A1, 5.48s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>157,448</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>89,745</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Broadhollow Funding, LLC 144A FRB Ser. 04-A,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Class Sub, 6.57s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>598,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>571,090</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Capital Auto Receivables Asset Trust 144A Ser. 06-1,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Class D, 7.16s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>500,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>501,270</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>CARSSX Finance, Ltd. 144A</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>FRB Ser. 04-AA, Class B4, 10.82s, 2011 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>180,214</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>185,418</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>FRB Ser. 04-AA, Class B3, 8.67s, 2011 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>34,922</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>35,429</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Chase Credit Card Master Trust FRB Ser. 03-3,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Class C, 6.4s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>350,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>353,941</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>CHEC NIM Ltd., 144A Ser. 04-2, Class N3, 8s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>(Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>3,654</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>3,571</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Citigroup Mortgage Loan Trust, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>FRB Ser. 05-HE4, Class M11, 7.82s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>304,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>193,891</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>FRB Ser. 05-HE4, Class M12, 7.37s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>457,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>268,625</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Conseco Finance Securitizations Corp.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 00-2, Class A5, 8.85s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,189,495</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,115,113</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 00-4, Class A6, 8.31s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>3,615,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>3,202,428</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 00-5, Class A7, 8.2s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>476,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>402,458</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 00-1, Class A5, 8.06s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,094,563</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>971,437</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 00-4, Class A5, 7.97s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>240,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>214,048</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 00-5, Class A6, 7.96s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>771,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>711,143</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 00-4, Class A4, 7.73s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>75,291</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>69,591</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 01-3, Class M2, 7.44s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>91,847</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>6,429</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>FRB Ser. 02-1, Class M1A, 7.37s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,196,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,215,984</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 01-4, Class A4, 7.36s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>256,212</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>266,565</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 00-6, Class A5, 7.27s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>90,468</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>90,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>FRB Ser. 01-4, Class M1, 7.07s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>295,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>112,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 01-1, Class A5, 6.99s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>987,062</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>973,435</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 01-3, Class A4, 6.91s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>3,073,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>3,047,866</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 02-1, Class A, 6.681s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,232,137</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,252,909</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 01-3, Class A3, 5.79s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>458</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>458</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Countrywide Asset Backed Certificates 144A</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 04-6N, Class N1, 6 1/4s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>25,900</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>24,994</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 04-BC1N, Class Note, 5 1/2s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>25,795</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>24,572</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>40</FONT></P>
<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="68%"><FONT face=sans-serif size=1>ASSET-BACKED SECURITIES (9.9%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Countrywide Home Loans</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 06-0A5, Class X, IO, 2.744s, 2046</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>4,309,576</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>169,690</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 05-2, Class 2X, IO, 1.16s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>4,607,269</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>100,784</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Countrywide Home Loans 144A IFB Ser. 05-R1,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Class 1AS, IO, 0.805s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>4,191,957</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>124,246</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>(Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>431,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>432,246</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>DB Master Finance, LLC 144A Ser. 06-1, Class M1,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>8.285s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>277,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>284,849</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>First Chicago Lennar Trust 144A Ser. 97-CHL1,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Class E, 7.895s, 2039</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,147,636</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,165,568</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>First Franklin Mortgage Loan Asset Backed</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Certificates FRB Ser. 04-FF7, Class A4, 5.62s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>327,184</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>327,347</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Fremont NIM Trust 144A</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 04-3, Class B, 7 1/2s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>41,578</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>370</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 04-3, Class A, 4 1/2s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,452</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>27</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Gears Auto Owner Trust 144A Ser. 05-AA, Class E1,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>8.22s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>687,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>684,937</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Granite Mortgages PLC</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>FRB Ser. 03-2, Class 3C, 6.69s, 2043 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,075,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,160,959</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>FRB Ser. 02-1, Class 1C, 6.66s, 2042 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>331,938</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>332,035</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>FRB Ser. 03-2, Class 2C1, 5.2s, 2043 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,430,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,943,468</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Green Tree Financial Corp.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 94-6, Class B2, 9s, 2020</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>870,032</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>825,395</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 94-4, Class B2, 8.6s, 2019</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>323,272</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>234,646</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 93-1, Class B, 8.45s, 2018</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>583,622</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>556,578</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 99-5, Class A5, 7.86s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>4,540,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>4,313,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 96-8, Class M1, 7.85s, 2027</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>387,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>390,586</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 95-8, Class B1, 7.3s, 2026</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>362,579</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>363,402</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 95-4, Class B1, 7.3s, 2025</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>371,800</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>383,259</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 97-6, Class M1, 7.21s, 2029</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>982,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>936,060</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 99-3, Class A7, 6.74s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>733,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>729,933</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 99-3, Class A5, 6.16s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>9,152</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>9,209</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Greenpoint Manufactured Housing</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 00-3, Class IA, 8.45s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,651,777</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,524,049</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 99-5, Class A4, 7.59s, 2028</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>70,511</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>71,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>GS Auto Loan Trust 144A Ser. 04-1, Class D, 5s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>365,777</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>363,096</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Guggenheim Structured Real Estate Funding, Ltd. 144A</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>FRB Ser. 05-2A, Class E, 7.32s, 2030 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>379,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>380,478</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>FRB Ser. 05-1A, Class E, 7.12s, 2030 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>222,459</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>219,278</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>HASCO NIM Trust 144A Ser. 05-OP1A, Class A, 6 1/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>2035 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>225,300</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>200,517</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>LNR CDO, Ltd. 144A FRB Ser. 02-1A, Class FFL, 8.07s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>2037 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,260,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,260,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Lothian Mortgages PLC 144A FRB Ser. 3A, Class D,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>6.408s, 2039 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>900,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,770,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Madison Avenue Manufactured Housing Contract FRB</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 02-A, Class B1, 8.57s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,046,356</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>816,158</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>41</FONT></P>
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<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>ASSET-BACKED SECURITIES (9.9%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>MASTR Asset Backed Securities NIM Trust 144A</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 04-HE1A, Class Note, 5.191s, 2034 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>3,490</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>3,438</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>MBNA Credit Card Master Note Trust FRB Ser. 03-C5,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Class C5, 6 1/2s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>350,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>354,117</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Merrill Lynch Mortgage Investors, Inc. 144A</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 04-FM1N, Class N1, 5s, 2035 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>10,052</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>9,901</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Mid-State Trust Ser. 11, Class B, 8.221s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>127,937</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>127,109</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Morgan Stanley ABS Capital I FRB Ser. 04-HE8,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Class B3, 8.52s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>214,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>181,900</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Morgan Stanley Auto Loan Trust 144A Ser. 04-HB2,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Class E, 5s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>73,844</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>72,456</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Navistar Financial Corp. Owner Trust</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 05-A, Class C, 4.84s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>191,669</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>187,965</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 04-B, Class C, 3.93s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>83,563</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>81,510</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Oakwood Mortgage Investors, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 99-D, Class A1, 7.84s, 2029</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,035,311</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>916,499</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 00-A, Class A2, 7.765s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>154,410</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>119,315</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 95-B, Class B1, 7.55s, 2021</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>364,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>227,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 00-D, Class A4, 7.4s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,022,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>669,055</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 02-B, Class A4, 7.09s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>429,050</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>411,969</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 99-B, Class A4, 6.99s, 2026</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,134,333</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,084,466</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 01-D, Class A4, 6.93s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>766,737</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>601,752</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 01-E, Class A4, 6.81s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>972,254</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>864,219</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 01-C, Class A2, 5.92s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>993,638</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>508,164</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 02-C, Class A1, 5.41s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,368,684</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,251,746</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 01-D, Class A2, 5.26s, 2019</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>155,206</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>108,165</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 01-E, Class A2, 5.05s, 2019</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,116,121</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>888,291</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 02-A, Class A2, 5.01s, 2020</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>300,657</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>233,281</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Oakwood Mortgage Investors, Inc. 144A Ser. 01-B,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Class A4, 7.21s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>217,608</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>195,040</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ocean Star PLC 144A</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>FRB Ser. 04-A, Class E, 11.86s, 2018 (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>885,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>894,956</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>FRB Ser. 05-A, Class E, 9.96s, 2012 (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>238,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>242,427</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Option One Mortgage Loan Trust FRB Ser. 05-4,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Class M11, 7.82s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>509,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>361,543</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Park Place Securities, Inc. FRB Ser. 04-MCW1,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Class A2, 5.7s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>579,540</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>579,811</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>People&#146;s Choice Net Interest Margin Note 144A</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 04-2, Class B, 5s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>7,773</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>7,330</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Permanent Financing PLC</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>FRB Ser. 3, Class 3C, 6.49s, 2042 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>350,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>352,892</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>FRB Ser. 6, Class 3C, 6.208s, 2042 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>887,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,750,757</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Residential Asset Securities Corp. Ser. 01-KS3,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Class AII, 5.78s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,261,427</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,261,834</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Residential Asset Securities Corp. 144A FRB</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 05-KS10, Class B, 7.8s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>395,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>237,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Residential Asset Securitization Trust IFB</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. 07-A3, Class 2A2, IO, 1.37s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>4,970,589</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>270,432</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Residential Mortgage Securities 144A FRB Ser. 20A,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Class B1A, 6.314s, 2038 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>150,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>296,981</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>42</FONT></P>
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     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>ASSET-BACKED SECURITIES (9.9%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&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="67%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Rural Housing Trust Ser. 87-1, Class D, 6.33s, 2026</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>28,506</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>28,646</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>SAIL Net Interest Margin Notes 144A</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ser. 03-3, Class A, 7 3/4s, 2033 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>17,341</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>54</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ser. 03-BC2A, Class A, 7 3/4s, 2033 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>75,194</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>3,008</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ser. 03-10A, Class A, 7 1/2s, 2033 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>49,754</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>5</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ser. 03-5, Class A, 7.35s, 2033 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>12,452</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>398</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ser. 03-8A, Class A, 7s, 2033 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>7,301</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>34</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ser. 03-9A, Class A, 7s, 2033 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>10,294</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>26</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ser. 03-6A, Class A, 7s, 2033 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>3,426</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>69</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ser. 03-7A, Class A, 7s, 2033 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>20,842</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>104</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Sasco Net Interest Margin Trust 144A Ser. 03-BC1,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Class B, zero %, 2033 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>273,210</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>27</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Soundview Home Equity Loan Trust 144A FRB Ser. 05-4,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Class M10, 7.82%, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>392,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>278,320</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>South Coast Funding 144A FRB Ser. 3A, Class A2,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>6.56s, 2038 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>140,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>140,434</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Structured Asset Investment Loan Trust 144A FRB</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ser. 05-HE3, Class M11, 6.55s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>436,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>226,110</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Structured Asset Receivables Trust 144A FRB</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ser. 05-1, 5.86s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,780,998</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,778,772</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>2038 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>467,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>464,992</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>TIAA Real Estate CDO, Ltd. 144A Ser. 02-1A,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Class IV, 6.84s, 2037 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>390,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>374,205</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Whinstone Capital Management, Ltd. 144A FRB Ser. 1A,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Class B3, 6.26s, 2044 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>683,414</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>683,387</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Whole Auto Loan Trust 144A Ser. 04-1, Class D, 5.6s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>35,685</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>35,628</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Total asset-backed securities (cost $64,751,881)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>64,533,878</FONT>&nbsp; </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="67%"><FONT face=sans-serif size=1>SENIOR LOANS (7.0%)* (c)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&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="67%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Basic Materials (1.3%)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Celanese Corp. bank term loan FRN Ser. B, 7.1s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>300,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>300,654</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Freeport-McMoRan Copper &amp; Gold, Inc. bank term loan</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>FRN Ser. B, 7.11s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,988,300</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,995,914</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Georgia-Pacific Corp. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>7.345s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>760,548</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>764,099</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Georgia-Pacific Corp. bank term loan FRN Ser. B2,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>7.09s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>300,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>301,401</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Hexion Specialty Chemicals, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>7 7/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>249,375</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>250,864</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Innophos, Inc. bank term loan FRN 7.57s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>202,392</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>203,067</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Lyondell Chemical Co. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>7.11s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>99,500</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>99,680</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Momentive Performance Materials, Inc. bank term loan</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>FRN 7 5/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>200,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>200,833</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Nalco Co. bank term loan FRN Ser. B, 7.186s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,026,565</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,032,065</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Novelis, Inc. bank term loan FRN 7.61s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>334,114</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>334,352</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>43</FONT></P>
<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="68%"><FONT face=sans-serif size=1>SENIOR LOANS (7.0%)* (c) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Basic Materials </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Novelis, Inc. bank term loan FRN Ser. B, 7.61s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>580,599</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>581,013</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Rockwood Specialties Group, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. E, 7.36s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,373,970</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,383,588</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>8,447,530</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Capital Goods (0.4%)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Graham Packaging Corp. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>7.634s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>392,965</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>394,228</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Hexcel Corp. bank term loan FRN Ser. B, 7.108s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>438,412</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>438,777</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Mueller Group, Inc. bank term loan FRN 7.36s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>410,159</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>413,064</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Polypore, Inc. bank term loan FRN 8.32s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>709,591</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>712,252</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Terex Corp. bank term loan FRN Ser. D, 7.114s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>49,750</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>49,812</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Transdigm, Inc. bank term loan FRN 7.348s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>250,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>251,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,259,633</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Communication Services (0.6%)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Consolidated Communications Holdings, Inc. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>loan FRN Ser. D, 7.363s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>124,255</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>124,565</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Fairpoint Communications, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. B, 7 1/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>543,116</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>544,644</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Idearc, Inc. bank term loan FRN Ser. B, 7.31s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>600,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>603,450</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Intelsat, Ltd. bank term loan FRN Ser. B, 7.61s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>2013 (Bermuda)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>598,500</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>602,989</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Madison River Capital, LLC bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. B, 7.61s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>788,838</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>789,627</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>MetroPCS Wireless, Inc. bank term loan FRN 7 5/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>249,375</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>250,310</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>PanAmSat Corp. bank term loan FRN Ser. B, 7.86s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>598,500</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>603,213</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Syniverse Holdings, Inc. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>7.12s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>426,734</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>427,268</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Time Warner Telecom, Inc. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>7.325s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>181,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>181,792</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>4,127,858</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Consumer Cyclicals (1.2%)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>CCM Merger, Inc. bank term loan FRN Ser. B, 7.35s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>982,506</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>988,646</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Coinmach Corp. bank term loan FRN Ser. B-1, 7.877s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>248,991</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>250,781</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Cooper Tire &amp; Rubber Co. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>7 7/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>225,113</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>225,770</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Cooper-Standard Automotive, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. C, 7 7/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>579,502</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>581,192</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Dex Media West, LLC bank term loan FRN Ser. B1,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>6.888s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>445,834</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>445,165</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Goodman Global Holdings, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. C, 7 1/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>593,233</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>594,222</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Michaels Stores, Inc. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>8 1/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>317,434</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>320,067</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Neiman Marcus Group, Inc. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>7.352s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>485,713</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>489,584</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>44</FONT></P>
