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<SEC-DOCUMENT>0000928816-08-000648.txt : 20080530
<SEC-HEADER>0000928816-08-000648.hdr.sgml : 20080530
<ACCEPTANCE-DATETIME>20080530091953
ACCESSION NUMBER:		0000928816-08-000648
CONFORMED SUBMISSION TYPE:	N-CSRS
PUBLIC DOCUMENT COUNT:		17
CONFORMED PERIOD OF REPORT:	20080331
FILED AS OF DATE:		20080530
DATE AS OF CHANGE:		20080530
EFFECTIVENESS DATE:		20080530

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:		08868524

	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>
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<FILENAME>a_materintermede.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></P>
<P align=left><FONT face=sans-serif size=2>Investment Company Act file number: (811- 05498)</FONT><BR>
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<FONT face=sans-serif size=2>Exact name of registrant as specified in charter: Putnam Master Intermediate Income Trust</FONT><BR>
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<FONT face=sans-serif size=2>Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109</FONT></P>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Name and address of agent for service:</FONT> </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Beth S. Mazor, Vice President</FONT> </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>One Post Office Square</FONT> </TD>
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     <TD noWrap align=left>&nbsp; </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Boston, Massachusetts 02109</FONT> </TD>
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     <TD colSpan=3>&nbsp; </TD>
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     <TD noWrap align=right><FONT face=sans-serif size=2>Copy to:</FONT> </TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>John W. Gerstmayr, Esq.</FONT> </TD>
     <TD noWrap align=left></TD></TR>
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     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ropes &amp; Gray LLP</FONT> </TD>
     <TD noWrap align=left></TD></TR>
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     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>One International Place</FONT> </TD>
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     <TD noWrap align=left>&nbsp; </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Boston, Massachusetts 02110</FONT> </TD>
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<P align=left><FONT face=sans-serif size=2>Registrant&#146;s telephone number, including area code: (617) 292-1000</FONT><BR>
<BR>
<FONT face=sans-serif size=2>Date of fiscal year end: September 30, 2008</FONT><BR>
<BR>
<FONT face=sans-serif size=2>Date of reporting period: October 1, 2007&#151; March 31, 2008</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>Item 1. Report to Stockholders:</FONT></U></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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<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 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 what&#146;s right for investors</FONT></P>
<P align=left><FONT face=serif size=2>With a focus on investment performance and in-depth information about our funds, we put the interests of investors first and seek to set the standard for integrity and service.</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>08</FONT><BR>
<I><FONT face=serif size=5>Semiannual Report</FONT></I></P>
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     <TD noWrap align=left><FONT face=serif>Message from the Trustees</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=serif>About the fund</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=serif>Performance snapshot</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>6</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=serif>Interview with your fund&#146;s Portfolio Leader</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>7</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=serif>Performance in depth</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>13</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=serif>Your fund&#146;s management</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>15</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=serif>Terms and definitions</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>17</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=serif>Trustee approval of management contract</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>18</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=serif>Other information for shareholders</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>23</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=serif>Financial statements</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>24</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=serif>Shareholder meeting results</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>94</FONT> </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><FONT face=serif size=7>Message from the Trustees</FONT></P>
<P align=left><FONT face=serif>Dear Fellow Shareholder:</FONT></P>
<P align=left><FONT face=serif>Challenges continued to mount for investors in the first quarter of 2008. The markets struggled as economic news &#151; from falling housing prices to rising inflation &#151; painted a gloomy backdrop to an already-difficult situation. Many economists now believe that the United States is in or near recession. Fortunately, the Federal Reserve Board (the Fed) and federal lawmakers have reacted quickly, employing creative and, in some instances, unprecedented moves to ameliorate the situation. As of this writing, the Fed has cut rates a total of 3.25 percentage points since last September and added nearly $400 billion in liquidity to the credit markets. In a historic move, the Fed also provided financing to facilitate JPMorgan Chase&#146;s buyout of investment bank Bear Stearns, which was on the brink of failure. In February, lawmakers, working with the president, approved an economic stimulus package that will put $168 billion into the hands of millions of U.S. taxpayers startin
g this month.</FONT></P>
<P align=left><FONT face=serif>As investors it is important to keep a long-term perspective and remember the counsel of your financial representative during times like these. Markets can recover quickly, and investors who sit on the sidelines run the risk of missing the rebound. The normal condition of the economy and corporate earnings is one of growth, albeit with occasional interruptions. What&#146;s more, recessions in the United States are usually short-lived compared with economic expansions. Since 1960, the economy has experienced 7 recessions lasting an average of 11 months, versus 64 months for the average expansion. Perhaps most important is the value that a properly diversified portfolio can offer by balancing areas of weakness with areas of strength.</FONT></P>
<P align=left><FONT face=sans-serif size=2>2</FONT></P>
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<P align=left><FONT face=serif>Starting this month, we have changed the portfolio manager&#146;s commentary in this report to a question-and-answer format. We feel this new approach makes the information more readable and accessible, and we hope you think so as well.</FONT></P>
<P align=left><FONT face=serif>Lastly, we would like to take this opportunity to welcome new shareholders to the fund and to thank all of our investors for your continued confidence in Putnam Investments.</FONT></P>
<P align=left><FONT face=serif>Respectfully yours,</FONT></P>
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<P align=left><B><FONT face=sans-serif size=5>Putnam Master Intermediate Income Trust: Seeking</FONT></B><BR>
<B><FONT face=sans-serif size=5>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 was </FONT><FONT face=sans-serif size=2>considered innovative. Lower-rated, higher-yielding corporate bonds were relatively new, having just been established in the late 1970s. Additionally, 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 respond to the market&#146;s increasing complexity, Putnam&#146;s 100-member fixed-income group aligns teams of specialists with 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 sectors, the fund&#146;s diversified strategy seeks to </FONT><FONT face=sans-serif size=2>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&#146;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><I><FONT face=sans-serif size=2>Allocations and holdings in each sector will vary over time. For more information on current fund holdings, see pages 25&#150;78.</FONT></I></P>
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     <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>4&nbsp;</FONT> </TD>
     <TD noWrap align=right width="50%">&nbsp;<FONT face=Arial size=2>5</FONT></TD></TR></TABLE><BR>
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<P align=left><I><FONT face=serif size=5>Performance snapshot</FONT></I></P>
<P align=left><FONT face=serif size=7>Putnam Master</FONT><BR>
<FONT face=serif size=7>Intermediate Income Trust</FONT></P>
<P align=left><FONT face=sans-serif size=2>Average annual total return (%) comparison as of 3/31/08</FONT></P>
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<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 and net asset value 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. Fund returns in the bar chart are at NAV. See pages 7 and 13&#150;14 for </FONT></I><I><FONT face=sans-serif size=2>additional performance information, including fund returns at market price. Index and Lipper results should be compared to fund performance at NAV. Lipper calculates performance differently than the closed-end funds it ranks, due to varying methods for determining a fund&#146;s monthly reinvestment NAV.</FONT></I></P>