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<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>SENIOR LOANS (7.0%)* (c) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Consumer Cyclicals </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>PRIMEDIA, Inc. bank term loan FRN Ser. B, 7.57s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>148,500</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>148,299</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>R.H. Donnelley, Inc. bank term loan FRN Ser. D-2, 6.856s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>684,282</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>684,187</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>R.H. Donnelley, Inc. bank term loan FRN Ser. D1, 6.852s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>381,958</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>381,693</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Standard-Pacific Corp. bank term loan FRN Ser. B, 6.86s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>99,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Sun Media Corp. bank term loan FRN Ser. B, 7.126s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>2009 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>137,565</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>137,737</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Trump Hotel &amp; Casino Resort, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>5.62s, 2012 (U)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>172,813</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>173,979</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Trump Hotel &amp; Casino Resort, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. B-1, 7.87s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>172,375</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>173,539</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>TRW Automotive, Inc. bank term loan FRN Ser. B, 6.938s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>514,959</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>514,477</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>TRW Automotive, Inc. bank term loan FRN Ser. B2, 6 7/8s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>118,800</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>118,503</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Venetian Casino Resort, LLC bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. B, 7.12s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>664,302</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>668,263</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Venetian Casino Resort, LLC bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. DD, 7.12s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>136,969</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>137,786</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Visant Holding Corp. bank term loan FRN Ser. C, 7.08s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>823,563</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>826,480</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>7,959,370</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Consumer Staples (2.1%)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Affinion Group, Inc. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>7.857s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>772,038</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>777,056</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Burlington Coat Factory Warehouse Corp. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>loan FRN Ser. B, 7.61s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>468,542</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>464,793</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Cablevision Systems Corp. bank term loan FRN 7.11s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,091,750</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,095,162</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Cebridge Connections, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. B, 7.35s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>350,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>350,404</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Cebridge Connections, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. B, 7.61s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>350,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>350,438</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Charter Communications, Inc. bank term loan FRN 7.985s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,228,831</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,223,747</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Charter Communications, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>7.86s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>200,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>199,917</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Charter Communications, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. B, 7.36s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>50,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>49,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Dean Foods Co. bank term loan FRN Ser. B, 6.86s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>750,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>750,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Gray Television, Inc. bank term loan FRN Ser. B, 6.86s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>131,892</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>131,892</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Gray Television, Inc. bank term loan FRN Ser. DD, 6.86s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>59,459</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>59,459</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Gray Television, Inc. bank term loan FRN Ser. DD, 6.86s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>8,649</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>8,649</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Insight Midwest, LP bank term loan FRN 7.36s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>68,075</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>68,557</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Jean Coutu Group, Inc. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>7 7/8s, 2011 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>109,584</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>109,637</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Mediacom Communications Corp. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. C, 7.101s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>985,031</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>985,647</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Mediacom Communications Corp. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. DD, 7.12s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>120,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>119,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>MGM Studios, Inc. bank term loan FRN Ser. B, 8.614s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>893,250</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>893,180</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Pinnacle Foods Holding Corp. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Ser. B, 8.1s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>300,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>301,875</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>45</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<A name="page_47"></A>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>SENIOR LOANS (7.0%)* (c) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&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="67%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Consumer Staples </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Pinnacle Foods Holding Corp. bank term loan FRN 7.36s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>511,803</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>514,362</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Regal Cinemas, Inc. bank term loan FRN Ser. B, 7.114s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>600,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>601,608</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Reynolds American, Inc. bank term loan FRN Ser. B, 7.114s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>248,750</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>250,571</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Six Flags, Inc. bank term loan FRN Ser. B, 8.61s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>426,592</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>429,613</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Spanish Broadcasting Systems, Inc. bank term loan</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>FRN 7.12s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>443,233</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>443,787</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Spectrum Brands, Inc. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>8.601s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>739,297</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>744,379</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Universal City Development Partners bank term loan</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>FRN Ser. B, 7.36s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>969,872</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>975,327</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Warner Music Group bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>7.362s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>153,509</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>153,912</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Young Broadcasting, Inc. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>7.937s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>267,257</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>268,125</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>13,321,772</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="67%"><FONT face=sans-serif size=1>Energy (0.5%)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>CR Gas Storage bank term loan FRN 7.09s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>330,947</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>331,257</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>CR Gas Storage bank term loan FRN 7.089s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>55,277</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>53,595</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>CR Gas Storage bank term loan FRN 7.07s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>58,607</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>58,717</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>CR Gas Storage bank term loan FRN Ser. DD, 7.07s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>37,443</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>37,513</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Key Energy Services, Inc. bank term loan FRN 7.86s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>65,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>65,406</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Key Energy Services, Inc. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>7.861s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>956,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>961,975</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Meg Energy Corp. bank term loan FRN 7.35s, 2013 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>99,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>99,758</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Meg Energy Corp. bank term loan FRN Ser. DD, 6s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>2013 (Canada) (U)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>99,536</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Petroleum Geo-Services ASA bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Ser. B, 7.61s, 2012 (Norway)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>28,662</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>28,805</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Targa Resources, Inc. bank term loan FRN 7.36s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>633,115</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>637,369</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Targa Resources, Inc. bank term loan FRN 5.239s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>153,871</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>154,905</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Western Refining, Inc. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>7.11s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>602,679</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>604,279</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Western Refining, Inc. bank term loan FRN Ser. DD,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>0 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>147,321</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>147,713</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>3,280,828</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="67%"><FONT face=sans-serif size=1>Health Care (0.5%)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>AmeriPath, Inc. bank term loan FRN Ser. B, 7.36s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>46,764</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>46,753</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Davita Inc. bank term loan FRN Ser. B, 6.825s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>300,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>300,773</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Health Management Associates, Inc. bank term loan</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>FRN 7.07s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,198,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,201,182</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>Healthsouth Corp. bank term loan FRN Ser. B, 8.61s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,194,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,199,021</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>LifePoint, Inc. bank term loan FRN Ser. B, 6.985s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>452,470</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>450,773</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>United Surgical Partners International, Inc. bank</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%"><FONT face=sans-serif size=1>term loan FRN 7.145s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>52,735</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>52,735</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="67%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>3,251,237</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>46</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>SENIOR LOANS (7.0%)* (c) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD noWrap align=left width="68%" background="">&nbsp;</TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=left width="10%" background=""></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Technology (0.2%)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Affiliated Computer Services, Inc. bank term loan</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>FRN Ser. B2, 7.32s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>49,875</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>49,937</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Aspect Software, Inc. bank term loan FRN 8 3/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>49,875</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>50,291</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>JDA Software Group, Inc. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>7.61s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>39,875</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>40,224</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Sabre Holdings Corp. bank term loan FRN 7.61s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>300,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>299,775</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>SunGard Data Systems, Inc. bank term loan FRN 7.36s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>600,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>604,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Travelport bank term loan FRN 8.364s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>6,335</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>6,390</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Travelport bank term loan FRN Ser. B, 8.364s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>64,342</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>64,905</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>UGS Corp. bank term loan FRN Ser. C, 7.097s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>408,276</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>408,276</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,524,298</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD noWrap align=left width="68%" background="">&nbsp;</TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=left width="10%" background=""></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Transportation (0.1%)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>United Airlines Corp. bank term loan FRN Ser. B, 7 3/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>800,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>799,687</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Utilities &amp; Power (0.1%)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Mirant North America, LLC. bank term loan FRN 7.07s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>76,613</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>76,699</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>NRG Energy, Inc. bank term loan FRN Ser. B, 7.364s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>612,922</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>616,616</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>693,315</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Total senior loans (cost $45,734,444)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>45,665,528</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5></TD></TR>
<TR>
     <TD width="98%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>COMMON STOCKS (0.1%)*</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Shares</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD noWrap align=left width="68%" background="">&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="10%" background=""></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Bohai Bay Litigation, LLC (Units) (F)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>991</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>14,017</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Contifinancial Corp. Liquidating Trust Units (F)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>3,510,819</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>351</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Owens Corning, Inc. &#134;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>7,652</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>243,793</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>VFB LLC (acquired 10/27/00, cost $594,553) (F) &#135; &#134;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>948,004</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>19,610</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>WHX Corp. &#134;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>17,467</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>148,470</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>XCL Warranty Escrow (F)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>991</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>141,397</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Total common stocks (cost $2,490,016)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>567,638</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>PREFERRED STOCKS (0.1%)* (cost $336,010)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Shares</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Rural Cellular Corp. Ser. B, 11.375% cum. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>426</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>532,500</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5></TD></TR>
<TR>
     <TD width="98%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>CONVERTIBLE PREFERRED STOCKS (&#151;%)* (cost $112,017)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Shares</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Emmis Communications Corp. Ser. A, $3.125 cum. cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,441</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>106,794</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>47</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_49"></A>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="69%" colSpan=2><FONT face=sans-serif size=1>PURCHASED OPTIONS OUTSTANDING (1.3%)*</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=6></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Expiration date/</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Contract</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>strike price</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=6>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=6>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>Option on an interest rate swap</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>with Lehman Brothers for the right to pay</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>a fixed rate swap of 4.148% versus the</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>six month EUR-EURIBOR-Telerate</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>maturing October 10, 2016.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Oct-11 / 4.148</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>34,178,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>956,461</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="59%" background="">&nbsp;</TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="10%" background=""></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>Option on an interest rate swap</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>with Citibank, N.A. London for the right</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>to pay a fixed rate swap of 4.1925%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>versus the six month EUR-EURIBOR-Telerate</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>maturing October 13, 2016.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Oct-11 / 4.148</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>34,178,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>890,076</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="59%" background="">&nbsp;</TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="10%" background=""></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>Option on an interest rate swap</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>with Citibank, N.A. London for the right</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>to receive a fixed rate swap of 4.1925%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>versus the six month EUR-EURIBOR-Telerate</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>maturing October 13, 2016.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Oct-11 / 4.1925&nbsp;</FONT> </TD>
     <TD noWrap align=right width="5%" background=""><FONT face=Arial size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>26,942,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>466,964</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="59%" background="">&nbsp;</TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="10%" background=""></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>Option on an interest rate swap</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>with Lehman Brothers for the right</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>to receive a fixed rate swap of 4.148%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>versus the six month EUR-EURIBOR-Telerate</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>maturing October 10, 2016.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Oct-11 / 4.1925&nbsp;</FONT> </TD>
     <TD noWrap align=right width="5%" background=""><FONT face=Arial size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>26,942,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>418,131</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="59%" background="">&nbsp;</TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="10%" background=""></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>Option on an interest rate swap</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>with Lehman Brothers Special</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>Financing, Inc. for the right to receive</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>a fixed rate of 5.3475% versus the three</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>month USD-LIBOR-BBA maturing on</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>February 4, 2018.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Jan-08 / 5.347</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>66,698,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,717,540</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="59%" background="">&nbsp;</TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="10%" background=""></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>Option on an interest rate swap</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>with JPMorgan Chase Bank, N.A. for the</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>right to receive a fixed rate of 5.39%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>versus the three month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>maturing on January 29, 2018.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Jan-08 / 5.39</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>35,068,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>949,975</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="59%" background="">&nbsp;</TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="10%" background=""></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>Option on an interest rate swap</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>with Lehman Brothers International</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>(Europe) for the right to pay a fixed</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>rate swap of 5.3475% versus the three</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>month USD-LIBOR-BBA maturing</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>February 4, 2018.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Jan-08 / 5.347</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>66,698,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>936,974</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="59%" background="">&nbsp;</TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="10%" background=""></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>Option on an interest rate swap</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>with Lehman Brothers International</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>(Europe) for the right to pay a fixed</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>rate swap of 4.4175% versus the six month</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>EUR-EURIBOR-Telerate maturing</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>January 30, 2017.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Jan-12 / 4.417</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>26,942,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>597,354</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>48</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
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<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="69%" colSpan=2><FONT face=sans-serif size=1>PURCHASED OPTIONS OUTSTANDING (1.3%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=6></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Expiration date/</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Contract</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>strike price</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=6>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=6>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>Option on an interest rate swap</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>with Lehman Brothers Special</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>Financing, Inc. for the right to receive</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>a fixed rate of 4.4175% versus the six</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>month EUR-EURIBOR-Telerate maturing</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>on January 30, 2017.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Jan-12 / 4.417</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>26,942,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>587,547</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="59%" background="">&nbsp;</TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="10%" background=""></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>Option on an interest rate swap</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>with JPMorgan Chase Bank, N.A. for the</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>right to pay a fixed rate of 5.39% versus</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>the three month USD-LIBOR-BBA maturing</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>on January 29, 2018.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Jan-08 / 5.39</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>35,068,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>439,427</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="59%" background=""></TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=right width="5%" background="">&nbsp;</TD>
     <TD noWrap align=right width="10%" background=""></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>Option on an interest rate swap</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>with Citibank for the right to pay a</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>fixed rate of 1.03% versus the six-month</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>JPY-LIBOR-BBA maturing on</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>January 26, 2009.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Jan-08 / 1.03</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>JPY</FONT></TD>
     <TD noWrap align=right width="10%" background=""><FONT face=Arial size=1>&nbsp;7,011,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>75,819</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="59%" background="">&nbsp;</TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="10%" background=""></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>Option on an interest rate swap</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>with Citibank, N.A. London for the right</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>to receive a fixed rate swap of 4.16%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>versus the six month EUR-EURIBOR-Telerate</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>maturing March 26, 2014.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Mar-12 / 4.16</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>6,140,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>50,873</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="59%" background="">&nbsp;</TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="10%" background=""></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>Option on an interest rate swap</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>with Citibank, N.A. London for the right</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>to receive a fixed rate swap of 4.0625%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>versus the six month EUR-EURIBOR-Telerate</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>maturing March 25, 2011.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Mar-09 / 4.062</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>8,790,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>45,294</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="59%" background="">&nbsp;</TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="10%" background=""></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>Option on an interest rate swap</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>with Morgan Stanley Capital</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>Services, Inc. for the right to pay a</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>fixed rate of 6.6975% versus the three</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>month AUD-BBR-BBSW maturing on</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>May 10, 2008.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>May-07 / 6.697&nbsp;</FONT> </TD>
     <TD noWrap align=right width="5%" background=""><FONT face=Arial size=1>AUD</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>88,950,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>34,541</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="59%" background="">&nbsp;</TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="10%" background=""></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>Option on an interest rate swap</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>with Citibank for the right to pay a</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>fixed rate of 4.0625% versus the</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>six-month EUR-EURIBOR-Telerate</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>maturing on March 25, 2011.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Mar-09 / 4.062</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>8,790,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>72,102</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="59%" background="">&nbsp;</TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="10%" background=""></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>Option on an interest rate swap</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>with Citibank for the right to pay a</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>fixed rate of 4.16% versus the six-month</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>EUR-EURIBOR-Telerate maturing on</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=sans-serif size=1>March 26, 2014.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Mar-12 / 4.16</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>6,140,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>67,115</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=6>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=6>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="69%" colSpan=2><FONT face=sans-serif size=1>Total purchased options outstanding (cost $8,897,977)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>8,306,193</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>49</FONT></P>
<HR align=center width="100%" noShade SIZE=2>


<A name="page_51"></A>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="46%"><FONT face=sans-serif size=1>WARRANTS (&#151;%)* &#134;</FONT>&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=right width="7%">&nbsp;</TD>
     <TD noWrap align=left width="11%">&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="46%">&nbsp;</TD>
     <TD noWrap align=left width="17%" colSpan=2><FONT face=sans-serif size=1>Expiration date</FONT></TD>
     <TD noWrap align=right width="11%" background="">&nbsp;<FONT face=Arial size=1>Strike Price</FONT></TD>
     <TD noWrap align=right width="10%" background="">&nbsp;<FONT face=Arial size=1>Warrants</FONT>&nbsp;</TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&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="46%"><FONT face=sans-serif size=1>Dayton Superior Corp. 144A (F)</FONT>&nbsp;</TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>6/15/09</FONT>&nbsp;</TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=1>$</FONT>&nbsp;</TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=1>.69</FONT>&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,020</FONT>&nbsp;</TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>13,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="46%"><FONT face=sans-serif size=1>MDP Acquisitions PLC 144A (Ireland)</FONT>&nbsp;</TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>10/1/13</FONT>&nbsp;</TD>
     <TD noWrap align=right width="7%">&nbsp; <FONT face=Arial size=1>EUR</FONT></TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=1>&nbsp;.001</FONT>&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>508</FONT>&nbsp;</TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>14,224</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="46%"><FONT face=sans-serif size=1>Ubiquitel, Inc. 144A</FONT>&nbsp;</TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>4/15/10</FONT>&nbsp;</TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=1>$</FONT>&nbsp;</TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=1>22.74</FONT>&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,670</FONT>&nbsp;</TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>17</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="46%"><FONT face=sans-serif size=1>Total warrants (cost $116,394)</FONT>&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=right width="7%">&nbsp;</TD>
     <TD noWrap align=left width="11%">&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>27,641</FONT>&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="46%"><FONT face=sans-serif size=1>SHORT-TERM INVESTMENTS (27.6%)*</FONT>&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=right width="7%">&nbsp;</TD>
     <TD noWrap align=left width="11%">&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD></TR>
<TR>
     <TD width="99%" colSpan=7></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="46%">&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=right width="18%" colSpan=2><FONT face=sans-serif size=1>Principal amount/shares</FONT>&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&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="46%"><FONT face=sans-serif size=1>U.S. Treasury Bills for an effective yield of 4.98%,</FONT>&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=right width="7%">&nbsp;</TD>
     <TD noWrap align=left width="11%">&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="46%"><FONT face=sans-serif size=1>maturity date in September 27, 2007 #</FONT>&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=right width="7%"><FONT face=sans-serif size=1>$</FONT>&nbsp;</TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=1>1,791,000</FONT>&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>$</FONT>&nbsp;</TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,747,720</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="46%"><FONT face=sans-serif size=1>U.S. Treasury Bills for an effective yield of 5.08%,</FONT>&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=right width="7%">&nbsp;</TD>
     <TD noWrap align=left width="11%">&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="46%"><FONT face=sans-serif size=1>maturity date in April 26, 2007</FONT>&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=right width="7%">&nbsp;</TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=1>1,792,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,785,706</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="46%"><FONT face=sans-serif size=1>Sheffield Receiving Corp. for an effective yield</FONT>&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=right width="7%">&nbsp;</TD>
     <TD noWrap align=left width="11%">&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="46%"><FONT face=sans-serif size=1>of 5.28%, maturity date in April 12, 2007</FONT>&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=right width="7%">&nbsp;</TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=1>10,681,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>10,663,801</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="46%"><FONT face=sans-serif size=1>Putnam Prime Money Market Fund (e)</FONT>&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=right width="7%">&nbsp;</TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=1>166,778,757</FONT>&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>166,778,757</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%" colSpan=2><FONT face=sans-serif size=1>Total short-term investments (cost $180,975,984)</FONT>&nbsp;</TD>
     <TD noWrap align=right width="7%">&nbsp;</TD>
     <TD noWrap align=left width="11%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>$</FONT>&nbsp;</TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>180,975,984</FONT>&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="46%"><FONT face=sans-serif size=1>TOTAL INVESTMENTS</FONT>&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=right width="7%">&nbsp;</TD>
     <TD noWrap align=left width="11%">&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="46%"><FONT face=sans-serif size=1>Total investments (cost $726,935,178)</FONT>&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=right width="7%">&nbsp;</TD>
     <TD noWrap align=left width="11%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>$</FONT>&nbsp;</TD>
     <TD noWrap align=right width="5%">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>730,822,393</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><I><FONT face=sans-serif size=1>* Percentages indicated are based on net assets of $654,627,010.<BR>
<BR>
&#134; Non-income-producing security.</FONT></I></P>
<P align=left><FONT face=sans-serif size=1>&#134;&#134; <I>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.</I></FONT></P>
<P align=left><I><FONT face=sans-serif size=1>&#135; Restricted, excluding 144A securities, as to public resale. The total market value of restricted securities held at March 31, 2007 was $255,433 or less than 0.1% of net assets.</FONT></I></P>
<P align=left><I><FONT face=sans-serif size=1>&#135;&#135; Income may be received in cash or additional securities at the discretion of the issuer.</FONT></I></P>