<P align=left><I><FONT face=sans-serif size=2>* Returns for the six-month period are not annualized, but cumulative.</FONT></I></P>
<P align=left><FONT face=sans-serif size=2>6</FONT></P>
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<P align=left><FONT face=serif size=7>The period in review</FONT></P>
<P align=left><FONT face=sans-serif><B>Bill, thank you for taking the time today to talk about Master Intermediate IncomeTrust&#146;s most recent semiannual period. How did the fund perform?</B></FONT></P>
<P align=left><FONT face=serif size=2>The past six months represented the most volatile period for fixed-income credit markets that I&#146;ve experienced during my 20 years as a money manager. Because of the multiple problems affecting the credit markets over the past six months, the &#147;flight-to-quality&#148; trade into Treasury securities dominated the </FONT><FONT face=serif size=2>marketplace. Many investors fled even the highest-quality credit instruments, especially mortgages. Significantly for the fund, the sell-off of mortgage securities during the period was both broad and largely indiscriminate. That is why, despite our continued cautious stance on duration (a measure of portfolio risk) and credit risk, the fund significantly underperformed its benchmark, approximately 22.53% of which is made up of government securities, which returned 5.71%. The fund also underperformed its peer</FONT></P>
<P align=left><B><FONT face=sans-serif>Broad market index and fund performance</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>This comparison shows your fund&#146;s performance in the context of broad market indexes for the six months ended 3/31/08. See page 6 and pages 13&#150;14 for additional fund performance information. Index descriptions can be found on page 17.</FONT></P>
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<P align=left><FONT face=sans-serif size=2>7</FONT></P>
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<P align=left><FONT face=serif size=2>group, Lipper Flexible Income Funds (closed-end), which returned a loss of 0.74%.</FONT></P>
<P align=left><FONT face=sans-serif><B>Could you discuss the major events that took place during the period within the fixed-income marketplace?</B></FONT></P>
<P align=left><FONT face=serif size=2>November, December, January, and March were very difficult months for the fixed-income markets. In November, we experienced an additional wave of weak housing statistics and more problems in the bank-loan market. At the end of 2007, fixed-income markets endured additional selling pressure as corporations and financial institutions attempted to clean up their balance sheets by divesting themselves of what they perceived to be weaker credits.</FONT></P>
<P align=left><FONT face=serif size=2>In January, the markets faced the additional challenge of a decline in consumer spending, with unemployment at the highest level we have seen for many years. Investors were now concerned that U.S. growth might be in decline, and that global growth might also be significantly affected. In the first quarter of 2008, as news headlines highlighted a series of significant &#147;write-downs&#148; of structured securities and depressed earnings for prominent financial firms, global credit markets became increasingly illiquid.</FONT></P>
<P align=left><FONT face=sans-serif><B>What response did the liquidity squeeze and economic slowdown prompt from the government?</B></FONT></P>
<P align=left><B><FONT face=sans-serif>Credit quality overview</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>Credit qualities are shown as a percentage of portfolio value. A bond rated Baa or higher (MIG3/VMIG3 or higher, for short-term debt) is considered investment grade. The chart reflects Moody&#146;s ratings; percentages may include bonds not rated by Moody's but considered by Putnam Management to be of comparable quality. Ratings will vary over time.</FONT></P>
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<P align=left><FONT face=sans-serif size=2>8</FONT></P>
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<P align=left><FONT face=serif size=2>Initially, the Federal Reserve Board took a cautious approach, but the extreme pressure on global liquidity forced it to act decisively, cutting the federal funds rate by two and a half percentage points over five FOMC meetings from October to March. The Fed also employed a number of creative measures in an attempt to restore liquidity to the markets, extending substantial credit to commercial and investment banks. Congress and the White House agreed on a large fiscal stimulus package to try to bolster consumer spending, and as we speak, Congress is attempting to fashion a plan to relieve pressure on residential mortgage-holders and reduce the steady stream of foreclosures.</FONT></P>
<P align=left><FONT face=sans-serif><B>Of the large number of strategies the fund uses to generate returns, which ones helped performance during the period?</B></FONT></P>
<P align=left><FONT face=serif size=2>The strategy that helped the most, preventing even greater underperformance, was the fund&#146;s &#147;steepener&#148; strategy, where we overweight shorter-term securities and underweight longer-term issues. This strategy is based on our view that the yield curve will steepen as global central banks continue to cut short-term rates and longer-term rates trend higher on the liquidity squeeze and inflation concerns. Also, the fund&#146;s non-U.S.-dollar positions in Europe, Japan, Canada, and Australia contributed significantly, based in part on the weaker dollar.</FONT></P>
<P align=left><B><FONT face=sans-serif>Comparison of top sector weightings</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>This chart shows how the fund&#146;s top weightings have changed over the past six months. Weightings are shown as a percentage of total investment portfolio. Holdings will vary over time.</FONT></P>
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<P align=left><FONT face=sans-serif size=2>9</FONT></P>
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<P align=left><FONT face=sans-serif><B>Bill, you mentioned that the sell-off of mortgage securities during the period was broad and largely indiscriminate. Talk about how the sell-off specifically affected the fund&#146;s strategies and impacted performance.</B></FONT></P>
<P align=left><FONT face=serif size=2>Over time, we believe that one of the main strengths of Master Intermediate Income Trust is the broad diversification of our strategies. However, in recent months, the nine strategies that we employ in the structured securities area (out of a total of 70 to 90 strategies used at any given time within the portfolio as a whole) have become unusually correlated. These nine strategies involving structured securities &#151;three examples are investments in AAA-rated commercial-backed securities (CMBSs), AAA-rated home equity loans, and collaterized mortgage obligations (CMOs) &#151; have recently, in effect, merged. In the short term, the fund has not received the diversification benefits that this variety of strategies has historically provided and that we believe it will provide once again in the future. We believe this is the biggest reason for the fund&#146;s recent underperformance.</FONT></P>
<P align=left><FONT face=sans-serif><B>How have you reacted to these circumstances?</B></FONT></P>
<P align=left><FONT face=serif size=2>Aside from the difficulties presented in trying to mitigate short-term volatility, the market is presenting some of the best opportunities for future returns that many of us have seen in two decades. At several points during recent periods of volatility, when we saw an opportunity, we have increased our </FONT><FONT face=serif size=2>positions within high-quality mortgage and mortgage-backed securities with two- to five-year time horizons. We believe we have done so without significantly increasing the portfolio&#146;s credit risk. While we want to limit short-term volatility as much as possible, we do not want to give up the potential for strong gains by doing so. We believe that at some point, the market is going to stabilize and prices should rise quickly, preventing investors who have waited on the sidelines from being able to purchase highly rated structured securities at the levels we are currently seeing. The opportunity cost of not participating is, in our opinio
n, much greater than the cost of short-term pricing volatility. As we believe the majority of our shareholders have long-term investment horizons, we are making a conscious trade-off between short-term volatility and the potential for future gains, as we seek outperformance over the next three to five years.</FONT></P>
<P align=left><FONT face=sans-serif><B>Given all the uncertainty that you&#146;ve outlined, what is your outlook for the economy and the fund?</B></FONT></P>
<P align=left><FONT face=serif size=2>Many market watchers are predicting a sharp economic downturn, followed at some point by a relatively swift bounce-back for the economy. However, based on mixed economic data and the fact that the housing market will most likely impede growth for the foreseeable future, we think we will see a period of near-zero to slow growth over the next two to three quarters. One positive for</FONT></P>
<P align=left><FONT face=sans-serif size=2>10</FONT></P>
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<P align=left><FONT face=serif size=2>the economy is that growth outside the United States continues to be strong, which should spur demand for U.S. products and services.</FONT></P>
<P align=left><FONT face=serif size=2>The fund has already seen one benefit from our decision to seek opportunities during difficult periods for the market &#151; significantly greater dividend income accumulated from higher-yielding securities. Overall, we plan to continue to diversify the portfolio across a broad range of fixed-income sectors and securities.</FONT></P>