<P align=left><I><FONT face=sans-serif size=1># This security was pledged and segregated with the custodian to cover margin requirements for futures contracts, forward currency and forward cross currency contracts and written options at March 31, 2007.</FONT></I></P>
<P align=left><I><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 March 31, 2007. 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 (Notes 1 and 6).</FONT></I></P>
<P align=left><I><FONT face=sans-serif size=1>(e) See Note 5 to the financial statements regarding investments in Putnam Prime Money Market Fund.<BR>
<BR>
(F) Security is valued at fair value following procedures approved by the Trustees.</FONT></I></P>
<P align=left><I><FONT face=sans-serif size=1>(R) Real Estate Investment Trust.</FONT></I></P>
<P align=left><I><FONT face=sans-serif size=1>(U) A portion of the position represents unfunded loan commitments (Note 7).</FONT></I></P>
<P align=left><I><FONT face=sans-serif size=1>At March 31, 2007, liquid assets totaling $270,795,112 have been designated as collateral for open forward commitments, swap contracts and forward contracts.</FONT></I></P>
<P align=left><I><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. <BR>
<BR>
TBA after the name of a security represents to be announced securities (Note 1).</FONT></I></P>
<P align=left><I><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 March 31, 2007. <BR>
<BR>
The dates shown on debt obligations are the original maturity dates.</FONT></I></P>
<P align=left><FONT face=sans-serif size=2>50</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_52"></A>
<P align=left><I><FONT face=sans-serif size=1>Inverse Floating Rate Bonds (IFB) and 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 March 31, 2007.</FONT></I></P>
<P align=left><I><FONT face=sans-serif size=1>DIVERSIFICATION BY COUNTRY</FONT></I></P>
<P align=left><I><FONT face=sans-serif size=1>Distribution of investments by country of issue at March 31, 2007 (as a percentage of Portfolio Value):</FONT></I></P>
<TABLE style="WIDTH: 484px; HEIGHT: 345px" cellSpacing=1 cellPadding=0 width=484 border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="62%"><I><FONT face=sans-serif size=1>Argentina</FONT></I>&nbsp; </TD>
     <TD noWrap align=center width="37%"><I><FONT face=sans-serif size=1>&nbsp; 1.1%</FONT></I>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="62%"><I><FONT face=sans-serif size=1>Canada</FONT></I>&nbsp; </TD>
     <TD noWrap align=center width="37%"><I><FONT face=sans-serif size=1>0.8</FONT></I>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="62%"><I><FONT face=sans-serif size=1>Cayman Islands</FONT></I>&nbsp; </TD>
     <TD noWrap align=center width="37%"><I><FONT face=sans-serif size=1>0.9</FONT></I>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="62%"><I><FONT face=sans-serif size=1>Colombia</FONT></I>&nbsp; </TD>
     <TD noWrap align=center width="37%"><I><FONT face=sans-serif size=1>0.6</FONT></I>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="62%"><I><FONT face=sans-serif size=1>France</FONT></I>&nbsp; </TD>
     <TD noWrap align=center width="37%"><I><FONT face=sans-serif size=1>0.9</FONT></I>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="62%"><I><FONT face=sans-serif size=1>Germany</FONT></I>&nbsp; </TD>
     <TD noWrap align=center width="37%"><I><FONT face=sans-serif size=1>1.0</FONT></I>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="62%"><I><FONT face=sans-serif size=1>Ireland</FONT></I>&nbsp; </TD>
     <TD noWrap align=center width="37%"><I><FONT face=sans-serif size=1>2.1</FONT></I>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="62%"><I><FONT face=sans-serif size=1>Japan</FONT></I>&nbsp; </TD>
     <TD noWrap align=center width="37%"><I><FONT face=sans-serif size=1>1.3</FONT></I>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="62%"><I><FONT face=sans-serif size=1>Luxembourg</FONT></I>&nbsp; </TD>
     <TD noWrap align=center width="37%"><I><FONT face=sans-serif size=1>0.6</FONT></I>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="62%"><I><FONT face=sans-serif size=1>Mexico</FONT></I>&nbsp; </TD>
     <TD noWrap align=center width="37%"><I><FONT face=sans-serif size=1>0.9</FONT></I>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="62%"><I><FONT face=sans-serif size=1>Sweden</FONT></I>&nbsp; </TD>
     <TD noWrap align=center width="37%"><I><FONT face=sans-serif size=1>0.7</FONT></I>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="62%"><I><FONT face=sans-serif size=1>Turkey</FONT></I>&nbsp; </TD>
     <TD noWrap align=center width="37%"><I><FONT face=sans-serif size=1>1.0</FONT></I>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="62%"><I><FONT face=sans-serif size=1>United Kingdom</FONT></I>&nbsp; </TD>
     <TD noWrap align=center width="37%"><I><FONT face=sans-serif size=1>1.7</FONT></I>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="62%"><I><FONT face=sans-serif size=1>United States</FONT></I>&nbsp; </TD>
     <TD noWrap align=center width="37%"><I><FONT face=sans-serif size=1>83.0</FONT></I>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="62%"><I><FONT face=sans-serif size=1>Other</FONT></I>&nbsp; </TD>
     <TD noWrap align=center width="37%"><I><FONT face=sans-serif size=1>3.4</FONT></I>&nbsp; </TD></TR>
<TR>
     <TD width="62%"></TD>
     <TD align=center width="37%">
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="62%"><I><FONT face=sans-serif size=1>Total</FONT></I>&nbsp; </TD>
     <TD noWrap align=center width="37%"><I><FONT face=sans-serif size=1>100.0%</FONT></I>&nbsp; </TD></TR></TABLE><BR>
<BR>
<BR>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="100%" colSpan=5><FONT face=sans-serif size=1>FORWARD CURRENCY CONTRACTS TO BUY at 3/31/07 (aggregate face value $111,471,816) (Unaudited)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left width="100%" colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>Aggregate</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>Delivery</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>appreciation/</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>face value</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>date</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>(depreciation)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left width="100%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>Australian Dollar</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>$24,560,058</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>$24,022,731</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>4/18/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>$ 537,327</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>British Pound</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>15,638,212</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>15,550,083</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>6/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>88,129</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>Canadian Dollar</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>8,275,878</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>8,194,813</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>4/18/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>81,065</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>Danish Krone</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>1,261,505</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>1,242,512</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>6/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>18,993</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>Euro Dollar</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>7,535,968</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>7,487,043</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>6/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>48,925</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>Indian Rupee</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>1,612,092</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>1,619,610</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>4/18/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>(7,518)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>Indonesian Rupiah</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>1,662,106</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>1,653,716</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>5/16/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>8,390</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>Japanese Yen</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>18,747,302</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>18,654,764</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>5/16/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>92,538</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>Malaysian Ringgit</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>1,791,551</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>1,775,823</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>5/16/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>15,728</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>Mexican Peso</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>3,254,671</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>3,265,296</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>4/18/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>(10,625)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>Norwegian Krone</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>17,655,003</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>17,370,890</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>6/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>284,113</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>Polish Zloty</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>5,163,455</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>5,035,816</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>6/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>127,639</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>South Korean Won</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>3,266,659</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>3,287,949</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>5/16/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>(21,290)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>Swedish Krona</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>1,705,497</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>1,695,751</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>6/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>9,746</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>Swiss Franc</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>618,981</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>615,019</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>6/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>3,962</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left width="100%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>Total</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>$1,277,122</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>51</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_53"></A>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="99%" colSpan=9><FONT face=sans-serif size=1>FORWARD CURRENCY CONTRACTS TO SELL at 3/31/07 (aggregate face value $116,550,091) (Unaudited)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="30%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>Aggregate</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=1>Delivery</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="30%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>face value</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=1>date</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>(depreciation)</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="9%"><FONT face=sans-serif size=1>Australian Dollar</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>$5,786,570</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>$5,658,504</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=1>4/18/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>$ (128,066)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>British Pound</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>29,295,778</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>28,724,497</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=1>6/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>(571,281)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>Canadian Dollar</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>5,558,203</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>5,456,797</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=1>4/18/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>(101,406)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>Euro Dollar</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>17,591,783</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>17,520,584</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=1>6/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>(71,199)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>Hungarian Forint</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>3,392,313</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>3,272,073</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=1>6/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>(120,240)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>Japanese Yen</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>22,085,588</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>21,875,248</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=1>5/16/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>(210,340)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>Norwegian Krone</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp;</TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>5,031,884</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>4,968,013</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=1>6/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>(63,871)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>South Korean Won</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>3,266,659</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>3,242,602</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=1>5/16/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>(24,057)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>Swedish Krona</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>15,245,183</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>15,124,593</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=1>6/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>(120,590)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>Swiss Franc</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>6,612,052</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>6,579,018</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=1>6/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>(33,034)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>Taiwan Dollar</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>1,646,547</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>1,646,012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=1>5/16/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>(535)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>Turkish Lira</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>2,579,574</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>2,482,150</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background="">&nbsp;</TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=1>6/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>(97,424)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>Total</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>$(1,542,043)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9></TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="79%" colSpan=6><FONT face=sans-serif size=1>FUTURES CONTRACTS OUTSTANDING at 3/31/07 (Unaudited)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="30%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="30%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>Number of</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=1>Expiration</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>appreciation/</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="30%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>contracts</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=1>date</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>(depreciation)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="48%" colSpan=3><FONT face=sans-serif size=1>Australian Government Bond 10 yr (Short)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>562</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>$320,999,806</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=1>Jun-07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>$ 605,338</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="48%" colSpan=3><FONT face=sans-serif size=1>Euro-Euribor 90 day Interest Rate (Short)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>741</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>236,987,392</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=1>Mar-08</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>168,805</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>U.S. Treasury Note 10 yr (Short)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>973</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>105,205,625</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=1>Jun-07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>(337,126)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>U.S. Treasury Bond 20 yr (Long)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>829</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>92,226,250</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=1>Jun-07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>(413,441)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>U.S. Treasury Note 5 yr (Short)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>811</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>85,801,266</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=1>Jun-07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>(413,361)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>U.S. Treasury Note 2 yr (Short)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>323</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>66,179,672</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=1>Jun-07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>(34,717)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="48%" colSpan=3><FONT face=sans-serif size=1>Japanese Government Bond 10 yr (Long)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>57</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>64,922,313</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=1>Jun-07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>(52,929)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>Euro-Bund 10 yr (Long)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>203</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>31,150,893</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=1>Jun-07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>(323,070)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>Euro-Schatz 2 yr (Short)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>47</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>6,483,329</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=1>Jun-07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>21,536</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>Euro-Bobl 5 yr (Long)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>38</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>5,489,205</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=1>Jun-07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>(37,295)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>U.K. Gilt 10 yr (Long)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>8</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>1,696,929</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=1>Jun-07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>(10,882)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="48%" colSpan=3><FONT face=sans-serif size=1>Canadian Government Bond 10 yr (Long)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>11</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>1,081,678</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=1>Jun-07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>2,534</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>Total</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>$(824,608)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9></TD></TR>
<TR>
     <TD width="99%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="91%" colSpan=8><FONT face=sans-serif size=1>WRITTEN OPTIONS OUTSTANDING at 3/31/07 (premiums received $236,876) (Unaudited)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="30%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>Contract</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background="">&nbsp;</TD>
     <TD noWrap align=left width="12%"><FONT face=Arial size=1>Expiration date/</FONT>&nbsp;</TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%" background="">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="30%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=Arial size=1>strike price</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="48%" colSpan=3><FONT face=sans-serif size=1>Option on an interest rate swap with</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="48%" colSpan=3><FONT face=sans-serif size=1>Morgan Stanley Capital Services, Inc. for</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="48%" colSpan=3><FONT face=sans-serif size=1>the obligation to receive a fixed rate of</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>6.6675% versus the three month</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>AUD-BBR-BBSW maturing</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>on May 10, 2010.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%" background=""></TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=1>AUD</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>32,090,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=Arial size=1>May -07 / 6.667</FONT>&nbsp;&nbsp;</TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="8%" background="">&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>$40,798</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>52</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_54"></A>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="99%" colSpan=10><FONT face=sans-serif size=1>WRITTEN OPTIONS OUTSTANDING at 3/31/07 (premiums received $236,876) (Unaudited) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=10>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=1>Contract</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>Expiration date/</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>strike price</FONT>&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="99%" background="" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="42%" colSpan=4><FONT face=sans-serif size=1>Option on an interest rate swap with</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="42%" colSpan=4><FONT face=sans-serif size=1>Citibank for the obligation to pay a fixed</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=left width="11%">&nbsp;</TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="42%" colSpan=4><FONT face=sans-serif size=1>rate of 4.56% versus the six-month</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="42%" colSpan=4><FONT face=sans-serif size=1>EUR-EURIBOR-Telerate maturing</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>on March 24, 2027.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=1>1,290,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>Mar-17 / 4.56</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>$ 47,111</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="42%" background="" colSpan=4>&nbsp; </TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%" background=""></TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%" background=""></TD>
     <TD noWrap align=left width="10%" background=""></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="42%" colSpan=4><FONT face=sans-serif size=1>Option on an interest rate swap with</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="42%" colSpan=4><FONT face=sans-serif size=1>Citibank for the obligation to receive a</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%" colSpan=5><FONT face=sans-serif size=1>fixed rate of 4.40% versus the six-month</FONT>&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="42%" colSpan=4><FONT face=sans-serif size=1>EUR-EURIBOR-Telerate maturing</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>on March 26, 2022.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=1>1,430,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>Mar-12 / 4.40</FONT>&nbsp; </TD>
     <TD noWrap align=left width="11%" background="">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>63,299</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="42%" background="" colSpan=4>&nbsp;</TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%" background=""></TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%" background=""></TD>
     <TD noWrap align=left width="10%" background=""></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="42%" colSpan=4><FONT face=sans-serif size=1>Option on an interest rate swap with</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="42%" colSpan=4><FONT face=sans-serif size=1>Citibank for the obligation to receive a</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="52%" colSpan=5><FONT face=sans-serif size=1>fixed rate of 4.56% versus the six-month</FONT>&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="42%" colSpan=4><FONT face=sans-serif size=1>EUR-EURIBOR-Telerate maturing</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>on March 24, 2027.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=1>1,290,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>Mar-17 / 4.56</FONT>&nbsp; </TD>
     <TD noWrap align=left width="11%" background="">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>58,721</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="42%" background="" colSpan=4>&nbsp;</TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%" background=""></TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=left width="11%" background=""></TD>
     <TD noWrap align=left width="10%" background=""></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="42%" colSpan=4><FONT face=sans-serif size=1>Option on an interest rate swap with</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="42%" colSpan=4><FONT face=sans-serif size=1>Citibank for the obligation to pay a fixed</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="42%" colSpan=4><FONT face=sans-serif size=1>rate of 4.40% versus the six-month</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="42%" colSpan=4><FONT face=sans-serif size=1>EUR-EURIBOR-Telerate maturing</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp;</TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>on March 28, 2022.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=1>1,430,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>Mar-12 / 4.40</FONT>&nbsp; </TD>
     <TD noWrap align=left width="11%" background="">&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>47,088</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>Total</FONT>&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>$257,017</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=10></TD></TR>
<TR>
     <TD width="99%" colSpan=10>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="99%" colSpan=10><FONT face=sans-serif size=1>TBA SALE COMMITMENTS OUTSTANDING at 3/31/07 (proceeds receivable $40,869,344) (Unaudited)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=10></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=1>Settlement</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=1>date</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="99%" background="" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>FNMA, 6s, April 1, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="11%">&nbsp;</TD>
     <TD noWrap align=right width="5%" background=""><FONT face=Arial size=1>$</FONT>&nbsp;</TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>800,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=1>4/12/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>$ 805,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="42%" colSpan=4><FONT face=sans-serif size=1>FNMA, 5 1/2s, April 1, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="11%"></TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=right width="10%" background=""><FONT face=Arial size=1>40,400,000&nbsp; </FONT></TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=1>4/12/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>39,967,595</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>Total</FONT>&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>$40,773,470</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=10>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=10>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="78%" colSpan=8><FONT face=sans-serif size=1>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/07 (Unaudited)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=10></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>Payments</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>Payments</FONT>&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>Swap counterparty /</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=1>Termination</FONT>&nbsp; </TD>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>made by</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>received by</FONT>&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>appreciation/</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>Notional amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=1>date</FONT>&nbsp; </TD>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>fund per annum</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>fund per annum</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>(depreciation)</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="99%" background="" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>Bank of America, N.A.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="99%" background="" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=1>$ 10,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%" background="">&nbsp;</TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=1>9/1/15</FONT>&nbsp; </TD>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>4.53%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>$(410,506)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=1>16,800,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=1>3/30/09</FONT>&nbsp; </TD>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>3.075%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>611,940</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=1>4,400,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=1>1/27/14</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>4.35%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>188,204</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>Citibank N.A., London</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>AUD</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=1>29,270,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=1>3/14/17</FONT>&nbsp; </TD>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>6 month AUD-BBR-BBSW</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>6.19125%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>(347,994)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>AUD</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=1>29,270,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=1>3/13/17</FONT>&nbsp; </TD>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>6 month AUD-BBR-BBSW</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>6.22625%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>(288,046)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>NZD</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=1>21,540,000 &nbsp;</FONT></TD>
     <TD noWrap align=right width="10%" background="">&nbsp;<FONT face=Arial size=1>(E) </FONT></TD>
     <TD noWrap align=left width="11%" background="">&nbsp;<FONT face=Arial size=1>3/9/12</FONT>&nbsp; </TD>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>3 month NZD-BBR-FRA</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>7.0625%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>(103,431)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=1>560,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=1>1/26/17</FONT>&nbsp; </TD>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>6 month JPY-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>2.49375%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>34,948</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=1>1,357,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=1>1/26/37</FONT>&nbsp; </TD>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>1.8025%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>6 month JPY-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>(35,867)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>SEK</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=sans-serif size=1>49,490,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%" background=""></TD>
     <TD noWrap align=left width="11%"><FONT face=sans-serif size=1>1/19/12</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>4.25%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>3 month SEK-STIBOR-SIDE</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>(4,240)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>53</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_55"></A>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="85%" colSpan=6><FONT face=sans-serif size=1>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/07 (Unaudited) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>Payments</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>Payments</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="28%" colSpan=2><FONT face=sans-serif size=1>Swap counterparty /</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Termination</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>made by</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>received by</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>appreciation/</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="28%" colSpan=2><FONT face=sans-serif size=1>Notional amount</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>date</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>fund per annum</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>fund per annum</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>(depreciation)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="28%" colSpan=2><FONT face=sans-serif size=1>Citibank, N.A.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&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=right width="14%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>24,650,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>7/27/09</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>5.504%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>$ (283,721)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>JPY </FONT></TD>