<P align=left><FONT face=sans-serif>Thanks again, Bill, for sharing your time and insights with us.</FONT></P>
<P align=left><FONT face=sans-serif size=2>I N&nbsp; &nbsp;T H E&nbsp;&nbsp; N E W S</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>For the first time since the Great Depression</B></FONT><FONT face=sans-serif size=2>, the Federal Reserve has extended financing to non-banks &#151; specifically, primary dealers such as securities broker-dealers &#151; as part of its ongoing attempt to inject liquidity into the struggling credit markets. The so-called Primary Dealer Credit Facility (PDCF), established in March, allows the Federal Reserve Bank of New York to provide overnight cash reserves to primary dealers in exchange for a broad range of collateral. The new credit facility aims to help primary dealers in providing financing to participants in capital markets and to promote an overall orderly functioning of the markets. The PDCF will remain in effect for six months and may be extended if the Fed deems it necessary.</FONT></P>
<P align=left><I><FONT face=serif size=2>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 face=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. Mutual funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk. Mutual 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 </FONT></I><I><FONT face=serif size=2>risk than short-term bonds. Unlike bonds, bond funds have ongoing fees and expenses. The fund&#146;s shares trade on a stock exchange at market prices, which may be higher or lower than the fund&#146;s net asset value. The use of derivatives involves special risks and may result in los
ses.</FONT></I></P>
<P align=left><FONT face=sans-serif size=2>11</FONT></P>
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<P align=left><FONT face=serif size=5>Of special interest</FONT></P>
<P align=left><FONT face=serif size=2>In February 2008, Putnam Investments announced the launch of a tender offer for 15% of the common shares of Putnam Master Intermediate Income Trust. On April 14, 2008, Putnam Investments announced that the tender offer was oversubscribed, meaning that pursuant to the terms of the offer, the fund will repurchase the maximum number of shares covered by the offer. For additional information on the repurchase program, see page 92 of this report.</FONT></P>
<P align=left><FONT face=serif size=2>In approving the tender offer program for the funds, the Trustees considered that tender offers would give shareholders an opportunity to sell at least some of their shares at a price close to NAV, and that the tender offer price of 99% of NAV would help offset the costs that shareholders who retain their shares would otherwise bear in connection with the tender offer. The Trustees approved the tender offer upon the recommendation of Putnam Investments and in connection with requests from certain shareholders for enhanced fund liquidity.</FONT></P>
<P align=left><FONT face=serif size=2>In addition, we are pleased to report that effective March 2008, your fund&#146;s dividend was increased from $0.033 to $0.038 per share, representing an increase of 15.15%. This was possible due to widening of spreads, and the resulting increase in interest income.</FONT></P>
<P align=left><FONT face=sans-serif size=2>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, 2008, 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></P>
<P align=left><FONT face=sans-serif size=2>Total return for periods ended 3/31/08</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="40%"></TD>
     <TD width="30%"></TD>
     <TD width="30%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>NAV</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>Market price</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Annual average</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Life of fund (since 4/29/88)</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>7.34%</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>6.54%</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>10 years</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>67.26</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>70.01</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Annual average</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>5.28</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>5.45</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5 years</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>39.50</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>34.98</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Annual average</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>6.88</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>6.18</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 years</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>12.09</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>15.71</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Annual average</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>3.88</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>4.98</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>1 year</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>&#150;0.85</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>0.26</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 months</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>&#150;3.15</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>&#150;0.20</FONT> </TD></TR>
<TR>
     <TD 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>
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<P align=left><B><FONT face=sans-serif>Comparative index returns</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>For periods ended 3/31/08</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="33%"></TD>
     <TD width="10%"></TD>
     <TD width="8%"></TD>
     <TD width="10%"></TD>
     <TD width="8%"></TD>
     <TD width="10%"></TD>
     <TD width="8%"></TD>
     <TD width="10%"></TD>
     <TD width="8%"></TD></TR>
<TR>
     <TD></TD>
     <TD colSpan=2></TD>
     <TD colSpan=2></TD>
     <TD colSpan=2></TD>
     <TD colSpan=2></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lehman</FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Citigroup Non-</FONT> </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lipper Flexible</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Government/</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>U. S. World</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPMorgan</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Income Funds</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Credit</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Government</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Global High</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(closed-end)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bond Index</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bond Index</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Yield Index</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>category average&#134;</FONT> </TD></TR>
<TR>
     <TD noWrap align=left colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Annual average</FONT> </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Life of fund (since 4/29/88)</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>7.57%</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>7.33%</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>&#151; </FONT><FONT face=sans-serif size=1>*</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>7.10%</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>10 years</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>81.12</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>103.57</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>67.21%</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>59.41</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Annual average</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>6.12</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>7.37</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>5.28</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>4.76</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5 years</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>25.32</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>53.81</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>53.09</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>42.68</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Annual average</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>4.62</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>8.99</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>8.89</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>7.27</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 years</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>17.59</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>23.89</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>16.07</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>15.38</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Annual average</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>5.55</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>7.40</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>5.09</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>4.87</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>1 year</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>8.35</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>22.31</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>-3.06</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>1.50</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 months</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>5.71</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>15.27</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>-3.76</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>-0.74</FONT> </TD></TR>
<TR>
     <TD width="105%" colSpan=9>
<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 calculates performance differently than the closed-end funds it ranks, due to varying methods for determining a fund's monthly reinvestment NAV.</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, 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 3/31/08, there were 6, 6, 6, 5, 5, and 2 funds, respectively, in this Lipper category.</FONT></I></P>
<P align=left><B><FONT face=sans-serif>Fund price and distribution information</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>For the six-month period ended 3/31/08</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="47%"></TD>
     <TD width="8%"></TD>
     <TD width="16%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Distributions</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Number</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Income</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>$0.229</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Capital gains</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>$0.229</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Share value:</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>NAV</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Market price</FONT> </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/30/07</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>$7.13</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$6.41</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/31/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>&nbsp;6.66</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6.17</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Current yield (end of period)</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Current dividend rate*</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.85%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7.39%</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><I><FONT face=sans-serif size=1>The classification of distributions, if any, is an estimate. Final distribution information will appear on your year-end tax forms. </FONT></I></P>
<P align=left><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 Fixed-Income High Yield teams. D. William Kohli is the Portfolio Leader. Michael Atkin, Rob Bloemker, Kevin Murphy, and Paul Scanlon are Portfolio Members of the fund. The Portfolio Leader and Portfolio Members coordinate the teams&#146; 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 Fixed-Income High-Yield teams, including those who are not Portfolio Leaders or Portfolio Members of your fund, please visit the Individual Investors section of 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, 2008, and March 31, 2007.</FONT></P>
<IMG src="masterintermedx16x1.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 3/31/07.</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, 2008, 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=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="31%"></TD>
     <TD width="25%"></TD>
     <TD width="25%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Total assets in</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Assets in the fund</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>all Putnam funds</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Trustees</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>$32,000</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>$ 88,000,000</FONT> </TD></TR>
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<HR noShade SIZE=1>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Putnam employees</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>$ 3,000</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>$630,000,000</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>15</FONT></P>
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<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 face=sans-serif size=2>D. William Kohli is also a Portfolio Leader of Putnam Diversified Income Trust, Putnam Global Income Trust, and Putnam Premier Income Trust.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Michael Atkin is also a Portfolio Member of Putnam Diversified Income Trust, Putnam Global Income Trust, and Putnam Premier Income Trust.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Rob Bloemker is also a Portfolio Leader of Putnam U.S. Government Income Trust, Putnam American Government Income Fund, and Putnam Income Fund. He is also a Portfolio Member of Putnam Diversified Income Trust, Putnam Global Income Trust, and Putnam Premier Income Trust.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Kevin Murphy is also a Portfolio Member of Putnam Income Fund, Putnam Diversified Income Trust, Putnam Premier Income Trust, and Putnam Utilities Growth and Income Fund.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Paul Scanlon is also a Portfolio Leader of Putnam High Yield Trust, Putnam High Yield Advantage Fund, and Putnam Floating Rate Income Fund. He is also a Portfolio Member of Putnam Diversified Income Trust and Putnam Premier Income Trust.</FONT></P>
<P align=left><FONT face=sans-serif size=2>D. William Kohli, Michael Atkin, Rob Bloemker, 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><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 reporting period ended March 31, 2008, Michael Atkin joined your fund&#146;s management team, following the departure of Portfolio Member Jeffrey Kaufman.</FONT></P>
<P align=left><FONT face=sans-serif size=2>16</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><FONT face=sans-serif><B>Important terms</B></FONT></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.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>Current yield</B> </FONT><FONT face=sans-serif size=2>is the annual rate of return earned from dividends or interest of an investment. Current yield is expressed as a percentage of the price of a security, fund share, or principal investment.</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 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 Aggregate Bond Index </B></FONT><FONT face=sans-serif size=2>is an unmanaged index of U.S. investment-grade 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>Merrill Lynch 91-Day Treasury Bill Index </B></FONT><FONT face=sans-serif size=2>is an unmanaged index that seeks to measure the performance of U.S. Treasury bills available in the marketplace.</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><B>Lipper </B></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>17</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 Investment Management (&#147;Putnam Management&#148;) 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 2007, the Contract Committee met several times to consider the information provided by Putnam Management and other information develop
ed with the assistance of the Board&#146;s independent counsel and independent staff. The Contract Committee reviewed and discussed key aspects of this information with all of the Independent Trustees. 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, 2007. (Because PIL is an affiliate of Putnam Management and Putnam Management remains 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 should be deemed to include reference to PIL as necessary or appropriate in the context.)</FONT></P>
<P align=left><FONT face=sans-serif size=2>In addition, in anticipation of the sale of Putnam Investments to Great-West Lifeco, at a series of meetings ending in March 2007, the Trustees reviewed and approved new management and distribution arrangements to take effect upon the change of control. Shareholders of all funds approved the management contracts in May 2007, and the change of control transaction was completed on August 3, 2007. Upon the change of control, the management contracts that were approved by the Trustees in June 2007 automatically terminated and were replaced by new contracts that had been approved by shareholders. In connection with their review for the June 2007 continuance of the Putnam funds&#146; management contracts, the Trustees did not identify any facts or circumstances that would alter the substance of the conclusions and recommendations they made in their review of the contracts to take effect upon the change of control.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The Independent Trustees&#146; approval was based on the following conclusions:</FONT></P>
<P align=left><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</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; </FONT><FONT face=sans-serif size=2>That this 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</FONT></P>
<P align=left><FONT face=sans-serif size=2>18</FONT></P>
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<P align=left><FONT face=sans-serif size=2>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><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 responsibilities, 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:</FONT></P>
<P align=left><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, 2006 (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>The Trustees considered that most Putnam funds, including your fund, currently have the benefit of breakpoints in their management fees 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 Trustee
s considered the Contract Committee&#146;s stated intent to continue to work with Putnam Management to plan for an eventual resumption in the growth of assets, and to consider the potential economies that might be produced under various growth assumptions.</FONT></P>
<P align=left><FONT face=sans-serif size=2>19</FONT></P>