     <TD noWrap align=right width="14%" background="">&nbsp;<FONT face=Arial size=1>13,104,267,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>4/3/08</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>1.165%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>6 month JPY-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>5,372,749,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>4/3/08</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>6 month JPY-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>1.165%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>178,362</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>1,300,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>2/10/16</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>6 month JPY-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>1.755%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>55,810</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>$42,130,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>9/29/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>5.078%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>(57,982)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>1,134,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>9/11/16</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>1.8675%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>6 month JPY-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>(92,097)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%" colSpan=4><FONT face=sans-serif size=1>Credit Suisse First Boston International</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>5,699,500</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>7/9/14</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>4.945%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>51,953</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="42%" colSpan=3><FONT face=sans-serif size=1>Credit Suisse International</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>2,568,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>7/17/21</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>6 month EUR-EURIBOR-</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>Telerate</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>4.445%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>88,122</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>9,930,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>7/17/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>4.146%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>6 month</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>EUR-EURIBOR-Telerate</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>(197,419)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>11,985,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>7/17/09</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>6 month EUR-EURIBOR-</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>Telerate</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>3.896%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>183,426</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>SEK</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>38,490,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>3/22/17</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>4.3075%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>3 month SEK-STIBOR-SIDE</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>34,764</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>CHF</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>5,950,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>3/22/17</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>6 month CHF-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>3.0475%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>(24,854)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>SEK</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>71,800,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>3/16/17</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>4.2975%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>3 month SEK-STIBOR-SIDE</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>68,618</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>CHF</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>11,100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>3/16/17</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>6 month CHF-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>3.06125%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>(40,869)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>1,480,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>4/3/36</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>GBP 3,728,462 at maturity</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>6 month GBP-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>277,940</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="28%" colSpan=2><FONT face=sans-serif size=1>Deutsche Bank AG</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>ZAR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>12,120,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>7/6/11</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>3 month ZAR-JIBAR-SAFEX</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>9.16%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>31,300</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="42%" colSpan=3><FONT face=sans-serif size=1>Goldman Sachs International</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>SEK</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>65,990,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>1/26/12</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>4.28%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>3 month SEK-STIBOR-SIDE</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>(5,996)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>4,720,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>1/23/37</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>6 month EUR-EURIBOR-</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>Telerate</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>4.36%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>(114,276)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>10,090,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>1/23/17</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>4.269%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>6 month</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>EUR-EURIBOR-Telerate</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>47,433</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>80,600,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>3/8/12</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>4.99%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>(91,884)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>73,300,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>3/10/10</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>4.779%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>13,927</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="42%" colSpan=3><FONT face=sans-serif size=1>JPMorgan Chase Bank, N.A.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>25,100,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>9/2/15</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>4.4505%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>(1,166,438)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>16,700,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>8/4/16</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>5.5195%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>454,858</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>31,100,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>8/4/08</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>5.40%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>106,086</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>SEK</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>70,600,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>2/27/12</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>4.2425%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>3 month SEK-STIBOR-SIDE</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>10,609</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>70,918,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>5/4/08</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>5.37%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>1,061,663</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>22,964,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>5/4/16</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>5.62375%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>(1,125,060)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>7,460,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>6/6/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>1.83%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>6 month JPY-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>(1,611,348)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>30,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>6/17/15</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>4.5505%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>(792,674)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>134,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>6/17/07</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>4.0825%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>(888,225)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>11,050,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>11/8/11</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>5.036%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>22,100</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>17,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>11/8/11</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>3.488%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>U.S. Bond Market</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>Association Municipal Swap</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>(48,336)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>16,780,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>10/10/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>5.09%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>(237,060)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>12,060,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>10/10/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>5.054%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>(141,663)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>8,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>3/6/16</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>5.176%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>21,306</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>54</FONT></P>
<HR align=center width="100%" noShade SIZE=2>


<A name="page_56"></A>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="83%" colSpan=6><FONT face=sans-serif size=1>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/07 (Unaudited)</FONT> <I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=left width="16%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Payments</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Payments</FONT>&nbsp;</TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="30%" colSpan=2><FONT face=sans-serif size=1>Swap counterparty /</FONT>&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Termination</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>made by</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>received by</FONT>&nbsp;</TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>appreciation/</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="30%" colSpan=2><FONT face=sans-serif size=1>Notional amount</FONT>&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>date</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>fund per annum</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>fund per annum</FONT>&nbsp;</TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>(depreciation)</FONT>&nbsp;</TD></TR>
<TR>
     <TD noWrap align=left width="98%" background="" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="53%" colSpan=4><FONT face=sans-serif size=1>Lehman Brothers International (Europe)</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>AUD</FONT>&nbsp;</TD>
     <TD noWrap align=right width="16%"><FONT face=sans-serif size=1>18,340,000</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>(E)</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>3/9/12</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>6.185%</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>3 month AUD-BBR-BBSW</FONT>&nbsp;</TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>$ 84,165</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="16%"><FONT face=sans-serif size=1>$ 32,665,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>3/15/09</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>4.9298%</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>59,701</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="16%"><FONT face=sans-serif size=1>2,218,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>8/3/16</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>5.5675%</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>(68,340)</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="16%"><FONT face=sans-serif size=1>10,091,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>8/3/11</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>5.445%</FONT>&nbsp;</TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>184,172</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right width="16%"><FONT face=sans-serif size=1>24,900,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>11/13/16</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>3.983%</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>6 month</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=left width="16%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>EUR-EURIBOR-Telerate</FONT>&nbsp;</TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>843,100</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right width="16%"><FONT face=sans-serif size=1>7,530,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>10/5/21</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>6 month EUR-EURIBOR-</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=left width="16%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Telerate</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>4.093%</FONT>&nbsp;</TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>(335,010)</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right width="16%"><FONT face=sans-serif size=1>28,370,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>10/5/13</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>3.8975%</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>6 month</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=left width="16%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>EUR-EURIBOR-Telerate</FONT>&nbsp;</TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>710,644</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right width="16%"><FONT face=sans-serif size=1>34,240,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>10/5/09</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>6 month EUR-EURIBOR-</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=left width="16%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Telerate</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>3.825%</FONT>&nbsp;</TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>(404,828)</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="53%" colSpan=4><FONT face=sans-serif size=1>Lehman Brothers Special Financing, Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right width="16%"><FONT face=sans-serif size=1>16,940,000</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>(E)</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>6/7/14</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>6 month EUR-EURIBOR-</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=left width="16%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Telerate</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>4.0975%</FONT>&nbsp;</TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>(234,569)</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right width="16%"><FONT face=sans-serif size=1>56,120,000</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>(E)</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>6/7/11</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>4.0475%</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>6 month</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=left width="16%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>EUR-EURIBOR-Telerate</FONT>&nbsp;</TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>535,800</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right width="16%"><FONT face=sans-serif size=1>104,940,000</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>(E)</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>6/7/08</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>6 month EUR-EURIBOR-</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=left width="16%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Telerate</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>4.0875%</FONT>&nbsp;</TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>(294,265)</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right width="14%">&nbsp;&nbsp;<FONT face=Arial size=1></FONT></TD>
     <TD noWrap align=right width="16%"><FONT face=sans-serif size=1><FONT face=Arial size=1>$</FONT> 79,881,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>8/3/08</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>5.425%</FONT>&nbsp;</TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>301,151</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right width="16%"><FONT face=sans-serif size=1>1,365,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>3/15/36</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>GBP 3,304,438 at maturity</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>6 month GBP-LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>322,893</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>Total</FONT>&nbsp;</TD>
     <TD noWrap align=left width="16%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>$(2,862,003)</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%" colSpan=5><I><FONT face=sans-serif size=1>(E) See Note 1 to the financial statements regarding extended effective dates.</FONT></I>&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7></TD></TR>
<TR>
     <TD width="98%" colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="83%" colSpan=6><FONT face=sans-serif size=1>TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/07 (Unaudited)</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=left width="16%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Fixed payments</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Total return</FONT>&nbsp;</TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="30%" colSpan=2><FONT face=sans-serif size=1>Swap counterparty /</FONT>&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Termination</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%" background=""><FONT face=sans-serif size=1>received (paid) by</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>received by</FONT>&nbsp;</TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>appreciation/</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="30%" colSpan=2><FONT face=sans-serif size=1>Notional amount</FONT>&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>date</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>fund per annum</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>or paid by fund</FONT>&nbsp;</TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>(depreciation)</FONT>&nbsp;</TD></TR>
<TR>
     <TD noWrap align=left width="98%" background="" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="38%" colSpan=3><FONT face=sans-serif size=1>Credit Suisse International</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right width="16%"><FONT face=sans-serif size=1>1,480,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>4/3/36</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>GBP 2,242,757 at</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>GBP Non-revised</FONT>&nbsp;</TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>$(18,612)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=left width="16%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>maturity</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Retail Price</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=left width="16%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="38%" colSpan=3><FONT face=sans-serif size=1>Goldman Sachs International</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="16%"><FONT face=sans-serif><FONT size=1>&nbsp; $ 1,345,000</FONT></FONT></TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>9/15/11</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%" background=""><FONT face=sans-serif size=1>678 bp (1 month</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Ford Credit Auto</FONT>&nbsp;</TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>6,042</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=left width="16%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>USD-LIBOR-BBA)</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Owner Trust</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=left width="16%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Series 2005-B</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=left width="16%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Class D</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right width="16%"><FONT face=sans-serif size=1>17,070,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>1/9/12</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>2.17%</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Eurostat</FONT>&nbsp;</TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>25,310</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=left width="16%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Eurozone HICP</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=left width="16%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>excluding tobacco</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right width="16%"><FONT face=sans-serif size=1>4,700,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>1/9/37</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>(2.3325%)</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Eurostat</FONT>&nbsp;</TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>(48,180)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=left width="16%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Eurozone HICP</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=left width="16%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>excluding tobacco</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right width="16%"><FONT face=sans-serif size=1>16,889,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>10/31/11</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%" background=""><FONT face=sans-serif size=1>2.12%</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Eurostat</FONT>&nbsp;</TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>135,312</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=left width="16%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Eurozone HICP</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=left width="16%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>excluding tobacco</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right width="16%"><FONT face=sans-serif size=1>16,889,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>10/31/11</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%" background=""><FONT face=sans-serif size=1>(1.935%)</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>French Consumer</FONT>&nbsp;</TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>(78,307)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=left width="16%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Price Index</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=left width="16%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>excluding tobacco</FONT>&nbsp;</TD>
     <TD noWrap align=left width="15%">&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR></TABLE>
<P><FONT face=sans-serif size=2>55</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_57"></A>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="85%" colSpan=8><FONT face=sans-serif size=1>TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/07 (Unaudited) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=9></TD></TR>
<TR>
     <TD width="100%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>Fixed payments</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Total return</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>Swap counterparty /</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=1>Termination</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>received (paid) by</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>received by</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>appreciation/</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>Notional amount</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=1>date</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>fund per annum</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>or paid by fund</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>(depreciation)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>JPMorgan Chase Bank, N.A.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="16%"><FONT face=sans-serif size=1>15,930,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background="">&nbsp;</TD>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=1>7/21/11</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>(2.295%)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Euro Non-revised</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>$ (333,647)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background="">&nbsp;</TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Consumer Price</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Index excluding</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>tobacco</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="16%"><FONT face=sans-serif size=1>15,930,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=1>7/21/11</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>2.2325%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Euro Non-revised</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>281,999</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Consumer Price</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Index excluding</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>tobacco</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="16%"><FONT face=sans-serif size=1>$ 8,399,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=1>10/1/07</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>175 bp plus</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>The spread</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>(3,444)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>beginning</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>return of Lehman</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>of period nominal</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Brothers AAA</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>spread of Lehman</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>8.5+ CMBS Index</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>Brothers AAA</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>adjusted by</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>8.5+ Commercial</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>modified</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>Mortgage Backed</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>duration factor</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>Securities Index</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="47%" colSpan=4><FONT face=sans-serif size=1>Lehman Brothers Special Financing, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="16%"><FONT face=sans-serif size=1>18,639,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=1>10/1/07</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>30 bp plus</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>The spread</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>(7,456)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>beginning</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>return of Lehman</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>of period nominal</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Brothers AAA</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>spread of Lehman</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>8.5+ CMBS Index</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>Brothers AAA</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>adjusted by</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>8.5+ Commercial</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>modified</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>Mortgage Backed</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>duration factor</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>Securities Index</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="16%"><FONT face=sans-serif size=1>4,400,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=1>3/29/37</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>(2.275%)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Eurostat</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>4,700</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Eurozone HICP</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>excluding tobacco</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="16%"><FONT face=sans-serif size=1>16,889,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=1>4/26/11</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>2.11%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>French Non-</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>317,985</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>revised Consumer</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Price Index</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>excluding tobacco</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="16%"><FONT face=sans-serif size=1>16,889,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=1>4/26/11</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>(2.115%)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Euro Non-revised</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>(96,973)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Consumer Price</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Index excluding</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>tobacco</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%"><FONT face=sans-serif size=1>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right width="16%"><FONT face=sans-serif size=1>1,365,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background="">&nbsp;</TD>
     <TD noWrap align=left width="21%"><FONT face=sans-serif size=1>3/15/36</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>GBP 2,065,993 at</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>GBP Non-revised</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>(28,200)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=1>maturity</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Retail Price</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Index</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="100%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%"><FONT face=sans-serif size=1>Total</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>$156,529</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="100%" colSpan=9>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=9>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="70%" colSpan=7><FONT face=sans-serif size=1>CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/07 (Unaudited)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=9></TD></TR>
<TR>
     <TD width="100%" colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="21%"><FONT face=sans-serif size=1>Upfront</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&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="15%"><FONT face=sans-serif size=1>Fixed payments</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>Swap counterparty /</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="21%"><FONT face=sans-serif size=1>premium</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Notional</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=1>Termination </FONT></TD>
     <TD noWrap align=left width="15%" background=""><FONT face=Arial size=1>received (paid) by</FONT>&nbsp;&nbsp;&nbsp;</TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>appreciation/</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>Referenced debt*</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="21%"><FONT face=sans-serif size=1>received (paid)**</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=1>date</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>fund per annum</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>(depreciation)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>Bank of America, N.A.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>DJ CDX NA HY Series 4</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background="">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%"><FONT face=sans-serif size=1>Index</FONT>&nbsp; </TD>
     <TD noWrap align=left width="16%">&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="21%"><FONT face=sans-serif size=1>$ 18,006</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>$ 4,370,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=1>6/20/10</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>(360 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>$ (215,920)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>L-3 Communications</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>Corp. 7 5/8%, 6/15/12</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="21%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>590,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=1>9/20/11</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>(111 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>(3,776)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>L-3 Communications</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="21%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif size=1>Corp. 7 5/8%, 6/15/12</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="21%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background="">&nbsp;</TD>
     <TD noWrap align=left width="8%"><FONT face=sans-serif size=1>6/20/11</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>(101 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>(1,061)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>56</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_58"></A>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%" colSpan=8><FONT face=sans-serif size=1>CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/07 (Unaudited) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=10>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Upfront</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>Fixed payments</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Swap counterparty /</FONT>&nbsp; </TD>
     <TD noWrap align=right width="4%"></TD>
     <TD noWrap align=right width="10%" background=""><FONT face=sans-serif size=1>premium</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>Notional</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Termination</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>received (paid)&nbsp;</FONT> </TD>
     <TD noWrap align=right width="5%" background="">&nbsp;</TD>
     <TD noWrap align=right width="13%" background=""><FONT face=Arial size=1>by appreciation/</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Referenced debt*</FONT>&nbsp; </TD>
     <TD noWrap align=right width="4%"></TD>
     <TD noWrap align=right width="10%" background=""><FONT face=sans-serif size=1>received (paid)**</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background="">&nbsp;</TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>date</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>fund per annum</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"></TD>
     <TD noWrap align=right width="13%" background=""><FONT face=sans-serif size=1>(depreciation)</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="100%" background="" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Citibank, N.A.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Charter Communications</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Operating LLC</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>600,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>3/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>(108 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>6,402</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="29%" colSpan=3><FONT face=sans-serif size=1>Credit Suisse First Boston International</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Ford Motor Co., 7.45%,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>7/16/31</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp;</TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>1,400,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>9/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>(487.5 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>(21,123)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Ford Motor Co., 7.45%,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>7/16/31</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>1,700,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>9/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>725 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>102,452</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Ford Motor Co., 7.45%,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>7/16/31</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>300,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>9/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>(485 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>(4,488)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Republic of Argentina,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>8.28%, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>1,175,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>7/20/09</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>(214 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>(31,081)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Ukraine Government,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>7.65%, 6/11/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>1,105,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>10/20/11</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>194 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>36,657</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Credit Suisse International</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Freeport-McMoRan Copper</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>&amp; Gold, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>597,100</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>3/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>(82 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>(4,299)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Neiman Marcus Group,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Inc., 9%, 10/15/15</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>350,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>3/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>(64 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>2,506</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Regal Cinemas Corp.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>600,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>3/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>(70 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>6,826</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Republic of Peru, 8</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>3/4%, 11/21/33</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>610,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>4/20/17</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>125 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Solectron Corp., 0%,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>5/8/20</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>222,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>3/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>(180 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>(1,708)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Solectron Global</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Finance Ltd, 8%, 3/15/16</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>222,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>3/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>380 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>232</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Sungard Data Systems,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Inc., 4 7/8%, 1/15/14</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>600,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>3/20/10</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>(48 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>1,271</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Deutsche Bank AG</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>DJ CDX NA IG Series 7</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>36</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>1,308,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>12/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>(50 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>537</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>DJ CDX NA IG Series 7</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Index 7-10% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>1,308,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>12/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>55 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>4,220</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>DJ CDX NA IG Series 8</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Index 7-10% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>3,608,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>6/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>22 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>2,552</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>DJ iTraxx Europe Series</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>6 Version 1</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>7,200</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>2,318,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>12/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>(40 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>(7,666)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>DJ iTraxx Europe Series</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>6 Version 1, 6-9%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>tranche</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>2,318,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>12/20/2013</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>43 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>23,331</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Republic of Indonesia,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>6.75%, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>575,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>9/20/16</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>292 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>46,347</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Republic of Peru, 8</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>3/4%, 11/21/33</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>610,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>4/20/17</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>126 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>(421)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>United Mexican States,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>7.5%, 4/8/33</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>550,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>4/20/17</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>66 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>(101)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>United Mexican States,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>7.5%, 4/8/33</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>1,495,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>3/20/14</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>56 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>4,631</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Goldman Sachs International</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Any one of the underlying securities</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>in the basket of BB CMBS securities</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>3,768,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>(a)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>2.461%</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>262,275</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Charter Communications</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Operating LLC</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>600,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="4%" background=""></TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>3/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>(103 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>7,669</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>57</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_59"></A>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="84%" colSpan=8><FONT face=sans-serif size=1>CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/07 (Unaudited) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR>