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<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><B><FONT face=sans-serif>Investment performance during the review period</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>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 had met 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 recognized that this does not guarantee favorable investm
ent 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 face=sans-serif size=2>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 underperformance 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 face=sans-serif size=2>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 face=sans-serif size=2>20</FONT></P>
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<P align=left><FONT face=sans-serif size=2>periods ended March 31, 2007 (the first percentile being the best-performing funds and the 100th percentile being the worst-performing funds):</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="30%"></TD>
     <TD width="39%"></TD>
     <TD width="29%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT face=sans-serif size=2><B>One-year period</B></FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2><B>Three-year period</B></FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2><B>Five-year period</B></FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT face=sans-serif size=2>50th</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>50th</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>50th</FONT> </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, 2007, there were 7, 7 and 7 funds, respectively, in your fund&#146;s Lipper peer group.<B>*</B> Past performance is no guarantee of future returns.)</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 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><I><FONT face=sans-serif size=1><B>* </B><B>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, 2008, were 86%, 50%, and 67%, respectively. Over the one-, five-, and ten-year periods ended March 31, 2008, the fund ranked 6th out of 6, 3rd out of 5, and 4th out of 5, respectively. Note that this more recent information was not available when the Trustees approved the continuance of your fund&#146;s management contract.</B></FONT></I></P>
<P align=left><FONT face=sans-serif size=2>21</FONT></P>
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<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 agreement and investor servicing agreement with Putnam Fiduciary Trust Company (&#147;PFTC&#148;), which provide benefits to affiliates of Putnam Management. In the case of the custodian agreement, the Trustees considered that, effective January 1, 2007, the Putnam funds had engaged State Street Bank and Trust Company as custodian and began to transition the responsibility for providing custody services away from PFTC.</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><FONT face=sans-serif size=2>22</FONT></P>
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<P align=left><B><FONT face=sans-serif size=4>Other information 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 face=sans-serif size=2>In September 2007, the Trustees of your fund approved the renewal of a share repurchase program that had been in effect since 2005. This renewal will allow your fund to repurchase, in the 12 months beginning October 8, 2007, up to 10% of the fund&#146;s common shares outstanding as of October 5, 2007.</FONT></P>
<P align=left><B><FONT face=sans-serif>Important notice regarding delivery of shareholder documents</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>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 face=sans-serif size=2>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, 2007, are available in the Individual Investors section of www.putnam.com, 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 face=sans-serif size=2>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 face=sans-serif size=2>23</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></P>
<P align=left><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>24</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>3/31/08 (Unaudited)</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="61%"></TD>
     <TD align=right width="5%"></TD>
     <TD width="12%"></TD>
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     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=1>U. S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (53.1%)*</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>U. S. Government Guaranteed Mortgage Obligations (0.4%)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Government National Mortgage Association</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Pass-Through Certificates</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 1/2s, with due dates from August 20, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>to October 20, 2037</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,030,286</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,115,860</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>U. S. Government Agency Mortgage Obligations (52.7%)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Federal Home Loan Mortgage Corporation Pass-Through</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Certificates 6s, July 1, 2021</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>55,905</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>57,617</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Federal National Mortgage Association Pass-Through Certificates</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 1/2s, with due dates from March 1, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>to December 1, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,607,007</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,666,454</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6s, with due dates from August 1, 2037 to September 1, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,624,209</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,749,121</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6s, May 1, 2021</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,091,378</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,219,873</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6s, TBA, April 1, 2038</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,000,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,144,844</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5 1/2s, with due dates from May 1, 2037 to December 1, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,908,076</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,979,855</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5 1/2s, with due dates from March 1, 2020 to January 1, 2021</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,572,730</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,609,069</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5 1/2s, TBA, May 1, 2038</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>65,000,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>65,467,188</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5 1/2s, TBA, April 1, 2038</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>104,000,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>104,966,878</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5s, May 1, 2021</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>92,967</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>93,944</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5s, TBA, April 1, 2038</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>86,000,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>85,099,683</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>4 1/2s, with due dates from August 1, 2033 to June 1, 2034</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,607,957</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,522,480</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>283,577,006</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=1>Total U. S. government and agency mortgage obligations (cost $283,117,456)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>285,692,866</FONT> </TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>U. S. TREASURY OBLIGATIONS (14.3%)*</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>U. S. Treasury Notes</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 1/2s, February 15, 2010</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,500,000</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,174,414</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>4 1/4s, August 15, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>38,008,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>41,378,242</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 1/4s, August 15, 2008</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>27,242,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>27,431,416</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total U. S. treasury obligations (cost $73,142,457)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>76,984,072</FONT> </TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE OBLIGATIONS (30.1%)*</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Asset Backed Funding Certificates 144A FRB</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 06-OPT3, Class B, 5.099s, 2036</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>52,000</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,021</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Banc of America Commercial Mortgage, Inc.</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-1, Class G, 7.324s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>325,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>334,185</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-3, Class A3, 5.659s, 2049</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>168,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>166,752</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-2, Class A2, 5.634s, 2049</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>513,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>503,951</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 05-6, Class A2, 5.165s, 2047</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,131,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,129,664</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-5, Class XW, Interest Only (IO), 0.608s, 2051</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>113,147,889</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,925,541</FONT> </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>25</FONT></P>