     <TD width="102%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>Upfront</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Fixed payments</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>Swap counterparty /</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>premium</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>Notional</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>Termination</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>received (paid) by&nbsp;</FONT> </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="13%" background="">&nbsp;<FONT face=Arial size=1>appreciation/</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>Referenced debt*</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>received (paid)**</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>date</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>fund per annum</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>(depreciation)</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="102%" background="" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="32%" colSpan=3><FONT face=sans-serif size=1>Goldman Sachs International </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>DJ CDX NA HY Series 4</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""><FONT face=Arial size=1>$ </FONT></TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>14,645</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=Arial><FONT size=1>$ &nbsp;</FONT></FONT></TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>1,520,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background="">&nbsp;</TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>6/20/10</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>(360 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""><FONT face=Arial size=1>$&nbsp;</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>(66,721)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="102%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>DJ CDX NA HY Series 5</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background="">&nbsp;</TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>(241,095)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>13,632,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>12/20/10</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>(395 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>(1,123,858)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="102%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>DJ CDX NA HY Series 8</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>(3,496)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>699,200</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>6/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>(275 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>(3,496)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="102%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>DJ CDX NA HY Series 8</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>Index 25-35% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>2,796,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>6/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>105 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="102%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>DJ CDX NA IG Series 7</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>2,863</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>5,090,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>12/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>(50 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>(246)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="102%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>DJ CDX NA IG Series 7</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>151</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>2,178,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>12/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>(50 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>986</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="102%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>DJ CDX NA IG Series 7</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>Index 7-10% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>5,090,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>12/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>48 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>(262)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="102%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>DJ CDX NA IG Series 7</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>Index 7-10% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>2,178,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>12/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>56 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>12,791</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="102%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>General Motors Corp.,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>7 1/8%, 7/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>1,400,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>9/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>620 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>85,381</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="102%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>General Motors Corp.,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>7 1/8%, 7/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>1,400,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>9/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>(427.5 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>(18,350)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="102%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>General Motors Corp.,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>7 1/8%, 7/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>300,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>9/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>(425 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>(3,894)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="102%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>General Motors Corp.,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>7 1/8%, 7/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>300,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>9/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>620 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>18,296</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="102%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>JPMorgan Chase Bank, N.A.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>DJ CDX NA CMBX AAA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>8,399,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>3/15/49</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>(70 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>(1,120)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="102%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>Ford Motor Co., 7.45%,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>7/16/31</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>9/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>(345 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>(2,348)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="102%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>Ford Motor Co., 7.45%,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>7/16/31</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>9/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>550 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>9,244</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="102%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>Freeport-McMoRan Copper</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>&amp; Gold, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>1,194,100</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>3/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>(85 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>(9,351)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="102%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>General Motors Corp.,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>7 1/8%, 7/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>9/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>(350 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>(2,352)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="102%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>General Motors Corp.,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>7 1/8%, 7/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>9/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>500 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>10,264</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="102%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="32%" colSpan=3><FONT face=sans-serif size=1>Lehman Brothers Special Financing, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>DJ CDX NA CMBX AAA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>18,639,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>3/15/49</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>(700 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>(2,535)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="102%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>DJ CDX NA HY Series 4</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>24,968</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>3,895,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>6/20/10</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>(360 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>(183,531)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="102%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>DJ CDX NA IG Series 7</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>1,246</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>2,100,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>12/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>(50 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>2,051</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="102%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>DJ CDX NA IG Series 7</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>Index 7-10% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>2,100,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>12/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>54.37 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>6,089</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="102%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>DJ iTraxx EUR Series 5</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>9,890</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>1,836,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>6/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>(50 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>(16,627)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="102%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>DJ iTraxx EUR Series 5</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>Index 6-9% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>1,836,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>6/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>53.5 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>33,515</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="102%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>DJ iTraxx Europe Series</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>6 Version 1, 6-9%</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="8%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>2,783,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>12/20/2013</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>45.25 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>30,499</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="102%" colSpan=10>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>58</FONT></P>
<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="87%" colSpan=7><FONT face=sans-serif size=1>CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/07 (Unaudited) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%">&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=1>Upfront</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%">&nbsp; </TD>
     <TD noWrap align=right width="5%" background=""></TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>Fixed payments</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>Swap counterparty /</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=1>premium</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>Notional</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>Termination</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>received (paid)&nbsp;</FONT> </TD>
     <TD noWrap align=right width="12%" background=""><FONT face=Arial size=1>by appreciation/</FONT>&nbsp;&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>Referenced debt*</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=1>received (paid)**</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>date</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>fund per annum</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>(depreciation)</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="99%" background="" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%" colSpan=2><FONT face=sans-serif size=1>Lehman Brothers Special Financing, Inc. </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>DJ iTraxx Europe Series</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>6 Version 1</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=1>$ 6,867</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,783,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>12/20/2013</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>(40 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>$ (10,981)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>Goodyear Tire &amp; Rubber,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>7.857%, 8/15/11</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>140,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background="">&nbsp;</TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>3/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>185 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>1,436</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>Republic of Peru, 8</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>3/4%, 11/21/33</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,185,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>10/20/16</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>215 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>94,727</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>Solectron Corp., 0%,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>5/8/20</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>495,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>3/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>(180 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>(3,257)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>Solectron Corp., 0%,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>5/8/20</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>354,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>3/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>(175 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>(1,607)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>Solectron Corp., 0%,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>5/8/20</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>212,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>3/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>(175 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>(963)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>Solectron Global</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>Finance Ltd, 8%, 3/15/16</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>495,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>3/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>380 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>517</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>Solectron Global</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>Finance Ltd, 8%, 3/15/16</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>354,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>3/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>380 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>407</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>Solectron Global</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>Finance Ltd, 8%, 3/15/16</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>212,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>3/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>385 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>677</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>United Mexican States,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>7.5%, 4/8/33</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>665,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>4/20/17</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>67 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>3,741</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%" colSpan=2><FONT face=sans-serif size=1>Merrill Lynch Capital Services, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>Ford Motor Co., 7.45%,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>7/16/31</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>685,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>9/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>(345 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>(7,167)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>Ford Motor Co., 7.45%,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>7/16/31</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>685,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>9/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>570 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>28,914</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>General Motors Corp.,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>7 1/8%, 7/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>960,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>9/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>(335 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>(10,693)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>General Motors Corp.,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>7 1/8%, 7/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>960,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>9/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>500 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>41,930</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>L-3 Communications</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>Corp. 7 5/8%, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>960,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>9/20/11</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>(111 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>(6,144)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>L-3 Communications</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>Corp. 7 5/8%, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>585,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>6/20/11</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>(92 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>(635)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>Merrill Lynch International</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>DJ CDX NA HY Series 4</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=1>27,289</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,045,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>6/20/10</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>360 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>83,228</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%" colSpan=2><FONT face=sans-serif size=1>Morgan Stanley Capital Services, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>DJ CDX NA HY Series 7</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=1>61,940</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,304,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>12/20/09</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>(325 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>13,361</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>DJ CDX NA HY Series 8</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=1>(3,494)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>698,800</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>6/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>(275 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>(3,494)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>DJ CDX NA HY Series 8</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=1>(5,244)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>699,250</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>6/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>(275 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>(848)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>DJ CDX NA HY Series 8</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>Index 25-35% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,797,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>6/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>108 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>7,720</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>DJ CDX NA IG Series 7</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=1>1,344</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>2,264,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>12/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=1>(50 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>2,212</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>DJ CDX NA IG Series 7</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="22%"><FONT face=sans-serif size=1>Index 10-15% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=sans-serif size=1>52,160</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=sans-serif size=1>1,304,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>12/20/09</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>(3,260)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>59</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<A name="page_61"></A>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="84%" colSpan=8><FONT face=sans-serif size=1>CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/07 (Unaudited) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=9></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=1>Upfront</FONT>&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>Fixed payments</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>Swap counterparty /</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%" colSpan=2><FONT face=sans-serif size=1>premium</FONT>&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>Notional</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>Termination</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>received (paid)&nbsp;</FONT> </TD>
     <TD noWrap align=right width="14%" background=""><FONT face=Arial size=1>by appreciation/ &nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>Referenced debt*</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%" colSpan=2><FONT face=sans-serif size=1>received (paid)**</FONT>&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background="">&nbsp;</TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>date</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>fund per annum</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>(depreciation)</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="98%" background="" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="34%" colSpan=3><FONT face=sans-serif size=1>Morgan Stanley Capital Services, Inc. </FONT><I><FONT face=sans-serif size=1>continued</FONT></I>&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>DJ CDX NA IG Series 7</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>Index, 7-10% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>$2,264,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>12/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>53 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>$ 6,043</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>DJ CDX NA IG Series 8</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=1>(1,658)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>1,804,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>6/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>(35 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>579</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>DJ iTraxx EUR Series 5</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=1>8,793</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>1,836,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>6/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>(50 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>(17,724)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>DJ iTraxx EUR Series 5</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>Index 6-9% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>1,836,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>6/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>57 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>37,950</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>Dominican Republic, 8</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>5/8%, 4/20/27</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="8%"><FONT face=sans-serif size=1>$</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>1,190,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>11/20/11</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>(170 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>(14,942)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>Ford Motor Co., 7.45%,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>7/16/31</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>9/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>(345 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>(2,761)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>Ford Motor Co., 7.45%,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>7/16/31</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>9/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>560 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>9,583</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>Freeport-McMoRan Copper</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>&amp; Gold, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>597,100</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>3/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>(83 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>(4,654)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>General Motors Corp.,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>7 1/8%, 7/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>9/20/07</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>(335 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>(2,009)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>General Motors Corp.,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>7 1/8%, 7/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>9/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>500 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>10,264</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>Russian Federation, 5%,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>3/31/30</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>10,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background="">&nbsp;</TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>3/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>48 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>533</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>United Air Lines, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>600,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>3/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>(94 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>7,619</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>DJ CDX NA HY Series 8</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>Index 25-35% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>2,796,000</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=1>6/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left width="14%"><FONT face=sans-serif size=1>102 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=1>Total</FONT>&nbsp; </TD>
     <TD noWrap align=right width="5%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=sans-serif size=1>$ (749,009)</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><I><FONT face=sans-serif size=1>* Payments related to the reference debt are made upon a credit default event.</FONT></I></P>
<P align=left><I><FONT face=sans-serif size=1>** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.</FONT></I></P>
<P align=left><I><FONT face=sans-serif size=1>(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></P>
<P align=left><I><FONT face=sans-serif size=1>The accompanying notes are an integral part of these financial statements.</FONT></I></P>
<P align=left><FONT face=sans-serif size=2>60</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<A name="page_62"></A>
<P align=left><B><FONT face=sans-serif size=4>Statement of assets and liabilities </FONT></B><FONT face=sans-serif size=2>3/31/07 (Unaudited)</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>ASSETS</FONT>&nbsp; </TD>
     <TD noWrap align=left width="17%">&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="99%" background="" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>Investment in securities, at value (Note 1):</FONT>&nbsp; </TD>
     <TD noWrap align=left width="17%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>Unaffiliated issuers (identified cost $560,156,421)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=sans-serif size=1>$564,043,636</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>Affiliated issuers (identified cost $166,778,757) (Note 5)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=sans-serif size=1>166,778,757</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>Cash</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=sans-serif size=1>5,107,595</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>Foreign currency (cost $5,869,266) (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=sans-serif size=1>5,966,467</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>Dividends, interest and other receivables</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=sans-serif size=1>7,021,317</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>Receivable for securities sold</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=sans-serif size=1>3,902,809</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>Receivable for sales of delayed delivery securities (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=sans-serif size=1>40,938,705</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>Unrealized appreciation on swap contracts (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=sans-serif size=1>8,424,808</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>Premium paid on swap contracts (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=sans-serif size=1>254,987</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>Receivable for variation margin (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=sans-serif size=1>579,941</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>Receivable for open forward currency contracts (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=sans-serif size=1>1,348,394</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>Receivable for closed forward currency contracts (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=sans-serif size=1>427,737</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>Receivable for closed swap contracts (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=sans-serif size=1>84,367</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>Total assets</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=sans-serif size=1>804,879,520</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2></TD></TR>
<TR>
     <TD width="99%" colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>LIABILITIES</FONT>&nbsp; </TD>
     <TD noWrap align=left width="17%">&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="99%" background="" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>Distributions payable to shareholders</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=sans-serif size=1>2,717,574</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>Payable for securities purchased</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=sans-serif size=1>8,003,240</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>Payable for delayed delivery securities (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=sans-serif size=1>82,200,910</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>Payable for compensation of Manager (Notes 2 and 5)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=sans-serif size=1>1,137,971</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>Payable for investor servicing and custodian fees (Note 2)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=sans-serif size=1>31,173</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>Payable for Trustee compensation and expenses (Note 2)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=sans-serif size=1>120,774</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>Payable for administrative services (Note 2)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=sans-serif size=1>3,855</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>Payable for open forward currency contracts (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=sans-serif size=1>1,613,315</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>Payable for closed forward currency contracts (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=sans-serif size=1>1,204,728</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>Payable for closed swap contracts (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=sans-serif size=1>16,003</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>Written options outstanding, at value (premiums received $236,876) (Notes 1 and 3)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=sans-serif size=1>257,017</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>Premium received on swap contracts (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=sans-serif size=1>237,398</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>Unrealized depreciation on swap contracts (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=sans-serif size=1>11,879,291</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>TBA sales commitments, at value (proceeds receivable $40,869,344) (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=sans-serif size=1>40,773,470</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>Other accrued expenses</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=sans-serif size=1>55,791</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>Total liabilities</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=sans-serif size=1>150,252,510</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="82%"><FONT face=sans-serif size=1>Net assets</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=sans-serif size=1>$654,627,010</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>(Continued on next page)</FONT></P>
<P align=left><FONT face=sans-serif size=2>61</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<A name="page_63"></A>
<P align=left><B><FONT face=sans-serif size=4>Statement of assets and liabilities </FONT></B><FONT face=sans-serif size=2>(Continued)</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="76%"><FONT face=sans-serif size=1>REPRESENTED BY</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="99%" background="" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="76%"><FONT face=sans-serif size=1>Paid-in capital (Unlimited shares authorized) (Notes 1 and 4)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="23%"><FONT face=sans-serif size=1>$ 783,022,183</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="76%"><FONT face=sans-serif size=1>Undistributed net investment income (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="23%"><FONT face=sans-serif size=1>7,456,815</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="76%"><FONT face=sans-serif size=1>Accumulated net realized loss on investments</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="76%"><FONT face=sans-serif size=1>and foreign currency transactions (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="23%"><FONT face=sans-serif size=1>(135,365,041)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="76%"><FONT face=sans-serif size=1>Net unrealized depreciation of investments and assets</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="76%"><FONT face=sans-serif size=1>and liabilities in foreign currencies</FONT>&nbsp; </TD>
     <TD noWrap align=right width="23%"><FONT face=sans-serif size=1>(486,947)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="76%"><FONT face=sans-serif size=1>Total &#151; Representing net assets applicable to capital shares outstanding</FONT>&nbsp; </TD>
     <TD noWrap align=right width="23%"><FONT face=sans-serif size=1>$ 654,627,010</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2></TD></TR>
<TR>
     <TD width="99%" colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="76%"><FONT face=sans-serif size=1>COMPUTATION OF NET ASSET VALUE</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="99%" background="" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="76%"><FONT face=sans-serif size=1>Net asset value per share</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="76%"><FONT face=sans-serif size=1>($654,627,010 divided by 91,389,759 shares)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="23%"><FONT face=sans-serif size=1>$7.16</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><I><FONT face=sans-serif size=1>The accompanying notes are an integral part of these financial statements.</FONT></I></P>
<P align=left><FONT face=sans-serif size=2>62</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<A name="page_64"></A>
<P align=left><B><FONT face=sans-serif size=4>Statement of operations </FONT></B><FONT face=sans-serif size=2>Six months ended 3/31/07 (Unaudited)</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="79%"><FONT face=sans-serif size=1>INVESTMENT INCOME</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="99%" background="" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="79%"><FONT face=sans-serif size=1>Interest (including interest income of $3,474,944</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="79%"><FONT face=sans-serif size=1>from investments in affiliated issuers) (Note 5)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>$19,397,856</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="79%"><FONT face=sans-serif size=1>Dividends</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>3,821</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="79%"><FONT face=sans-serif size=1>Total investment income</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>19,401,677</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2></TD></TR>
<TR>
     <TD width="99%" colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="79%"><FONT face=sans-serif size=1>EXPENSES</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="99%" background="" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="79%"><FONT face=sans-serif size=1>Compensation of Manager (Note 2)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>2,381,612</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="79%"><FONT face=sans-serif size=1>Investor servicing fees (Note 2)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>164,223</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="79%"><FONT face=sans-serif size=1>Custodian fees (Note 2)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>132,629</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="79%"><FONT face=sans-serif size=1>Trustee compensation and expenses (Note 2)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>17,512</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="79%"><FONT face=sans-serif size=1>Administrative services (Note 2)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>16,185</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="79%"><FONT face=sans-serif size=1>Other</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>250,177</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="79%"><FONT face=sans-serif size=1>Fees waived and reimbursed by Manager (Note 5)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>(59,326)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="79%"><FONT face=sans-serif size=1>Total expenses</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>2,903,012</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="79%"><FONT face=sans-serif size=1>Expense reduction (Note 2)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>(84,122)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="79%"><FONT face=sans-serif size=1>Net expenses</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>2,818,890</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="79%"><FONT face=sans-serif size=1>Net investment income</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>16,582,787</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="79%"><FONT face=sans-serif size=1>Net realized gain on investments (Notes 1 and 3)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>2,714,324</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="79%"><FONT face=sans-serif size=1>Net increase from payments by affiliate (Note 2)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>7,426</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="79%"><FONT face=sans-serif size=1>Net realized loss on swap contracts (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>(202,692)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="79%"><FONT face=sans-serif size=1>Net realized loss on futures contracts (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>(126,023)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="79%"><FONT face=sans-serif size=1>Net realized gain on foreign currency transactions (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>876,087</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="79%"><FONT face=sans-serif size=1>Net realized gain on written options (Notes 1 and 3)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>245,817</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="79%"><FONT face=sans-serif size=1>Net unrealized depreciation of assets and liabilities in</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="79%"><FONT face=sans-serif size=1>foreign currencies during the period</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>(1,252,726)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="79%"><FONT face=sans-serif size=1>Net unrealized appreciation of investments, futures contracts, swap contracts,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="79%"><FONT face=sans-serif size=1>written options, and TBA sale commitments during the period</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>3,435,435</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="79%"><FONT face=sans-serif size=1>Net gain on investments</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>5,697,648</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="79%"><FONT face=sans-serif size=1>Net increase in net assets resulting from operations</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=1>$22,280,435</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><I><FONT face=sans-serif size=1>The accompanying notes are an integral part of these financial statements.</FONT></I></P>
<P align=left><FONT face=sans-serif size=2>63</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<A name="page_65"></A>
<P align=left><B><FONT face=sans-serif size=4>Statement of changes in net assets </FONT></B></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>DECREASE IN NET ASSETS</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=3></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>Six months ended</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>Year ended</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%">&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>3/31/07*</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>9/30/06</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><I><FONT face=sans-serif size=1>Operations:</FONT></I>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Net investment income</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>$ 16,582,787</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>$ 32,987,962</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Net realized gain (loss) on investments</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>and foreign currency transactions</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>3,514,939</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>(8,900,068)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Net unrealized appreciation of investments and assets</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>and liabilities in foreign currencies</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>2,182,709</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>4,703,076</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Net increase in net assets resulting from operations</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>22,280,435</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>28,790,970</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Distributions to shareholders: (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>From net investment income</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>(16,557,934)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>(34,013,650)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Decrease from shares repurchased (Note 4)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>(15,505,562)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>(39,632,967)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Total decrease in net assets</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>(9,783,061)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>(44,855,647)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=3></TD></TR>
<TR>
     <TD width="98%" colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>NET ASSETS</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="98%" background="" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Beginning of period</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>664,410,071</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>709,265,718</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>End of period </FONT><FONT face=sans-serif size=1>(including undistributed net investment</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>income of $7,456,815 and $7,431,962, respectively)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>$654,627,010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>$664,410,071</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=3></TD></TR>
<TR>
     <TD width="98%" colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>NUMBER OF FUND SHARES</FONT>&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="15%">&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="98%" background="" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Share outstanding at beginning of period</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>93,824,140</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>100,313,084</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Shares repurchased (Note 4)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>(2,434,381)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>(6,488,944)</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%"><FONT face=sans-serif size=1>Shares outstanding at end of period</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>91,389,759</FONT>&nbsp; </TD>
     <TD noWrap align=right width="15%"><FONT face=sans-serif size=1>93,824,140</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><I><FONT face=sans-serif size=1>* Unaudited</FONT></I></P>
<P align=left><I><FONT face=sans-serif size=1>The accompanying notes are an integral part of these financial statements.</FONT></I></P>
<P align=left><FONT face=sans-serif size=2>64</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<A name="page_66"></A>
<P align=left><B><FONT face=sans-serif size=4>Financial highlights </FONT></B><FONT face=sans-serif size=2>(For a common share outstanding throughout the period)</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="49%" colSpan=4><FONT face=sans-serif size=1>PER-SHARE OPERATING PERFORMANCE</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD></TR>
<TR>
     <TD align=left width="99%" colSpan=8></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=right width="12%"></TD>
     <TD noWrap align=right width="13%" background=""><FONT face=sans-serif size=1>Six months ended**</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%" background="">&nbsp;</TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>Year ended</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>3/31/07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>9/30/06</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>9/30/05</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>9/30/04</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>9/30/03</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>9/30/02</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="99%" background="" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>Net asset value,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>beginning of period</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>$7.08</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>$7.07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>$7.13</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>$6.99</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>$6.26</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>$6.54</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><I><FONT face=sans-serif size=1>Investment operations:</FONT></I>&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="24%" colSpan=2><FONT face=sans-serif size=1>Net investment income (a)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>.18(d)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>.34(d)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>.32(d)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>.40(d)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>.48</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>.52</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="24%" colSpan=2><FONT face=sans-serif size=1>Net realized and unrealized</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="24%" colSpan=2><FONT face=sans-serif size=1>gain (loss) on investments</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>.06</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>(.04)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>.04</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>.23</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>.73</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>(.26)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>Total from</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>investment operations</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>.24</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>.30</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>.36</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>.63</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>1.21</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>.26</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><I><FONT face=sans-serif size=1>Less distributions:</FONT></I>&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="24%" colSpan=2><FONT face=sans-serif size=1>From net investment income</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>(.18)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>(.35)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>(.42)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>(.49)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>(.48)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>(.53)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>From return of capital</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>(.01)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>Total distributions</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>(.18 )</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>(.35 )</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>(.42 )</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>(.49 )</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>(.48 )</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>(.54 )</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>Increase from shares</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>repurchased</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>.02</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>.06</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>Net asset value,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>end of period</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>$7.16</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>$7.08</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>$7.07</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>$7.13</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>$6.99</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>$6.26</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>Market value,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>end of period</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>$6.56</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>$6.15</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>$6.25</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>$6.73</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>$6.41</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>$6.38</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>Total return at</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>market value (%)</FONT><FONT face=sans-serif size=1>(b)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>9.65</FONT><FONT face=sans-serif size=1>*</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>4.17</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>(0.98)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>12.95</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>8.35</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>14.81</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left width="99%" colSpan=8></TD></TR>
<TR>
     <TD align=left width="99%" colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="37%" colSpan=3><FONT face=sans-serif size=1>RATIOS AND SUPPLEMENTAL DATA</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="99%" background="" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="24%" colSpan=2><FONT face=sans-serif size=1>Net assets, end of period</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>(in thousands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%" colSpan=2><FONT face=sans-serif size=1>$654,627</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>$664,410</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>$709,266</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>$715,596</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>$700,694</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>$627,620</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>Ratio of expenses to</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="24%" colSpan=2><FONT face=sans-serif size=1>average net assets (%)(c)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>.44* (d)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>.89(d)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>.87(d)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>.86(d)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>.89</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>.87</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="37%" colSpan=3><FONT face=sans-serif size=1>Ratio of net investment income</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%">&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="24%" colSpan=2><FONT face=sans-serif size=1>to average net assets (%)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>2.52* (d)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>4.84(d)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>4.43(d)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>5.61(d)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>7.22</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>7.97</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left width="99%" colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="12%"><FONT face=sans-serif size=1>Portfolio turnover (%)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>29.27*(e)&nbsp;</FONT> </TD>
     <TD noWrap align=right width="12%" background=""><FONT face=Arial size=1>113.12(e)&nbsp; </FONT></TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>165.33(e)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>113.46</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=sans-serif size=1>141.60(f)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=sans-serif size=1>193.33(f)</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>* </FONT><I><FONT face=sans-serif size=1>Not annualized. <BR>
<BR>
</FONT></I><FONT face=sans-serif size=1>** </FONT><I><FONT face=sans-serif size=1>Unaudited.</FONT></I></P>
<P align=left><FONT face=sans-serif size=1>(a) </FONT><I><FONT face=sans-serif size=1>Per share net investment income has been determined on the basis of weighted average number of shares outstanding during the period.</FONT></I></P>
<P align=left><FONT face=sans-serif size=1>(b) </FONT><I><FONT face=sans-serif size=1>Total return assumes dividend reinvestment.</FONT></I></P>
<P align=left><FONT face=sans-serif size=1>(c) </FONT><I><FONT face=sans-serif size=1>Includes amounts paid through expense offset arrangements (Note 2).</FONT></I></P>
<P align=left><FONT face=sans-serif size=2>65</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_67"></A>
<P align=left><B><FONT face=sans-serif size=4>Financial highlights </FONT></B><FONT face=sans-serif size=2>(Continued)</FONT></P>
<P align=left><FONT face=sans-serif size=1>(d) </FONT><I><FONT face=sans-serif size=1>Reflects waivers of certain fund expenses in connection with investments in Putnam Prime Money Market Fund during the period. As a result of such waivers, the expenses of each class, reflect a reduction of the following amounts (Note 5):</FONT></I></P>
<TABLE style="WIDTH: 512px; HEIGHT: 308px" cellSpacing=1 cellPadding=0 width=512 border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="89%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><I><FONT face=sans-serif size=1>Percentage</FONT></I>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="89%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><I><FONT face=sans-serif size=1>of average</FONT></I>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="89%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><I><FONT face=sans-serif size=1>net assets</FONT></I>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="89%"><I><FONT face=sans-serif size=1>March 31, 2007</FONT></I>&nbsp; </TD>
     <TD noWrap align=right width="10%"><I><FONT face=sans-serif size=1>0.01%</FONT></I>&nbsp; &nbsp;</TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="89%"><I><FONT face=sans-serif size=1>September 30, 2006</FONT></I>&nbsp; </TD>
     <TD noWrap align=center width="10%"><I><FONT face=sans-serif size=1>0.02</FONT></I>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="89%"><I><FONT face=sans-serif size=1>September 30, 2005</FONT></I>&nbsp; </TD>
     <TD noWrap align=center width="10%"><I><FONT face=sans-serif size=1>0.02</FONT></I>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="89%"><I><FONT face=sans-serif size=1>September 30, 2004</FONT></I>&nbsp; </TD>
     <TD noWrap align=center width="10%"><I><FONT face=sans-serif size=1>&lt;0.01</FONT></I>&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>(e) </FONT><I><FONT face=sans-serif size=1>Portfolio turnover excludes dollar roll transactions.</FONT></I></P>
<P align=left><FONT face=sans-serif size=1>(f) </FONT><I><FONT face=sans-serif size=1>Portfolio turnover excludes certain treasury note transactions executed in connection with a short-term trading strategy.</FONT></I></P>
<P align=left><I><FONT face=sans-serif size=1>The accompanying notes are an integral part of these financial statements.</FONT></I></P>
<P align=left><FONT face=sans-serif size=2>66</FONT></P>
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<P align=left><B><FONT face=sans-serif size=4>Notes to financial statements</FONT></B> <FONT face=sans-serif size=2>3/31/07 (Unaudited)</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Note 1: Significant accounting policies</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>Putnam Master Intermediate Income Trust (the &#147;fund&#148;), a Massachusetts business trust, is registered under the Investment Company Act of 1940, as amended, as a diversified, closed-end management investment company and is authorized to issue an unlimited number of shares. The fund&#146;s investment objective is to seek, with equal emphasis, high current income and relative stability of net asset value, by allocating its investments among the U.S. investment grade sector, high-yield sector and international sector. The fund invests in higher yielding, lower rated bonds that have a higher rate of default.</FONT></P>
<P align=left><FONT face=sans-serif size=2>In the normal course of business, the fund enters into contracts that may include agreements to indemnify another party under given circumstances. The fund&#146;s maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the fund. However, the fund expects the risk of material loss to be remote. <BR>
<BR>
The following is a summary of significant accounting policies consistently followed by the fund in the preparation of its financial statements. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>A) Security valuation</B></FONT> <FONT face=sans-serif size=2>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 &#151; as in the case of some securities traded over-the-counter &#151; 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 on the basis of valuations</FONT> <FONT face=sans-serif size=2>furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Investment Management, LLC (&#147;Putnam Management&#148;), the fund&#146;s manager, an indirect wholly-owned subsidiary of Putnam, LLC. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparabl
e 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. 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 v
aluations and procedures are reviewed periodically by the Trustees. The fair value of securities is generally determined as the amount that the fund could 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><FONT face=sans-serif size=2><B>B) Joint trading account</B></FONT> <FONT face=sans-serif size=2>Pursuant to an exemptive order from the Securities and Exchange Commission, the fund may transfer uninvested cash balances, including cash collateral received under security lending arrangements, into a joint trading account along with the cash of other registered investment companies and certain other</FONT></P>
<P align=left><FONT face=sans-serif size=2>67</FONT></P>
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<P align=left><FONT face=sans-serif size=2>accounts managed by Putnam Management. These balances may be invested in issues of high-grade short-term investments having maturities of up to 397 days for collateral received under security lending arrangements and up to 90 days for other cash investments.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>C) Security transactions and related investment income</B></FONT> <FONT face=sans-serif size=2>Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis. <BR>
<BR>
Interest income is recorded on the accrual basis. Dividend income, net of applicable withholding taxes, is recognized on the ex-dividend date except that certain dividends from foreign securities, if any, are recognized as soon as the fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Dividends representing a return of capital or capital gains, if any, are reflected as a reduction of cost and/or as a realized gain. All premiums/discounts are amortized/accreted on a yield-to-maturity basis.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Securities purchased or sold on a delayed delivery basis may be settled a month or more after the trade date; interest income is accrued based on the terms of the securities. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under the contract.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The fund earned certain fees in connection with its senior loan purchasing activities. These fees are treated as market discount and are recorded as income in the statement of operations.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>D) Stripped securities</B></FONT> <FONT face=sans-serif size=2>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</FONT> <FONT face=sans-serif size=2>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><FONT face=sans-serif size=2><B>E) Foreign currency translation</B></FONT> <FONT face=sans-serif size=2>The accounting records of the fund are maintained in U.S. dollars. The market value of foreign securities, currency holdings, and other assets and liabilities are recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on closed f
orward currency contracts, disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the fund&#146;s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of open forward currency contracts and assets and liabilities other than investments at the period end, resulting from changes in the exchange rate. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations, not present with domestic investments.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>F) Forward currency contracts</B></FONT> <FONT face=sans-serif size=2>The fund may buy and sell forward currency contracts, which are</FONT></P>
<P align=left><FONT face=sans-serif size=2>68</FONT></P>
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<P align=left><FONT face=sans-serif size=2>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), or for other investment purposes. 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 t
ime it was closed. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the statement of assets and liabilities. Forward currency contracts outstanding at period end, if any, are listed after the fund&#146;s portfolio.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>G) Futures and options contracts</B></FONT> <FONT face=sans-serif size=2>The fund may use futures and options contracts to hedge against changes in the values of securities the fund owns or expects to purchase, or for other investment purposes. The fund may also write options on swaps or securities it owns or in which it may invest to increase its current returns.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The potential risk to the fund is that the change in value of futures and options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, or if the counterparty to the contract is unable to perform. Risks may exceed amounts recognized on the statement of assets</FONT> <FONT face=sans-serif size=2>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 receive
d is recorded as a reduction to the cost of investments.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as &#147;variation margin.&#148; Exchange traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. Options traded over-the-counter are valued using prices supplied by dealers. Futures and written option contracts outstanding at period end, if any, are listed after the fund&#146;s portfolio.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>H) Total return swap contracts</B></FONT> <FONT face=sans-serif size=2>The fund may enter into total return swap contracts, which are arrangements to exchange a market linked return for a periodic payment, both based on a notional principal amount. To the extent that the total return of the security, index or other financial measure 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</FONT></P>
<P align=left><FONT face=sans-serif size=2>69</FONT></P>
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<P align=left><FONT face=sans-serif size=2>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><FONT face=sans-serif size=2><B>I) Interest rate swap contracts</B></FONT> <FONT face=sans-serif size=2>The fund may enter into interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to manage the fund&#146;s exposure to interest rates. Interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or loss. 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. Interes
t rate swap contracts outstanding at period end, if any, are listed after the fund&#146;s portfolio.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>J) Credit default contracts</B></FONT> <FONT face=sans-serif size=2>The fund may enter into credit default contracts where one party, the protection buyer, makes an upfront or periodic payment to a counter party, the protection seller, in exchange for the right to receive a contingent payment. The maximum amount of the payment may equal the notional amount, at par, of the underlying index or security as a result of a related credit event. An upfront payment received by the fund, as the protection seller, is recorded as a liability on the fund&#146;s books. An upfront payment made by the fund, as the protection buyer, is recorded as an asset on the fund&#146;s books. Periodic payments received or paid by the fund are recorded as realized gains or losses. The credit</FONT> <FONT face=sans-serif size=2>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 unreali
zed gain or loss. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses. In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index, the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased comparable publicly traded securities or that the counterparty may default on its obligation to perform. Risks of loss may exceed amounts recognized on the statement of assets and liabilities. Credit default contracts outstanding at period end, if any, are listed after the fund&#146;s portfolio.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>K) TBA purchase commitments</B></FONT> <FONT face=sans-serif size=2>The fund may enter into &#147;TBA&#148; (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price has been established, the principal value has not been finalized. However, the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. TBA purchase commitments may be considered securities themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund
&#146;s other assets. Unsettled TBA purchase commitments are valued at fair value of the underlying securities, according to the procedures described under &#147;Security valuation&#148; above. The contract is &#147;marked-to-market&#148; daily and the</FONT></P>
<P align=left><FONT face=sans-serif size=2>70</FONT></P>
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<P align=left><FONT face=sans-serif size=2>change in market value is recorded by the fund as an unrealized gain or loss.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Although the fund will generally enter into TBA purchase commitments with the intention of acquiring securities for its portfolio or for delivery pursuant to options contracts it has entered into, the fund may dispose of a commitment prior to settlement if Putnam Management deems it appropriate to do so.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>L) TBA sale commitments</B></FONT> <FONT face=sans-serif size=2>The fund may enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as &#147;cover&#148; for the transaction.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Unsettled TBA sale commitments are valued at fair value of the underlying securities, generally according to the procedures described under &#147;Security valuation&#148; above. The contract is &#147;marked-to-market&#148; daily and the change in market value is recorded by the fund as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. TBA sale commitments outstanding at period end, if any, are listed after the fund&#146;s portfolio.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>M) Dollar rolls</B></FONT> <FONT face=sans-serif size=2>To enhance returns, the fund may enter into dollar rolls (principally using TBAs) in which the fund sells securities for delivery in the current month and simultaneously contracts to purchase similar securities on a specified future date. During the period between the sale and subsequent purchase, the fund will not be entitled to receive income and principal payments on the securities sold. The fund will, however, retain the</FONT> <FONT face=sans-serif size=2>difference between the initial sales price and the forward price for the future purchase. The fund will also be able to earn interest on the cash proceeds that are received from the initial sale. The fund may be exposed to market or credit risk if the price of the security changes unfavorably or the counterparty fails to perform under the terms of the agreement.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>N) Federal taxes</B></FONT> <FONT face=sans-serif size=2>It is the policy of the fund to distribute all of its taxable income within the prescribed time and otherwise comply with the provisions of the Internal Revenue Code of 1986 (the &#147;Code&#148;) applicable to regulated investment companies. It is also the intention of the fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Code, as amended. Therefore, no provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains.</FONT></P>
<P align=left><FONT face=sans-serif size=2>At September 30, 2006, the fund had a capital loss carryover of $132,636,061 available to the extent allowed by the Code to offset future net capital gain, if any. The amount of the carryover and the expiration dates are:</FONT></P>
<TABLE style="WIDTH: 537px; HEIGHT: 375px" cellSpacing=1 cellPadding=0 width=537 border=0>
<TR vAlign=bottom>
     <TD noWrap align=right width="44%"><FONT face=sans-serif size=1>Loss Carryover</FONT>&nbsp;</TD>
     <TD noWrap align=right width="55%"><FONT face=sans-serif size=1>Expiration</FONT>&nbsp;</TD></TR>
<TR>
     <TD noWrap align=right width="99%" background="" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right width="44%"><FONT face=sans-serif size=1>$ 6,989,067</FONT>&nbsp;</TD>
     <TD noWrap align=right width="55%"><FONT face=sans-serif size=1>September 30, 2007</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right width="44%"><FONT face=sans-serif size=1>25,640,537</FONT>&nbsp;</TD>
     <TD noWrap align=right width="55%"><FONT face=sans-serif size=1>September 30, 2008</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right width="44%"><FONT face=sans-serif size=1>24,593,458</FONT>&nbsp;</TD>
     <TD noWrap align=right width="55%"><FONT face=sans-serif size=1>September 30, 2009</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right width="44%"><FONT face=sans-serif size=1>27,431,170</FONT>&nbsp;</TD>