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<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="57%"></TD>
     <TD align=right width="5%"></TD>
     <TD width="12%"></TD>
     <TD align=right width="5%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE OBLIGATIONS (30.1%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Banc of America Commercial Mortgage, Inc. 144A</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-1, Class J, 6 1/8s, 2036</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>163,000</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>142,139</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-1, Class K, 6 1/8s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>367,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>270,870</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Banc of America Funding Corp. Ser. 07-4, Class 4A2, IO,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5 1/2s, 2034</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,633,021</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>479,652</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Banc of America Large Loan 144A FRB Ser. 05-MIB1,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Class K, 4.818s, 2022</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>645,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>535,350</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bayview Commercial Asset Trust 144A</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-5A, IO, 1.55s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,444,777</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>203,425</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-1, Class S, IO, 1.211s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,010,526</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>435,543</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bear Stearns Commercial Mortgage Securities, Inc.</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 00-WF2, Class F, 8.189s, 2032</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>410,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>396,561</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-PW17, Class A3, 5.736s, 2050</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,068,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,935,069</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bear Stearns Commercial Mortgage Securities, Inc.</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>144A Ser. 07-PW18, Class X1, IO, 0.06s, 2050</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>62,741,432</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>536,784</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Broadgate Financing PLC sec. FRB Ser. D, 6.626s, 2023</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>(United Kingdom)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>410,875</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>618,150</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Citigroup Mortgage Loan Trust, Inc. IFB Ser. 07-6, Class 2A5,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IO, 4.051s, 2037</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,864,188</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>148,829</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Citigroup/Deutsche Bank Commercial Mortgage Trust</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 06-CD3, Class A4, 5.658s, 2048</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>106,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>104,547</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Citigroup/Deutsche Bank Commercial Mortgage Trust</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>144A Ser. 07-CD5, Class XS, IO, 0.062s, 2044</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>36,682,131</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>324,878</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Commercial Mortgage Pass-Through Certificates 144A</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-F10A, Class A1, 2.918s, 2017</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>253,745</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>246,265</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Countrywide Alternative Loan Trust IFB Ser. 04-2CB,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Class 1A5, IO, 5.001s, 2034</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,099,055</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>118,236</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Countrywide Home Loans Ser. 05-2, Class 2X, IO,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>1.16s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,003,289</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>66,736</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Countrywide Home Loans 144A IFB Ser. 05-R1, Class 1AS,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IO, 2.89s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,450,490</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>283,223</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Credit Suisse Mortgage Capital Certificates</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-C4, Class A2, 5.811s, 2039</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>814,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>817,515</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-C5, Class A3, 5.694s, 2040</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11,100,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,802,731</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CRESI Finance Limited Partnership 144A FRB Ser. 06-A,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Class C, 3.199s, 2017</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>251,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>229,665</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CS First Boston Mortgage Securities Corp. 144A</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 98-C1, Class F, 6s, 2040</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>966,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>676,200</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 02-CP5, Class M, 5 1/4s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>354,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>106,200</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-TFLA, Class L, 4.668s, 2020</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>699,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>594,150</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-TFLA, Class K, 4.118s, 2020</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>388,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>345,320</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Deutsche Mortgage &amp; Asset Receiving Corp. Ser. 98-C1,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Class X, IO, 0.251s, 2031</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,983,898</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>130,099</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DLJ Commercial Mortgage Corp. Ser. 98-CF2, Class B4,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.04s, 2031</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>286,492</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>248,678</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DLJ Commercial Mortgage Corp. 144A Ser. 98-CF2,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Class B5, 5.95s, 2031</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>915,958</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>728,013</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>European Loan Conduit 144A FRB Ser. 22A, Class D,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.428s, 2014 (Ireland)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>507,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>789,205</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>European Prime Real Estate PLC 144A FRB Ser. 1-A,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Class D, 6.434s, 2014 (United Kingdom)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>276,453</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>409,394</FONT> </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>26</FONT></P>