     <TD noWrap align=right width="55%"><FONT face=sans-serif size=1>September 30, 2010</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right width="44%"><FONT face=sans-serif size=1>47,564,236</FONT>&nbsp;</TD>
     <TD noWrap align=right width="55%"><FONT face=sans-serif size=1>September 30, 2011</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right width="44%"><FONT face=sans-serif size=1>417,593</FONT>&nbsp;</TD>
     <TD noWrap align=right width="55%"><FONT face=sans-serif size=1>September 30, 2014</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>Pursuant to federal income tax regulations applicable to regulated investment companies, the fund has elected to defer to its fiscal year ending September 30, 2007, $6,429,142 of losses recognized during the period November 1, 2005 to September 30, 2006.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The aggregate identified cost on a tax basis is $727,542,764, resulting in gross unrealized appreciation and depreciation of $13,880,389 and</FONT></P>
<P align=left><FONT face=sans-serif size=2>71</FONT></P>
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<P align=left><FONT face=sans-serif size=2>$10,600,760, respectively, or net unrealized appreciation of $3,279,629.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>O) Distributions to shareholders</B></FONT> <FONT face=sans-serif size=2>Distributions to shareholders from net investment income are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund&#146;s fiscal year. Reclassifications are made to the fund&#146;s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Note 2: Management fee, administrative</FONT></B><BR>
<B><FONT face=sans-serif size=2>services and other transactions</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>Putnam Management is paid for management and investment advisory services quarterly based on the &#147;average weekly assets&#148; of the fund. &#147;Average weekly assets&#148; is defined to mean the average of the weekly determinations of the difference between the total assets of the fund (including any assets attributable to leverage for investment purposes (through incurrence of indebtedness) and the total liabilities of the fund (excluding liabilities incurred in connection with leverage for investment purposes through incurrence of indebtedness). This fee is based on the following annual rates: 0.75% of the first $500 million of average weekly assets, 0.65% of the next $500 million, 0.60% of the next $500 million and 0.55% of the next $5 billion, with additional breakpoints at higher asset levels.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Putnam Investments Limited (&#147;PIL&#148;), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund as determined by Putnam </FONT><FONT face=sans-serif size=2>Management from time to time. Putnam Management pays a quarterly sub-management fee to PIL for its services at an annual rate of 0.40% of the average weekly assets of the portion of the fund managed by PIL.</FONT></P>
<P align=left><FONT face=sans-serif size=2>In July 2006, questions arose regarding a potential misidentification of the characteristics of certain securities in the fund&#146;s portfolio, and the value of these securities was adjusted. The fund currently expects to be reimbursed for losses relating to this matter by Putnam. The amount of such reimbursement has not yet been determined, but is not expected to be material to the fund.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Putnam Management voluntarily reimbursed the fund $7,426 for a trading error which occurred during the period. The effect of the losses incurred and the reimbursement by Putnam Management of such losses had no impact on total return.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Custodial functions for the fund&#146;s assets were provided by Putnam Fiduciary Trust Company (&#147;PFTC&#148;), a subsidiary of Putnam, LLC, and by State Street Bank and Trust Company. Custody fees are based on the fund&#146;s asset level, the number of its security holdings and transaction volumes. Putnam Investor Services, a division of PFTC, provided investor servicing agent functions to the fund. Putnam Investor Services was paid a monthly fee for investor servicing at an annual rate of 0.05% of the fund&#146;s average net assets. During the period ended March 31, 2007, the fund incurred $291,711 for custody and investor servicing agent functions provided by PFTC.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The fund has entered into arrangements with PFTC and State Street Bank and Trust Company whereby PFTC&#146;s and State Street Bank and Trust Company&#146;s fees are reduced by credits allowed</FONT></P>
<P align=left><FONT face=sans-serif size=2>72</FONT></P>
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<P align=left><FONT face=sans-serif size=2>on cash balances. For the six months ended March 31, 2007, the fund&#146;s expenses were reduced by $84,122 under these arrangements.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Each independent Trustee of the fund receives an annual Trustee fee, of which $370, as a quarterly retainer, has been allocated to the fund, and an additional fee for each Trustees meeting attended. Trustees receive additional fees for attendance at certain committee meetings, industry seminars and for certain compliance-related matters. Trustees also are reimbursed for expenses they incur relating to their services as Trustees. George Putnam, III, who is not an independent Trustee, also receives the foregoing fees for his services as Trustee.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The fund has adopted a Trustee Fee Deferral Plan (the &#147;Deferral Plan&#148;) which allows the Trustees to defer the receipt of all or a portion of Trustees fees payable on or after July 1, 1995. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan.<BR>
<BR>
The fund has adopted an unfunded noncontribu-tory defined benefit pension plan (the &#147;Pension Plan&#148;) covering all Trustees of the fund who have served as a Trustee for at least five years and were first elected prior to 2004. Benefits under the Pension Plan are equal to 50% of the Trustee&#146;s average annual attendance and retainer fees for the three years ended December 31, 2005. The retirement benefit is payable during a Trustee&#146;s lifetime, beginning the year following retirement, for the number of years of service through December 31, 2006. Pension expense for the fund is included in Trustee compensation and expenses in the statement of operations. Accrued pension liability is included in Payable for Trustee compensation and expenses in the statement of assets and liabilities. The Trustees have terminated the Pension Plan with respect to any Trustee first elected after 2003.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Note 3: Purchases and sales of securities</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>During the six months ended March 31, 2007, cost of purchases and proceeds from sales of investment </FONT><FONT face=sans-serif size=2>securities other than U.S. government securities and short-term investments aggregated $135,788,115 and $179,789,053, respectively. Purchases and sales of U.S. government securities aggregated $13,288,024 and $13,841,246, respectively.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Written option transactions during the period ended March 31, 2007 are summarized as follows:</FONT></P>
<TABLE style="WIDTH: 462px; HEIGHT: 853px" cellSpacing=1 cellPadding=0 width=462 border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>Contract</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>Premiums</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>Amounts</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>Received</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="100%" background="" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%" colSpan=2><FONT face=sans-serif size=1>Written options</FONT>&nbsp; </TD>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=left width="25%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="50%" colSpan=2><FONT face=sans-serif size=1>outstanding at</FONT>&nbsp; </TD>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=left width="25%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="25%"><FONT face=sans-serif size=1>beginning</FONT>&nbsp; </TD>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=left width="25%">&nbsp;</TD>
     <TD noWrap align=left width="25%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="25%"><FONT face=sans-serif size=1>of period</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>13,104,267,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>$245,817</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>AUD</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="25%"><FONT face=sans-serif size=1>Options</FONT>&nbsp; </TD>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=left width="25%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="25%"><FONT face=sans-serif size=1>opened</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>AUD</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>32,090,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>15,377</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>5,440,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>221,499</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="25%"><FONT face=sans-serif size=1>Options</FONT>&nbsp; </TD>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=left width="25%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="25%"><FONT face=sans-serif size=1>exercised</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>AUD</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="25%"><FONT face=sans-serif size=1>Options</FONT>&nbsp; </TD>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=left width="25%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="25%"><FONT face=sans-serif size=1>expired</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>JPY&nbsp;</FONT> </TD>
     <TD noWrap align=right width="25%" background=""><FONT face=Arial size=1>(13,104,267,000)&nbsp;</FONT></TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>(245,817)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>AUD</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="25%"><FONT face=sans-serif size=1>Options</FONT>&nbsp; </TD>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=left width="25%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="25%"><FONT face=sans-serif size=1>closed</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>AUD</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="100%" colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="25%"><FONT face=sans-serif size=1>Written</FONT>&nbsp; </TD>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=left width="25%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="25%"><FONT face=sans-serif size=1>options</FONT>&nbsp; </TD>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=left width="25%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="25%"><FONT face=sans-serif size=1>outstanding</FONT>&nbsp; </TD>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=left width="25%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="25%"><FONT face=sans-serif size=1>at end</FONT>&nbsp; </TD>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=left width="25%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="25%"><FONT face=sans-serif size=1>of period</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>AUD</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>32,090,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>$ 15,377</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="25%">&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>5,440,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="25%"><FONT face=sans-serif size=1>$221,499</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=4>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><B><FONT face=sans-serif size=2>Note 4: Share repurchase program</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>In October 2005, the Trustees of your fund authorized Putnam Investments to implement a repurchase program on behalf of your fund, which would allow your fund to repurchase up to 5% of its outstanding common shares over the 12 months ending October 6, 2006 (based on</FONT></P>
<P align=left><FONT face=sans-serif size=2>73</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<A name="page_75"></A>
<P align=left><FONT face=sans-serif size=2>shares outstanding as of October 7, 2005). In March 2006, the Trustees approved an increase in this repurchase program to allow the fund to repurchase a total of up to 10% of its outstanding common shares over the same period. In September 2006, the Trustees extended the program on its existing terms through October 6, 2007. Repurchases will only be made when the fund&#146;s shares are trading at less than net asset value and in accordance with procedures approved by the fund&#146;s Trustees.</FONT></P>
<P align=left><FONT face=sans-serif size=2>For the six-months ended March 31, 2007, the fund repurchased 2,434,381 common shares for an aggregate purchase price of $15,505,562, which reflects a weighted-average discount from net asset value per share of 11.2% .</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Note 5: Investment in Putnam Prime Money Market Fund</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>The fund invests in Putnam Prime Money Market Fund, an open-end management investment company managed by Putnam Management. Investments in Putnam Prime Money Market Fund are valued at its closing net asset value each business day. Management fees paid by the fund are reduced by an amount equal to the management and administrative services fees paid by Putnam Prime Money Market Fund with respect to assets invested by the fund in Putnam Prime Money Market Fund. For the period ended March 31, 2007, management fees paid were reduced by $59,326 relating to the fund&#146;s investment in Putnam Prime Money Market Fund. Income distributions earned by the fund are recorded as income in the statement of operations and totaled $3,474,944 for the period ended March 31, 2007. During the period ended March 31, 2007, cost of purchases and proceeds of sales of investments in Putnam Prime Money Market Fund aggregated $136,665,291 and $120,337,730, respectively.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Note 6: Senior loan commitments</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder&#146;s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Note 7: Unfunded loan commitments</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>As of March 31, 2007, the fund had unfunded loan commitments of $272,813, which could be extended at the option of the borrower, pursuant to the following loan agreements with the following borrowers:</FONT></P>
<TABLE style="WIDTH: 438px; HEIGHT: 182px" cellSpacing=1 cellPadding=0 width=438 border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="64%">&nbsp; </TD>
     <TD noWrap align=right width="35%"><FONT face=sans-serif size=1>Unfunded</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="64%"><FONT face=sans-serif size=1>Borrower</FONT>&nbsp; </TD>
     <TD noWrap align=right width="35%"><FONT face=sans-serif size=1>Commitments</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="99%" background="" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="64%"><FONT face=sans-serif size=1>Meg Energy Corp.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="35%"><FONT face=sans-serif size=1>$100,000</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="64%"><FONT face=sans-serif size=1>Trump Hotel &amp; Casino Resort</FONT>&nbsp; </TD>
     <TD noWrap align=right width="35%"><FONT face=sans-serif size=1>172,813</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=2>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><B><FONT face=sans-serif size=2>Note 8: Regulatory matters and litigation</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>In late 2003 and 2004, Putnam Management settled charges brought by the Securities and Exchange Commission (the &#147;SEC&#148;) and the Massachusetts Securities Division (&#147;MSD&#148;) in connection with excessive short-term trading by certain former Putnam employees and, in the case of charges brought by the MSD, excessive short-term trading by participants in some Putnam-administered 401(k) plans. Putnam Management agreed to pay $193.5 million in penalties and restitution, of which $153.5 million will be distributed to certain open-end Putnam funds and their shareholders after the SEC</FONT></P>
<P align=left><FONT face=sans-serif size=2>74</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<A name="page_76"></A>
<P align=left><FONT face=sans-serif size=2>and MSD approve a distribution plan being developed by an independent consultant. The allegations of the SEC and MSD and related matters have served as the general basis for certain lawsuits, including purported class action lawsuits filed against Putnam Management and, in a limited number of cases, against some Putnam funds. Putnam Management believes that these lawsuits will have no material adverse effect on the funds or on Putnam Management&#146;s ability to provide investment management services. In addition, Putnam Management has agreed to bear any costs incurred by the Putnam funds as a result of these matters. <BR>
<BR>
The Staff of the SEC has indicated that it believes that Putnam Management did not comply with certain disclosure requirements in connection with dividend payments to shareholders of your fund. Putnam Management is currently engaged in settlement negotiations with the SEC Staff regarding this matter.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Putnam Management and Putnam Retail Management are named as defendants in a civil suit in which the plaintiffs allege that the management and distribution fees paid by certain Putnam funds were excessive and seek recovery under the Investment Company Act of 1940. Putnam Management and Putnam Retail Management have contested the plaintiffs&#146; claims and the matter is currently pending in the U.S. District Court for the District of Massachusetts. Based on currently available information, Putnam Management believes that this action is without merit and that it is unlikely to have a material effect on Putnam Management&#146;s and Putnam Retail Management&#146;s ability to provide services to their clients, including the fund.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Note 9: New accounting pronouncements</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>In June 2006, the Financial Accounting Standards Board (&#147;FASB&#148;) issued Interpretation No. 48, </FONT><I><FONT face=sans-serif size=2>Accounting for Uncertainty in Income Taxes </FONT></I><FONT face=sans-serif size=2>(the &#147;Interpretation&#148;). The Interpretation prescribes a minimum threshold for financial statement recognition of the benefit of a tax position taken </FONT><FONT face=sans-serif size=2>or expected to be taken by a filer in the filer&#146;s tax return. The Interpretation will become effective for fiscal years beginning after December 15, 2006 but will also apply to tax positions reflected in the fund&#146;s financial statements as of that date. No determination has been made whether the adoption of the Interpretation will require the fund to make any adjustments to its net assets or have any other effect on the fund&#146;s financial statements. The effects of implementing this pronouncement, if any, will be noted in the fund&#146;s nex
t semiannual financial statements.</FONT></P>
<P align=left><FONT face=sans-serif size=2>In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157, </FONT><I><FONT face=sans-serif size=2>Fair Value Measurements </FONT></I><FONT face=sans-serif size=2>(the &#147;Standard&#148;). The Standard defines fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. The Standard applies to fair value measurements already required or permitted by existing standards. The Standard is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. Putnam Management is currently evaluating what impact the adoption of the Standard will have on the fund&#146;s financial statements.</FONT></P>
<P align=left><FONT face=sans-serif size=2>75</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<A name="page_77"></A>
<P align=left><B><FONT face=sans-serif size=4>Shareholder meeting </FONT></B><BR>
<B><FONT face=sans-serif size=4>results (Unaudited)</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>The annual meeting of shareholders of the fund was held on January 11, 2007.</FONT></P>
<P align=left><FONT face=sans-serif size=2>At the meeting, each of the nominees for Trustees was elected, as follows:</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="35%">&nbsp; </TD>
     <TD noWrap align=center width="36%"><FONT face=sans-serif size=1>Votes for</FONT>&nbsp; </TD>
     <TD noWrap align=center width="27%"><FONT face=sans-serif size=1>Votes withheld</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="98%" background="" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="35%"><FONT face=sans-serif size=2>Jameson A. Baxter</FONT>&nbsp; </TD>
     <TD noWrap align=center width="36%"><FONT face=sans-serif size=2>85,470,695</FONT>&nbsp; </TD>
     <TD noWrap align=center width="27%"><FONT face=sans-serif size=2>2,139,016</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="35%"><FONT face=sans-serif size=2>Charles B. Curtis</FONT>&nbsp; </TD>
     <TD noWrap align=center width="36%"><FONT face=sans-serif size=2>85,462,746</FONT>&nbsp; </TD>
     <TD noWrap align=center width="27%"><FONT face=sans-serif size=2>2,146,965</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="35%"><FONT face=sans-serif size=2>Myra R. Drucker</FONT>&nbsp; </TD>
     <TD noWrap align=center width="36%"><FONT face=sans-serif size=2>85,494,873</FONT>&nbsp; </TD>
     <TD noWrap align=center width="27%"><FONT face=sans-serif size=2>2,114,838</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="35%"><FONT face=sans-serif size=2>John A. Hill</FONT>&nbsp; </TD>
     <TD noWrap align=center width="36%"><FONT face=sans-serif size=2>85,466,140</FONT>&nbsp; </TD>
     <TD noWrap align=center width="27%"><FONT face=sans-serif size=2>2,143,571</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="35%"><FONT face=sans-serif size=2>Paul L. Joskow</FONT>&nbsp; </TD>
     <TD noWrap align=center width="36%"><FONT face=sans-serif size=2>85,479,676</FONT>&nbsp; </TD>
     <TD noWrap align=center width="27%"><FONT face=sans-serif size=2>2,130,035</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="35%"><FONT face=sans-serif size=2>Elizabeth T. Kennan</FONT>&nbsp; </TD>
     <TD noWrap align=center width="36%"><FONT face=sans-serif size=2>85,490,681</FONT>&nbsp; </TD>
     <TD noWrap align=center width="27%"><FONT face=sans-serif size=2>2,119,030</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="35%"><FONT face=sans-serif size=2>Kenneth R. Leibler</FONT>&nbsp; </TD>
     <TD noWrap align=center width="36%"><FONT face=sans-serif size=2>85,453,240</FONT>&nbsp; </TD>
     <TD noWrap align=center width="27%"><FONT face=sans-serif size=2>2,156,471</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="35%"><FONT face=sans-serif size=2>Robert E. Patterson</FONT>&nbsp; </TD>
     <TD noWrap align=center width="36%"><FONT face=sans-serif size=2>85,446,628</FONT>&nbsp; </TD>
     <TD noWrap align=center width="27%"><FONT face=sans-serif size=2>2,163,083</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="35%"><FONT face=sans-serif size=2>W. Thomas Stephens</FONT>&nbsp; </TD>
     <TD noWrap align=center width="36%"><FONT face=sans-serif size=2>85,492,726</FONT>&nbsp; </TD>
     <TD noWrap align=center width="27%"><FONT face=sans-serif size=2>2,116,985</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="35%"><FONT face=sans-serif size=2>Richard B. Worley</FONT>&nbsp; </TD>
     <TD noWrap align=center width="36%"><FONT face=sans-serif size=2>85,462,471</FONT>&nbsp; </TD>
     <TD noWrap align=center width="27%"><FONT face=sans-serif size=2>2,147,240</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="35%"><FONT face=sans-serif size=2>Charles E. Haldeman, Jr.</FONT>&nbsp; </TD>
     <TD noWrap align=center width="36%"><FONT face=sans-serif size=2>85,500,261</FONT>&nbsp; </TD>
     <TD noWrap align=center width="27%"><FONT face=sans-serif size=2>2,109,450</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="35%"><FONT face=sans-serif size=2>George Putnam, III</FONT>&nbsp; </TD>
     <TD noWrap align=center width="36%"><FONT face=sans-serif size=2>85,498,615</FONT>&nbsp; </TD>
     <TD noWrap align=center width="27%"><FONT face=sans-serif size=2>2,111,096</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>A proposal to convert the fund to an open-end investment company was defeated as follows:</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=center width="20%"><FONT face=sans-serif size=1>Votes for</FONT>&nbsp; </TD>
     <TD noWrap align=center width="29%"><FONT face=sans-serif size=1>Votes against</FONT>&nbsp; </TD>
     <TD noWrap align=center width="26%"><FONT face=sans-serif size=1>Abstentions</FONT>&nbsp; </TD>
     <TD noWrap align=center width="23%"><FONT face=sans-serif size=1>Broker non-votes</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=center width="98%" background="" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center width="20%"><FONT face=sans-serif size=2>12,297,690</FONT>&nbsp; </TD>
     <TD noWrap align=center width="29%"><FONT face=sans-serif size=2>28,324,005</FONT>&nbsp; </TD>
     <TD noWrap align=center width="26%"><FONT face=sans-serif size=2>1,162,836</FONT>&nbsp; </TD>
     <TD noWrap align=center width="23%"><FONT face=sans-serif size=2>45,825,180</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=4>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><I><FONT face=sans-serif size=1>All tabulations are rounded to the nearest whole number.</FONT></I></P>
<P align=left><FONT face=sans-serif size=2>76</FONT></P>
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<A name="page_78"></A>
<P align=left><B><FONT face=sans-serif size=4>Fund information</FONT></B></P>
<P align=left><B><FONT face=sans-serif>About Putnam Investments</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>Founded nearly 70 years ago, Putnam Investments was built around the concept that a balance between risk and reward is the hallmark of a well-rounded financial program. We manage over 100 mutual funds in growth, value, blend, fixed income, and international.</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="31%"><FONT face=sans-serif size=2><B>Investment Manager&nbsp;</B></FONT></TD>
     <TD noWrap align=left width="33%"><FONT face=sans-serif size=2>Elizabeth T. Kennan</FONT>&nbsp;</TD>
     <TD noWrap align=left width="34%"><FONT face=sans-serif size=2>Beth S. Mazor</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="31%"><FONT face=sans-serif size=2>Putnam Investment</FONT>&nbsp;</TD>
     <TD noWrap align=left width="33%"><FONT face=sans-serif size=2>Kenneth R. Leibler</FONT>&nbsp;</TD>
     <TD noWrap align=left width="34%"><I><FONT face=sans-serif size=2>Vice President</FONT></I>&nbsp;</TD></TR>
<TR>
     <TD noWrap align=left width="31%" background=""><FONT face=sans-serif size=2>Management, LLC</FONT>&nbsp;</TD>
     <TD noWrap align=left width="33%" background=""><FONT face=sans-serif size=2>Robert E. Patterson</FONT>&nbsp;</TD>
     <TD noWrap align=left width="34%" background="">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="31%"><FONT face=sans-serif size=2>One Post Office Square</FONT>&nbsp;</TD>
     <TD noWrap align=left width="33%"><FONT face=sans-serif size=2>George Putnam, III</FONT>&nbsp;</TD>
     <TD noWrap align=left width="34%"><FONT face=sans-serif size=2>James P. Pappas</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="31%"><FONT face=sans-serif size=2>Boston, MA 02109</FONT>&nbsp;</TD>
     <TD noWrap align=left width="33%"><FONT face=sans-serif size=2>W. Thomas Stephens</FONT>&nbsp;</TD>
     <TD noWrap align=left width="34%"><I><FONT face=sans-serif size=2>Vice President</FONT></I>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="31%"></TD>
     <TD noWrap align=left width="33%"><FONT face=sans-serif size=2>Richard B. Worley</FONT>&nbsp;</TD>
     <TD noWrap align=left width="34%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="31%"><FONT face=sans-serif size=2><B>Investment Sub-Manager&nbsp;</B></FONT></TD>
     <TD noWrap align=left width="33%"></TD>
     <TD noWrap align=left width="34%"><FONT face=sans-serif size=2>Richard S. Robie, III</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="31%"><FONT face=sans-serif size=2>Putnam Investments Limited</FONT>&nbsp;</TD>
     <TD noWrap align=left width="33%"><FONT face=sans-serif size=2><B>Officers&nbsp;</B></FONT></TD>
     <TD noWrap align=left width="34%"><I><FONT face=sans-serif size=2>Vice President</FONT></I>&nbsp;</TD></TR>
<TR>
     <TD noWrap align=left width="31%" background=""><FONT face=sans-serif size=2>57&#150;59 St. James&#146;s Street</FONT>&nbsp;</TD>
     <TD noWrap align=left width="33%" background=""><FONT face=sans-serif size=2>George Putnam, III</FONT>&nbsp;</TD>
     <TD noWrap align=left width="34%" background="">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="31%"><FONT face=sans-serif size=2>London, England SW1A 1LD</FONT>&nbsp;</TD>
     <TD noWrap align=left width="33%"><I><FONT face=sans-serif size=2>President</FONT></I>&nbsp;</TD>
     <TD noWrap align=left width="34%"><FONT face=sans-serif size=2>Francis J. McNamara, III</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="31%"></TD>
     <TD noWrap align=left width="33%"></TD>
     <TD noWrap align=left width="34%"><I><FONT face=sans-serif size=2>Vice President and</FONT></I>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="31%"><FONT face=sans-serif size=2><B>Marketing Services</B></FONT>&nbsp;</TD>
     <TD noWrap align=left width="33%"><FONT face=sans-serif size=2>Charles E. Porter</FONT>&nbsp;</TD>
     <TD noWrap align=left width="34%"><I><FONT face=sans-serif size=2>Chief Legal Officer</FONT></I>&nbsp;</TD></TR>
<TR>
     <TD noWrap align=left width="31%" background=""><FONT face=sans-serif size=2>Putnam Retail Management</FONT>&nbsp;</TD>
     <TD noWrap align=left width="33%" background=""><I><FONT face=sans-serif size=2>Executive Vice President,</FONT></I>&nbsp;</TD>
     <TD noWrap align=left width="34%" background="">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="31%"><FONT face=sans-serif size=2>One Post Office Square</FONT>&nbsp;</TD>
     <TD noWrap align=left width="33%"><I><FONT face=sans-serif size=2>Principal Executive Officer,</FONT></I>&nbsp;</TD>
     <TD noWrap align=left width="34%"><FONT face=sans-serif size=2>Robert R. Leveille</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="31%"><FONT face=sans-serif size=2>Boston, MA 02109</FONT>&nbsp;</TD>
     <TD noWrap align=left width="33%"><I><FONT face=sans-serif size=2>Associate Treasurer and</FONT></I>&nbsp;</TD>
     <TD noWrap align=left width="34%"><I><FONT face=sans-serif size=2>Chief Compliance Officer</FONT></I>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="31%"></TD>
     <TD noWrap align=left width="33%"><I><FONT face=sans-serif size=2>Compliance Liaison</FONT></I>&nbsp;</TD>
     <TD noWrap align=left width="34%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="31%"><FONT face=sans-serif size=2><B>Custodians</B></FONT>&nbsp;</TD>
     <TD noWrap align=left width="33%"></TD>
     <TD noWrap align=left width="34%"><FONT face=sans-serif size=2>Mark C. Trenchard</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="31%"><FONT face=sans-serif size=2>Putnam Fiduciary Trust</FONT>&nbsp;</TD>
     <TD noWrap align=left width="33%"><FONT face=sans-serif size=2>Jonathan S. Horwitz</FONT>&nbsp;</TD>
     <TD noWrap align=left width="34%"><I><FONT face=sans-serif size=2>Vice President and</FONT></I>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="31%"><FONT face=sans-serif size=2>Company, State Street Bank</FONT>&nbsp;</TD>
     <TD noWrap align=left width="33%"><I><FONT face=sans-serif size=2>Senior Vice President</FONT></I>&nbsp;</TD>
     <TD noWrap align=left width="34%"><I><FONT face=sans-serif size=2>BSA Compliance Officer</FONT></I>&nbsp;</TD></TR>
<TR>
     <TD noWrap align=left width="31%" background=""><FONT face=sans-serif size=2>and Trust Company</FONT>&nbsp;</TD>
     <TD noWrap align=left width="33%" background=""><I><FONT face=sans-serif size=2>and Treasurer</FONT></I>&nbsp;</TD>
     <TD noWrap align=left width="34%" background=""></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="31%"></TD>
     <TD noWrap align=left width="33%"></TD>
     <TD noWrap align=left width="34%"><FONT face=sans-serif size=2>Judith Cohen</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="31%"><FONT face=sans-serif size=2>Legal Counsel</FONT>&nbsp;</TD>
     <TD noWrap align=left width="33%"><FONT face=sans-serif size=2>Steven D. Krichmar</FONT>&nbsp;</TD>
     <TD noWrap align=left width="34%"><I><FONT face=sans-serif size=2>Vice President, Clerk and</FONT></I>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="31%"><FONT face=sans-serif size=2>Ropes &amp; Gray LLP</FONT>&nbsp;</TD>
     <TD noWrap align=left width="33%"><I><FONT face=sans-serif size=2>Vice President and</FONT></I>&nbsp;</TD>
     <TD noWrap align=left width="34%"><I><FONT face=sans-serif size=2>Assistant Treasurer</FONT></I>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="31%"></TD>
     <TD noWrap align=left width="33%"><I><FONT face=sans-serif size=2>Principal Financial Officer</FONT></I>&nbsp;</TD>
     <TD noWrap align=left width="34%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="31%"><FONT face=sans-serif size=2><B>Trustees&nbsp;</B></FONT></TD>
     <TD noWrap align=left width="33%"></TD>
     <TD noWrap align=left width="34%"><FONT face=sans-serif size=2>Wanda M. McManus</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="31%"><FONT face=sans-serif size=2>John A. Hill,</FONT> <I><FONT face=sans-serif size=2>Chairman</FONT></I>&nbsp;</TD>
     <TD noWrap align=left width="33%"><FONT face=sans-serif size=2>Janet C. Smith</FONT>&nbsp;</TD>
     <TD noWrap align=left width="34%"><I><FONT face=sans-serif size=2>Vice President, Senior Associate</FONT></I>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="31%"><FONT face=sans-serif size=2>Jameson Adkins Baxter,</FONT>&nbsp;</TD>
     <TD noWrap align=left width="33%"><I><FONT face=sans-serif size=2>Vice President, Principal</FONT></I>&nbsp;</TD>
     <TD noWrap align=left width="34%"><I><FONT face=sans-serif size=2>Treasurer and Assistant Clerk</FONT></I>&nbsp;</TD></TR>
<TR>
     <TD noWrap align=left width="31%" background=""><I><FONT face=sans-serif size=2>Vice Chairman</FONT></I>&nbsp;</TD>
     <TD noWrap align=left width="33%" background=""><I><FONT face=sans-serif size=2>Accounting Officer and</FONT></I>&nbsp;</TD>
     <TD noWrap align=left width="34%" background=""></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="31%"><FONT face=sans-serif size=2>Charles B. Curtis</FONT>&nbsp;</TD>
     <TD noWrap align=left width="33%"><I><FONT face=sans-serif size=2>Assistant Treasurer</FONT></I>&nbsp;</TD>
     <TD noWrap align=left width="34%"><FONT face=sans-serif size=2>Nancy E. Florek</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="31%"><FONT face=sans-serif size=2>Myra R. Drucker</FONT>&nbsp;</TD>
     <TD noWrap align=left width="33%"></TD>
     <TD noWrap align=left width="34%"><I><FONT face=sans-serif size=2>Vice President, Assistant Clerk,</FONT></I>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="31%"><FONT face=sans-serif size=2>Charles E. Haldeman, Jr.</FONT>&nbsp;</TD>
     <TD noWrap align=left width="33%"><FONT face=sans-serif size=2>Susan G. Malloy</FONT>&nbsp;</TD>
     <TD noWrap align=left width="34%"><I><FONT face=sans-serif size=2>Assistant Treasurer</FONT></I>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="31%"><FONT face=sans-serif size=2>Paul L. Joskow</FONT>&nbsp;</TD>
     <TD noWrap align=left width="33%"><I><FONT face=sans-serif size=2>Vice President and</FONT></I>&nbsp;</TD>
     <TD noWrap align=left width="34%"><I><FONT face=sans-serif size=2>and Proxy Manager</FONT></I>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="31%"></TD>
     <TD noWrap align=left width="33%"><I><FONT face=sans-serif size=2>Assistant Treasurer</FONT></I>&nbsp;</TD>
     <TD noWrap align=left width="34%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="31%"></TD>
     <TD noWrap align=left width="33%"></TD>
     <TD noWrap align=left width="34%">&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>Call 1-800-225-1581 weekdays between 8:30 a.m. and 8:00 p.m. or on Saturday between 9:00 a.m. and 5:00 p.m. Eastern Time, or visit our Web site (www.putnam.com) anytime for up-to-date information about the fund&#146;s NAV.</FONT></P>
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<P align=left><U><FONT face=sans-serif size=2>Item 2. Code of Ethics:</FONT></U><FONT face=sans-serif size=2> </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. Audit Committee Financial Expert:</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>&nbsp;Not Applicable </FONT></P>
<P align=left><U><FONT face=sans-serif size=2>Item 4. Principal Accountant Fees and Services:</FONT></U><FONT face=sans-serif size=2> </FONT></P>
<P align=left><FONT face=sans-serif size=2>Not Applicable</FONT></P>
<P align=left><FONT face=sans-serif size=2>&nbsp;</FONT><U><FONT face=sans-serif size=2>Item 5. Audit Committee</FONT></U><FONT face=sans-serif size=2> </FONT></P>
<P align=left><FONT face=sans-serif size=2>Not Applicable</FONT></P>
<P align=left><FONT face=sans-serif size=2>&nbsp;</FONT><U><FONT face=sans-serif size=2>Item 6. Schedule of Investments:</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>The registrant&#146;s schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above. </FONT></P>
<P align=left><U><FONT face=sans-serif size=2>Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management</FONT></U><FONT face=sans-serif size=2> </FONT><U><FONT face=sans-serif size=2>Investment Companies:</FONT></U><FONT face=sans-serif size=2> </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 8. Portfolio Managers of Closed-End Management Investment Companies</FONT></U><FONT face=sans-serif size=2> </FONT></P>
<P align=left><FONT face=sans-serif size=2>(a) Not applicable </FONT></P>
<P align=left><FONT face=sans-serif>(b) </FONT><FONT face=sans-serif>The team members identified as the fund&#146;s Portfolio Leader(s) and Portfolio Member(s) coordinate team efforts related to the fund and are primarily responsible for the day-to-day management of the fund&#146;s portfolio. In addition to these individuals, each team also includes other investment professionals, whose analysis, recommendations and research inform investment decisions made for the fund. The names of all team members can be found at </FONT><U><FONT face=sans-serif>www.putnam.com</FONT></U><FONT face=sans-serif>. </FONT></P>
<P align=left><FONT face=sans-serif>During the period, Kevin Murphy was named a Portfolio Member of the fund following the departure of Portfolio Member David Waldman</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="24%"><B><FONT face=sans-serif>Portfolio Members</FONT></B>&nbsp; </TD>
     <TD noWrap align=center width="11%"><B><FONT face=sans-serif>Joined</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="43%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=center width="11%"><B><FONT face=sans-serif>Fund</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="20%"><B><FONT face=sans-serif>Employer</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="43%"><B><FONT face=sans-serif>Positions Over Past Five Years</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="24%"><FONT face=sans-serif>Kevin Murphy</FONT>&nbsp; </TD>
     <TD noWrap align=center width="11%"><FONT face=sans-serif>2007</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%"><B><FONT face=sans-serif>Putnam</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="43%"><FONT face=sans-serif>Team Leader, High Grade Credit and</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="20%"><B><FONT face=sans-serif>Management</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="43%"><FONT face=sans-serif>Core Fixed Income Teams</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="20%"><FONT face=sans-serif>1999 &#150; Present</FONT>&nbsp; </TD>
     <TD noWrap align=left width="43%"><FONT face=sans-serif>Previously, Investment Strategist</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><U><FONT face=sans-serif>Other accounts managed by the fund&#146;s portfolio managers. </FONT></U><FONT face=sans-serif>The following table shows the number and approximate assets of other investment accounts (or portions of investment accounts) that were managed as of the end of the fund&#146;s fiscal period by the </FONT></P>
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<A name="page_2"></A>
<P align=left><FONT face=sans-serif>Portfolio Leaders or Portfolio Members who joined the fund&#146;s management team during the period. The other accounts may include accounts for which the individual was not designated as a portfolio leader or portfolio member. Unless noted, none of the other accounts pays a fee based on the account&#146;s performance.</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="17%">&nbsp; </TD>
     <TD noWrap align=center width="28%" colSpan=2></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="17%">&nbsp; </TD>
     <TD noWrap align=center width="28%" colSpan=2><B><FONT face=sans-serif size=2>Other accounts (including separate</FONT></B>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="17%">&nbsp; </TD>
     <TD noWrap align=center width="28%" colSpan=2><B><FONT face=sans-serif size=2>accounts, managed account</FONT></B>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=center width="28%" colSpan=2></TD>
     <TD noWrap align=center width="27%" colSpan=2></TD>
     <TD noWrap align=center width="28%" colSpan=2><B><FONT face=sans-serif size=2>programs and single-sponsor</FONT></B>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center width="15%">&nbsp;<B><FONT face=sans-serif size=2>Portfolio Leader</FONT></B>&nbsp;&nbsp; </TD>
     <TD noWrap align=center width="28%" colSpan=2><B><FONT face=sans-serif size=2>Other SEC-registered open-end</FONT></B>&nbsp; </TD>
     <TD noWrap align=center width="27%" colSpan=2><B><FONT face=sans-serif size=2>Other accounts that pool assets</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=center width="19%"><B><FONT face=sans-serif size=2>defined contribution plan&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </FONT></B>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center width="15%"><B><FONT face=sans-serif size=2>or Member</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp;<B><FONT face=sans-serif size=2>and closed-end funds&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </FONT></B>&nbsp;&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="17%">&nbsp;<B><FONT face=sans-serif size=2>from more than one client&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </FONT></B>&nbsp;&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD>
     <TD noWrap align=center width="19%">&nbsp; <B><FONT face=sans-serif size=2>offerings)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=center width="10%"><FONT face=sans-serif size=2>Number</FONT>&nbsp; </TD>
     <TD noWrap align=center width="18%"><FONT face=sans-serif size=2>Assets</FONT>&nbsp; </TD>
     <TD noWrap align=center width="10%"><FONT face=sans-serif size=2>Number</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=2>Assets</FONT>&nbsp; </TD>
     <TD noWrap align=center width="9%"><FONT face=sans-serif size=2>Number</FONT>&nbsp; </TD>
     <TD noWrap align=center width="19%"><FONT face=sans-serif size=2>Assets</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=center width="10%"><FONT face=sans-serif size=2>of</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=center width="10%"><FONT face=sans-serif size=2>of</FONT>&nbsp; </TD>
     <TD noWrap align=left width="17%">&nbsp; </TD>
     <TD noWrap align=center width="9%"><FONT face=sans-serif size=2>of</FONT>&nbsp; </TD>
     <TD noWrap align=left width="19%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%">&nbsp; </TD>
     <TD noWrap align=center width="10%"><FONT face=sans-serif size=2>accounts</FONT>&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD>
     <TD noWrap align=center width="10%"><FONT face=sans-serif size=2>accounts</FONT>&nbsp; </TD>
     <TD noWrap align=left width="17%">&nbsp; </TD>
     <TD noWrap align=center width="9%"><FONT face=sans-serif size=2>accounts</FONT>&nbsp; </TD>
     <TD noWrap align=left width="19%">&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="15%"><FONT face=sans-serif size=2>Kevin Murphy</FONT>&nbsp; </TD>
     <TD noWrap align=center width="10%"><FONT face=sans-serif size=2>13</FONT>&nbsp; </TD>
     <TD noWrap align=center width="18%"><FONT face=sans-serif size=2>$9,246,600,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="10%"><FONT face=sans-serif size=2>10</FONT>&nbsp; </TD>
     <TD noWrap align=center width="17%"><FONT face=sans-serif size=2>$9,291,500,000</FONT>&nbsp; </TD>
     <TD noWrap align=center width="9%"><FONT face=sans-serif size=2>13</FONT>&nbsp; </TD>
     <TD noWrap align=center width="19%"><FONT face=sans-serif size=2>$4,582,700,000</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><U><FONT face=sans-serif>Potential conflicts of interest in managing multiple accounts. </FONT></U><FONT face=sans-serif>Like other investment professionals with multiple clients, the fund&#146;s Portfolio Leader(s) and Portfolio Member(s) may face certain potential conflicts of interest in connection with managing both the fund and the other accounts listed under &#147;Other Accounts Managed by the Fund&#146;s Portfolio Managers&#148; at the same time. The paragraphs below describe some of these potential conflicts, which Putnam Management believes are faced by investment professionals at most major financial firms. As described below, Putnam Management and the Trustees of the Putnam funds have adopted compliance policies and procedures that attempt to address certain of these potential conflicts.</FONT></P>
<P align=left><FONT face=sans-serif>The management of accounts with different advisory fee rates and/or fee structures, including accounts that pay advisory fees based on account performance (&#147;performance fee accounts&#148;), may raise potential conflicts of interest by creating an incentive to favor higher-fee accounts. These potential conflicts may include, among others: </FONT></P>
<P align=left><FONT face=sans-serif>&#149; The most attractive investments could be allocated to higher-fee accounts or performance fee accounts.</FONT></P>
<P align=left><FONT face=sans-serif>&#149; The trading of higher-fee accounts could be favored as to timing and/or execution price. For example, higher-fee accounts could be permitted to sell securities earlier than other accounts when a prompt sale is desirable or to buy securities at an earlier and more opportune time. </FONT></P>
<P align=left><FONT face=sans-serif>&#149; The trading of other accounts could be used to benefit higher-fee accounts (front- running).</FONT></P>
<P align=left><FONT face=sans-serif>&#149; The investment management team could focus their time and efforts primarily on higher-fee accounts due to a personal stake in compensation.</FONT></P>
<P align=left><FONT face=sans-serif>Putnam Management attempts to address these potential conflicts of interest relating to higher-fee accounts through various compliance policies that are generally intended to </FONT></P>
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<P align=left><FONT face=sans-serif>place all accounts, regardless of fee structure, on the same footing for investment management purposes. For example, under Putnam Management&#146;s policies: </FONT></P>
<P align=left><FONT face=sans-serif>&#149; Performance fee accounts must be included in all standard trading and allocation procedures with all other accounts.</FONT></P>
<P align=left><FONT face=sans-serif>&#149; All accounts must be allocated to a specific category of account and trade in parallel with allocations of similar accounts based on the procedures generally applicable to all accounts in those groups (e.g., based on relative risk budgets of accounts).</FONT></P>
<P align=left><FONT face=sans-serif>&#149; All trading must be effected through Putnam&#146;s trading desks and normal queues and procedures must be followed (i.e., no special treatment is permitted for performance fee accounts or higher-fee accounts based on account fee structure).</FONT></P>
<P align=left><FONT face=sans-serif>&#149; Front running is strictly prohibited.</FONT></P>
<P align=left><FONT face=sans-serif>&#149; The fund&#146;s Portfolio Leader(s) and Portfolio Member(s) may not be guaranteed </FONT><FONT face=sans-serif>or specifically allocated any portion of a performance fee.</FONT></P>
<P align=left><FONT face=sans-serif>As part of these policies, Putnam Management has also implemented trade oversight and review procedures in order to monitor whether particular accounts (including higher-fee accounts or performance fee accounts) are being favored over time.</FONT></P>
<P align=left><FONT face=sans-serif>Potential conflicts of interest may also arise when the Portfolio Leader(s) or Portfolio Member(s) have personal investments in other accounts that may create an incentive to favor those accounts. As a general matter and subject to limited exceptions, Putnam Management&#146;s investment professionals do not have the opportunity to invest in client accounts, other than the Putnam funds. However, in the ordinary course of business, Putnam Management or related persons may from time to time establish &#147;pilot&#148; or &#147;incubator&#148; funds for the purpose of testing proposed investment strategies and products prior to offering them to clients. These pilot accounts may be in the form of registered investment companies, private funds such as partnerships or separate accounts established by Putnam Management or an affiliate. Putnam Management or an affiliate supplies the funding for these accounts. Putnam employees, including the fund&#146;s Portfolio Leader(s) and Port
folio Member(s), may also invest in certain pilot accounts. Putnam Management, and to the extent applicable, the Portfolio Leader(s) and Portfolio Member(s) will benefit from the favorable investment performance of those funds and accounts. Pilot funds and accounts may, and frequently do, invest in the same securities as the client accounts. Putnam Management&#146;s policy is to treat pilot accounts in the same manner as client accounts for purposes of trading allocation &#150; neither favoring nor disfavoring them except as is legally required. For example, pilot accounts are normally included in Putnam Management&#146;s daily block trades to the same extent as client accounts</FONT><U><FONT face=sans-serif> (except that pilot accounts do not participate in initial public offerings)</FONT></U><FONT face=sans-serif>. </FONT></P>
<P align=left><FONT face=sans-serif>A potential conflict of interest may arise when the fund and other accounts purchase or sell the same securities. On occasions when the Portfolio Leader(s) or Portfolio Member(s) consider the purchase or sale of a security to be in the best interests of the fund as well as other accounts, Putnam Management&#146;s trading desk may, to the extent permitted by applicable laws and regulations, aggregate the securities to be sold or </FONT></P>
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<P align=left><FONT face=sans-serif>purchased in order to seek to obtain the best execution and lower brokerage commissions, if any. Aggregation of trades may create the potential for unfairness to the fund or another account if one account is favored over another in allocating the securities purchased or sold &#150; for example, by allocating a disproportionate amount of a security that is likely to increase in value to a favored account. Putnam Management&#146;s trade allocation policies generally provide that each day&#146;s transactions in securities that are purchased or sold by multiple accounts are, insofar as possible, averaged as to price and allocated between such accounts (including the fund) in a manner which in Putnam Management&#146;s opinion is equitable to each account and in accordance with the amount being purchased or sold by each account. Certain exceptions exist for specialty, regional or sector accounts. Trade allocations are reviewed on a periodic basis as part of Putnam Management&#14
6;s trade oversight procedures in an attempt to ensure fairness over time across accounts. </FONT></P>
<P align=left><FONT face=sans-serif>&#147;Cross trades,&#148; in which one Putnam account sells a particular security to another account (potentially saving transaction costs for both accounts), may also pose a potential conflict of interest. Cross trades may be seen to involve a potential conflict of interest if, for example, one account is permitted to sell a security to another account at a higher price than an independent third party would pay. Putnam Management and the fund&#146;s Trustees have adopted compliance procedures that provide that any transactions between the fund and another Putnam-advised account are to be made at an independent current market price, as required by law. </FONT></P>
<P align=left><FONT face=sans-serif>Another potential conflict of interest may arise based on the different investment objectives and strategies of the fund and other accounts. For example, another account may have a shorter-term investment horizon or different investment objectives, policies or restrictions than the fund. Depending on another account&#146;s objectives or other factors, the Portfolio Leader(s) and Portfolio Member(s) may give advice and make decisions that may differ from advice given, or the timing or nature of decisions made, with respect to the fund. In addition, investment decisions are the product of many factors in addition to basic suitability for the particular account involved. Thus, a particular security may be bought or sold for certain accounts even though it could have been bought or sold for other accounts at the same time. More rarely, a particular security may be bought for one or more accounts managed by the Portfolio Leader(s) or Portfolio Member(s) when one or more other a
ccounts are selling the security (including short sales). There may be circumstances when purchases or sales of portfolio securities for one or more accounts may have an adverse effect on other accounts. As noted above, Putnam Management has implemented trade oversight and review procedures to monitor whether any account is systematically favored over time.</FONT></P>
<P align=left><FONT face=sans-serif>The fund&#146;s Portfolio Leader(s) and Portfolio Member(s) may also face other potential conflicts of interest in managing the fund, and the description above is not a complete description of every conflict that could be deemed to exist in managing both the fund and other accounts.</FONT></P>
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<P align=left><U><FONT face=sans-serif>Compensation of investment professionals. </FONT></U><FONT face=sans-serif>Putnam Management believes that its investment management teams should be compensated primarily based on their success in helping investors achieve their goals. The portion of Putnam Investments&#146; total incentive compensation pool that is available to Putnam Management&#146;s Investment Division is based primarily on its delivery, across all of the portfolios it manages, of consistent, dependable and superior performance over time. The peer group for the fund, which is identified in the shareholder report included in Item 1, is its broad investment category as determined by Lipper Inc. The portion of the incentive compensation pool available to each investment management team varies based primarily on its delivery, across all of the portfolios it manages, of consistent, dependable and superior performance over time on (i) for tax-exempt funds, a tax-adjusted basis to recognize the different f
ederal income tax treatment for capital gains distributions and exempt-interest distributions or (ii) for taxable funds, on a before-tax basis. </FONT></P>
<P align=left><FONT face=sans-serif>Consistent performance means being above median over one year.</FONT></P>
<P align=left><B><FONT face=sans-serif>&#183;</FONT></B><FONT face=sans-serif> Dependable performance means not being in the 4th quartile of the peer group over one, three or five years. </FONT></P>
<P align=left><B><FONT face=sans-serif>&#183;</FONT></B><FONT face=sans-serif> Superior performance (which is the largest component of Putnam Management&#146;s incentive compensation program) means being in the top third of the peer group over three and five years.</FONT><B><FONT face=sans-serif> </FONT></B></P>
<P align=left><FONT face=sans-serif>In determining an investment management team&#146;s portion of the incentive compensation pool and allocating that portion to individual team members, Putnam Management retains discretion to reward or penalize teams or individuals, including the fund&#146;s Portfolio Leader(s) and Portfolio Member(s), as it deems appropriate, based on other factors. The size of the overall incentive compensation pool each year is determined by Putnam Management&#146;s parent company, Marsh &amp; McLennan Companies, Inc., and depends in large part on Putnam&#146;s profitability for the year, which is influenced by assets under management. Incentive compensation is generally paid as cash bonuses, but a portion of incentive compensation may instead be paid as grants of restricted stock, options or other forms of compensation, based on the factors described above. In addition to incentive compensation, investment team members receive annual salaries that are typically based on seniority and ex
perience. Incentive compensation generally represents at least 70% of the total compensation paid to investment team members. </FONT></P>
<P align=left><U><FONT face=sans-serif>Fund ownership.</FONT></U><FONT face=sans-serif> </FONT><FONT face=sans-serif>The following table shows the dollar ranges of shares of the fund owned as of March 31, 2006 and March 31, 2007 by the Portfolio Leaders or Portfolio Members who joined the fund&#146;s management team during the fund&#146;s fiscal period, including investments by their immediate family members and amounts invested through retirement and deferred compensation plans. </FONT></P>
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<IMG src="itemtwox6x1.jpg" border=0>
<BR>
<P align=left><U><FONT face=sans-serif size=2>Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and</FONT></U><FONT face=sans-serif size=2> </FONT><U><FONT face=sans-serif size=2>Affiliated Purchasers:</FONT></U><FONT face=sans-serif size=2> </FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="60%" colSpan=3><FONT face=sans-serif size=2>Registrant Purchase of Equity Securities</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>Maximum</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>Total Number</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>Number (or</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>of Shares</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>Approximate</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>Purchased</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>Dollar Value )</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>as Part</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>of Shares</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>of Publicly</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>that May Yet Be</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>Total Number</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>Average</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>Announced</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>Purchased</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>of Shares</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>Price Paid</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>Plans or</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>under the Plans</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><U><FONT face=sans-serif size=2>Period</FONT></U>&nbsp; </TD>
     <TD noWrap align=right width="20%"><U><FONT face=sans-serif size=2>Purchased</FONT></U>&nbsp; </TD>
     <TD noWrap align=right width="20%"><U><FONT face=sans-serif size=2>per Share</FONT></U>&nbsp; </TD>
     <TD noWrap align=right width="20%"><U><FONT face=sans-serif size=2>Programs</FONT></U>&nbsp; </TD>
     <TD noWrap align=right width="20%"><U><FONT face=sans-serif size=2>or Programs *</FONT></U>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=5>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=5>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>October 1 -</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>October 31,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>2006</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>817,383</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>$6.23</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>817,383</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>2,724,981</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>November 1 -</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>November 30,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>2006</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>895,688</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>$6.41</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>895,688</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>1,829,293</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>December 1 -</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>December 31,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>2006</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>721,310</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>$6.47</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>721,310</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>1,107,983</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>January 1 -</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>January 31,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>2007</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>1,107,983</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>February 1 -</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>February 28,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>2007</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>1,107,983</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>March 1 -</FONT>&nbsp; </TD>
     <TD noWrap align=left width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%">&nbsp; </TD>
     <TD noWrap align=right width="20%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="20%"><FONT face=sans-serif size=2>March 31, 2007</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=right width="20%"><FONT face=sans-serif size=2>1,107,983</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>The Board of Trustees announced a repurchase plan on October 7, 2005 for which </FONT><B><FONT face=sans-serif size=2>5,015,654</FONT></B><FONT face=sans-serif size=2> shares were approved for repurchase by the fund. The repurchase plan was approved through </FONT><FONT face=sans-serif size=2>October 6, 2006</FONT><FONT face=sans-serif size=2>. . On March 10, 2006, the Trustees announced that the repurchase program was increased to allow repurchases of up to a total of 10,031,308 shares over the original term of the program. On September 15, 2006, the Trustees voted to extend the term of the repurchase program through October 6, 2007. This extension did not affect the number of shares eligible for repurchase under the program. </FONT></P>
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<P align=left><FONT face=sans-serif size=2>*Information is based on the total number of shares eligible for repurchase under the program, as amended through September 15, 2006.</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>Item 10. Submission of Matters to a Vote of Security Holders:</FONT></U></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 11. 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><FONT face=sans-serif size=2>Effective January 1, 2007, the fund retained State Street Bank and Trust Company ("State Street") as its custodian. Putnam Fiduciary Trust Company, the fund's previous custodian, is managing the transfer of the fund's assets to State Street. This transfer is expected to be completed for all Putnam funds during the first half of 2007, with PFTC remaining as custodian with respect to fund assets until the assets are transferred.&nbsp;</FONT><FONT face=sans-serif size=2>Also effective January 1, 2007, the fund's investment manager, Putnam Investment Management, LLC entered into a Master Sub-Accounting Services Agreement with State Street, under which the investment manager has delegated to State Street responsibility for providing certain administrative, pricing, and bookkeeping services for the fund. </FONT></P>
<P align=left><U><FONT face=sans-serif size=2>Item 12. Exhibits:</FONT></U><FONT face=sans-serif size=2> </FONT><BR>
<BR>
<FONT face=sans-serif size=2>(a)(1) Not applicable</FONT></P>
<P align=left><FONT face=sans-serif size=2>(a)(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><FONT face=sans-serif size=2>(b) The certifications required by Rule 30a-2(b) 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><BR>
<BR>
<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></P>
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<P align=left><FONT face=sans-serif size=2>Date: May 29, 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>
<BR>
<FONT face=sans-serif size=2>Date: May 29, 2007 </FONT><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>
<BR>
<FONT face=sans-serif size=2>Date: May 29, 2007</FONT><FONT face=sans-serif> </FONT></P>
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<TYPE>EX-99.CERT
<SEQUENCE>2
<FILENAME>b_cert.htm
<DESCRIPTION>EX-99.CERT
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<P align=left><U><FONT face=sans-serif size=2>Certifications</FONT></U><FONT face=sans-serif size=2> </FONT></P>
<P align=left><FONT face=sans-serif size=2>I, Charles E. Porter, the Principal Executive Officer of the funds listed on Attachment A, certify that:</FONT></P>
<P align=left><FONT face=sans-serif size=2>1. I have reviewed each report on Form N-CSR of the funds listed on Attachment A: </FONT></P>
<P align=left><FONT face=sans-serif size=2>2. Based on my knowledge, each report does not contain any untrue statements of a material fact or </FONT><FONT face=sans-serif size=2>omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by each report;</FONT></P>
<P align=left><FONT face=sans-serif size=2>3. Based on my knowledge, the financial statements, and other financial information included in each report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in each report; </FONT></P>
<P align=left><FONT face=sans-serif size=2>4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: </FONT></P>
<P align=left><FONT face=sans-serif size=2>a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared; </FONT></P>
<P align=left><FONT face=sans-serif size=2>b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; </FONT></P>
<P align=left><FONT face=sans-serif size=2>c) evaluated the effectiveness of the registrant'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 each report based on such evaluation; and </FONT></P>
<P align=left><FONT face=sans-serif size=2>d) disclosed in this report any change in the registrant&#146;s internal control over financial reporting that occurred during the registrant&#146;s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant&#146;s internal control over financial reporting; and </FONT></P>
<P align=left><FONT face=sans-serif size=2>5. The registrant's other certifying officer and I have disclosed to each registrant's auditors and the audit committee of each registrant's board of directors (or persons performing the equivalent functions): </FONT></P>
<P align=left><FONT face=sans-serif size=2>a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant's ability to record, process, summarize, and report financial information; and </FONT></P>
<P align=left><FONT face=sans-serif size=2>b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant's internal control over financial reporting. </FONT></P>
<P align=left><FONT face=sans-serif size=2>Date: May 25, 2007 </FONT><BR>
<BR>
<FONT face=sans-serif size=2>/s/ Charles E. Porter </FONT><BR>
<FONT face=sans-serif size=2>_______________________</FONT><BR>
<FONT face=sans-serif size=2>Charles E. Porter </FONT><BR>
<FONT face=sans-serif size=2>Principal Executive Officer </FONT></P>
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<P align=left><U><FONT face=sans-serif size=2>Certifications</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>I, Steven D. Krichmar, the Principal Financial Officer of the funds listed on Attachment A, certify that:</FONT></P>
<P align=left><FONT face=sans-serif size=2>1. I have reviewed each report on Form N-CSR of the funds listed on Attachment A: </FONT></P>
<P align=left><FONT face=sans-serif size=2>2. Based on my knowledge, each report does not contain any untrue statements of a material fact or </FONT><FONT face=sans-serif size=2>omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by each report;</FONT></P>
<P align=left><FONT face=sans-serif size=2>3. Based on my knowledge, the financial statements, and other financial information included in each report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in each report; </FONT></P>
<P align=left><FONT face=sans-serif size=2>4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: </FONT></P>
<P align=left><FONT face=sans-serif size=2>a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared; </FONT></P>
<P align=left><FONT face=sans-serif size=2>b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; </FONT></P>
<P align=left><FONT face=sans-serif size=2>c) evaluated the effectiveness of the registrant'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 each report based on such evaluation; and </FONT></P>
<P align=left><FONT face=sans-serif size=2>d) disclosed in this report any change in the registrant&#146;s internal control over financial reporting that occurred during the registrant&#146;s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant&#146;s internal control over financial reporting; and </FONT></P>
<P align=left><FONT face=sans-serif size=2>5. The registrant's other certifying officer and I have disclosed to each registrant's auditors and the audit committee of each registrant's board of directors (or persons performing the equivalent functions): </FONT></P>
<P align=left><FONT face=sans-serif size=2>a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant's ability to record, process, summarize, and report financial information; and </FONT></P>
<P align=left><FONT face=sans-serif size=2>b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant's internal control over financial reporting. </FONT></P>
<P align=left><FONT face=sans-serif size=2>Date: May 25, 2007 </FONT><BR>
<BR>
<FONT face=sans-serif size=2>/s/ Steven D. Krichmar </FONT><BR>
<FONT face=sans-serif size=2>_______________________</FONT><BR>
<FONT face=sans-serif size=2>Steven D. Krichmar </FONT><BR>
<FONT face=sans-serif size=2>Principal Financial Officer </FONT></P>
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<P align=center><FONT face=sans-serif size=2>Attachment A <BR>
</FONT><FONT face=sans-serif size=2>N-CSR <BR>
</FONT><FONT face=sans-serif size=2>Period (s) ended March 31, 2007 </FONT></P>
<TABLE style="WIDTH: 709px; HEIGHT: 297px" cellSpacing=1 cellPadding=0 width=709 border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>054</FONT>&nbsp; </TD>
     <TD noWrap align=left width="90%"><FONT face=sans-serif size=2>Putnam High Yield Municipal Trust</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>074</FONT>&nbsp; </TD>
     <TD noWrap align=left width="90%"><FONT face=sans-serif size=2>Putnam Master Intermediate Income Trust</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>027</FONT>&nbsp; </TD>
     <TD noWrap align=left width="90%"><FONT face=sans-serif size=2>Putnam California Tax Exempt Income Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>033</FONT>&nbsp; </TD>
     <TD noWrap align=left width="90%"><FONT face=sans-serif size=2>Putnam American Government Income Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>011</FONT>&nbsp; </TD>
     <TD noWrap align=left width="90%"><FONT face=sans-serif size=2>Putnam Tax Exempt Income Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>539</FONT>&nbsp; </TD>
     <TD noWrap align=left width="90%"><FONT face=sans-serif size=2>Putnam International New Opportunities Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>032</FONT>&nbsp; </TD>
     <TD noWrap align=left width="90%"><FONT face=sans-serif size=2>Putnam U.S. Government Income Trust</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>010</FONT>&nbsp; </TD>
     <TD noWrap align=left width="90%"><FONT face=sans-serif size=2>Putnam Money Market Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>062</FONT>&nbsp; </TD>
     <TD noWrap align=left width="90%"><FONT face=sans-serif size=2>Putnam Tax Exempt Money Market Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>23T</FONT>&nbsp; </TD>
     <TD noWrap align=left width="90%"><FONT face=sans-serif size=2>Putnam Prime Money Market Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>075</FONT>&nbsp; </TD>
     <TD noWrap align=left width="90%"><FONT face=sans-serif size=2>Putnam Diversified Income Trust</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>259</FONT>&nbsp; </TD>
     <TD noWrap align=left width="90%"><FONT face=sans-serif size=2>Putnam Asset Allocation: Balanced Portfolio</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>250</FONT>&nbsp; </TD>
     <TD noWrap align=left width="90%"><FONT face=sans-serif size=2>Putnam Asset Allocation: Growth Portfolio</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>264</FONT>&nbsp; </TD>
     <TD noWrap align=left width="90%"><FONT face=sans-serif size=2>Putnam Asset Allocation: Conservative Portfolio</FONT>&nbsp; </TD></TR></TABLE><BR>
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<TYPE>EX-99.906 CERT
<SEQUENCE>3
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<DESCRIPTION>EX-99.906 CERT
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<P align=left><U><FONT face=sans-serif size=1>Section 906 Certifications</FONT></U><FONT face=sans-serif size=1> </FONT></P>
<P align=left><FONT face=sans-serif size=1>I, Charles E. Porter, the Principal Executive Officer of the Funds listed on Attachment A, certify that, to my knowledge: </FONT></P>
<P align=left><FONT face=sans-serif size=1>1. The form N-CSR of the Funds listed on Attachment A for the period ended March 31, 2007 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and </FONT></P>
<P align=left><FONT face=sans-serif size=1>2. The information contained in the Form N-CSR of the Funds listed on Attachment A for the period ended March 31, 2007 fairly presents, in all material respects, the financial condition and results of operations of the Funds listed on Attachment A. </FONT></P>
<P align=left><FONT face=sans-serif size=1>Date: May 25, 2007 </FONT><BR>
<BR>
<FONT face=sans-serif size=1>/s/ Charles E. Porter </FONT><BR>
<FONT face=sans-serif size=1>______________________</FONT><BR>
<FONT face=sans-serif size=1>Charles E. Porter </FONT><BR>
<FONT face=sans-serif size=1>Principal Executive Officer </FONT></P>
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<P align=left><U><FONT face=sans-serif size=1>Section 906 Certifications</FONT></U><FONT face=sans-serif size=1> </FONT></P>
<P align=left><FONT face=sans-serif size=1>I, Steven D. Krichmar, the Principal Financial Officer of the Funds listed on Attachment A, certify that, to my knowledge: </FONT></P>
<P align=left><FONT face=sans-serif size=1>1. The form N-CSR of the Funds listed on Attachment A for the period ended March 31, 2007 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and </FONT></P>
<P align=left><FONT face=sans-serif size=1>2. The information contained in the Form N-CSR of the Funds listed on Attachment A for the period ended March 31, 2007 fairly presents, in all material respects, the financial condition and results of operations of the Funds listed on Attachment A. </FONT></P>
<P align=left><FONT face=sans-serif size=1>Date: May 25, 2007 </FONT><BR>
<BR>
<FONT face=sans-serif size=1>/s/ Steven D. Krichmar </FONT><BR>
<FONT face=sans-serif size=1>______________________</FONT><BR>
<FONT face=sans-serif size=1>Steven D. Krichmar </FONT><BR>
<FONT face=sans-serif size=1>Principal Financial Officer </FONT></P>
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<P align=center><FONT face=sans-serif size=1>Attachment A </FONT><BR>
<FONT face=sans-serif size=1>N-CSR </FONT><BR>
<FONT face=sans-serif size=1>Period (s) ended March 31, 2007 </FONT></P>
<TABLE style="WIDTH: 676px; HEIGHT: 297px" cellSpacing=1 cellPadding=0 width=676 border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>054</FONT>&nbsp; </TD>
     <TD noWrap align=left width="90%"><FONT face=sans-serif size=2>Putnam High Yield Municipal Trust</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>074</FONT>&nbsp; </TD>
     <TD noWrap align=left width="90%"><FONT face=sans-serif size=2>Putnam Master Intermediate Income Trust</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>027</FONT>&nbsp; </TD>
     <TD noWrap align=left width="90%"><FONT face=sans-serif size=2>Putnam California Tax Exempt Income Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>033</FONT>&nbsp; </TD>
     <TD noWrap align=left width="90%"><FONT face=sans-serif size=2>Putnam American Government Income Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>011</FONT>&nbsp; </TD>
     <TD noWrap align=left width="90%"><FONT face=sans-serif size=2>Putnam Tax Exempt Income Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>539</FONT>&nbsp; </TD>
     <TD noWrap align=left width="90%"><FONT face=sans-serif size=2>Putnam International New Opportunities Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>032</FONT>&nbsp; </TD>
     <TD noWrap align=left width="90%"><FONT face=sans-serif size=2>Putnam U.S. Government Income Trust</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>010</FONT>&nbsp; </TD>
     <TD noWrap align=left width="90%"><FONT face=sans-serif size=2>Putnam Money Market Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>062</FONT>&nbsp; </TD>
     <TD noWrap align=left width="90%"><FONT face=sans-serif size=2>Putnam Tax Exempt Money Market Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>23T</FONT>&nbsp; </TD>
     <TD noWrap align=left width="90%"><FONT face=sans-serif size=2>Putnam Prime Money Market Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>075</FONT>&nbsp; </TD>
     <TD noWrap align=left width="90%"><FONT face=sans-serif size=2>Putnam Diversified Income Trust</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>259</FONT>&nbsp; </TD>
     <TD noWrap align=left width="90%"><FONT face=sans-serif size=2>Putnam Asset Allocation: Balanced Portfolio</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>250</FONT>&nbsp; </TD>
     <TD noWrap align=left width="90%"><FONT face=sans-serif size=2>Putnam Asset Allocation: Growth Portfolio</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="9%"><FONT face=sans-serif size=2>264</FONT>&nbsp; </TD>
     <TD noWrap align=left width="90%"><FONT face=sans-serif size=2>Putnam Asset Allocation: Conservative Portfolio</FONT>&nbsp; </TD></TR></TABLE><BR>
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`
end
</TEXT>
</DOCUMENT>
</SEC-DOCUMENT>
-----END PRIVACY-ENHANCED MESSAGE-----