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     <TD noWrap align=left><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE OBLIGATIONS (30.1%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=right>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fannie Mae</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-70, Class SM, 32.736s, 2036</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>233,122</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>311,929</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-62, Class PS, 24.308s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>698,963</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>968,910</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-76, Class QB, 24.008s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,691,907</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,351,849</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-70, Class SJ, 24.008s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>115,991</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>160,842</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-63, Class SP, 23.708s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,848,270</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,533,797</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-W7, Class 1A4, 23.588s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>584,935</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>789,397</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-104, Class GS, 21.145s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>352,537</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>467,127</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-60, Class TK, 18.205s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>516,340</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>644,655</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-25, Class PS, 16.726s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>709,580</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>882,344</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-74, Class CP, 15.221s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>488,788</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>595,947</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-115, Class NQ, 15.192s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>279,480</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>327,557</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-27, Class SP, 15.038s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>791,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>958,632</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-8, Class HP, 15.038s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>822,843</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,000,326</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-8, Class WK, 15.038s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,313,765</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,583,559</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-106, Class US, 15.038s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,185,273</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,445,485</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-99, Class SA, 15.038s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>577,561</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>684,077</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-60, Class CS, 14.561s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>848,891</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>970,723</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-62, Class NS, 12.092s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>231,953</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>239,783</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-74, Class CS, 12.873s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>557,262</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>645,751</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 04-79, Class S, 12.653s, 2032</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>817,162</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>918,952</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-114, Class SP, 12.433s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>350,272</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>385,823</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-95, Class OP, 12.328s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>347,076</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>388,851</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-95, Class CP, 12.152s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>86,634</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>99,442</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-83, Class QP, 10.637s, 2034</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>197,275</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>212,786</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 04-T2, Class 1A4, 7 1/2s, 2043</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>259,290</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>285,089</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 02-T19, Class A3, 7 1/2s, 2042</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>215,399</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>235,899</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 02-14, Class A2, 7 1/2s, 2042</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,610</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,753</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-T10, Class A2, 7 1/2s, 2041</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>207,367</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>225,446</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 02-T4, Class A3, 7 1/2s, 2041</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>951</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,034</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-T3, Class A1, 7 1/2s, 2040</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>135,535</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>147,088</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-T1, Class A1, 7 1/2s, 2040</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>413,186</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>449,467</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 99-T2, Class A1, 7 1/2s, 2039</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>164,675</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>182,862</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 00-T6, Class A1, 7 1/2s, 2030</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>79,952</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>85,829</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-T4, Class A1, 7 1/2s, 2028</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>388,440</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>427,652</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 04-W12, Class 1A3, 7s, 2044</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>301,383</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>327,384</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-T10, Class A1, 7s, 2041</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>824,299</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>886,919</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 371, Class 2, IO, 6 1/2s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>13,352,855</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,734,141</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 363, Class 2, IO, 5 1/2s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,365,683</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>298,456</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-W6, Class 6A2, IO, 5.201s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,159,247</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>152,141</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-90, Class SE, IO, 5.201s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,417,556</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>349,383</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 04-51, Class XP, IO, 5.101s, 2034</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,280,880</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>253,302</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 03-66, Class SA, IO, 5.051s, 2033</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>956,059</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>119,243</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-7, Class SA, IO, 4.951s, 2038</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,725,237</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>609,853</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-W6, Class 5A2, IO, 4.691s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,535,659</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>196,217</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-W2, Class 3A2, IO, 4.681s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,529,468</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>187,836</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-115, Class BI, IO, 4.661s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,360,162</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>125,097</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-113, Class AI, IO, 4.631s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>779,803</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>94,984</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-113, Class DI, IO, 4.631s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,123,753</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>529,789</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-60, Class AX, IO, 4.551s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,357,415</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>495,606</FONT> </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>27</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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     <TD noWrap align=left><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE OBLIGATIONS (30.1%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Fannie Mae</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-60, Class SI, IO, 4.551s, 2036</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,516,750</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>184,493</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-60, Class UI, IO, 4.551s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>616,441</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>78,587</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-W7, Class 3A2, IO, 4.531s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,817,847</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>210,475</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-60, Class DI, IO, 4.471s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,840,530</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>178,504</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-23, Class SI, IO, 4.171s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>398,721</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>38,453</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-54, Class CI, IO, 4.161s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,161,749</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>124,511</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-39, Class JI, IO, 4.161s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,162,560</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>103,352</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-39, Class PI, IO, 4.161s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>969,124</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>96,241</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-30, Class WI, IO, 4.161s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,603,759</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>537,150</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-28, Class SE, IO, 4.151s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>238,055</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>24,829</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-22, Class S, IO, 4.151s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>17,058,490</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,821,200</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-128, Class SH, IO, 4.151s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,051,674</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>95,108</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-56, Class SM, IO, 4.151s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,365,798</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>143,148</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-12, Class SD, IO, 4.151s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,840,523</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>474,626</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-90, Class SP, IO, 4.151s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>675,264</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>72,226</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-12, Class SC, IO, 4.151s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>856,598</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>81,152</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-W5, Class 2A2, IO, 4.141s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>558,555</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>56,709</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-30, Class IE, IO, 4.141s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,821,124</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>362,833</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-123, Class CI, IO, 4.141s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,364,754</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>242,389</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-123, Class UI, IO, 4.141s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,034,330</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>105,792</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-45, Class EW, IO, 4.121s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>659,775</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>57,906</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-15, Class BI, IO, 4.101s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,829,717</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>187,795</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-126, Class CS, IO, 4.101s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,587,270</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>146,753</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-16, Class SM, IO, 4.101s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,364,631</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>272,998</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-95, Class CI, IO, 4.101s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,271,253</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>146,606</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-84, Class SG, IO, 4.101s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,106,139</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>230,214</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-57, Class NI, IO, 4.101s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>531,273</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>57,498</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-104, Class NI, IO, 4.101s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,454,404</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>160,666</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-83, Class QI, IO, 4.091s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>338,753</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>42,288</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-128, Class GS, IO, 4.081s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,301,582</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>136,112</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-83, Class SL, IO, 4.071s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,604,183</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>353,224</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 06-116, Class ES, IO, 4.051s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>196,525</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>17,480</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-114, Class IS, IO, 4.051s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,186,796</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>111,227</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-115, Class IE, IO, 4.041s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>914,217</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>102,100</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-117, Class SA, IO, 4.041s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,377,983</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>128,227</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-121, Class SD, IO, 4.041s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>152,226</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,379</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-109, Class SG, IO, 4.031s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>356,124</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>33,799</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-104, Class SY, IO, 4.021s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>318,361</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>28,936</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-109, Class SH, IO, 4.021s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,088,437</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>126,519</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-111, Class SA, IO, 4.021s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,320,584</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>768,471</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-W6, Class 4A2, IO, 4.001s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,212,126</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>653,202</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-128, Class SC, IO, 4.001s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,425,584</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>138,522</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-43, Class SI, IO, 4.001s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,430,046</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>224,285</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-8, Class JH, IO, 4.001s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,473,681</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>485,433</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-122, Class SG, IO, 4.001s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,073,806</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>118,346</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-95, Class OI, IO, 3.991s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>190,572</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>24,594</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-92, Class LI, IO, 3.981s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,340,193</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>130,907</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-99, Class AS, IO, 3.981s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>374,181</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>37,911</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-98, Class SQ, IO, 3.971s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,225,049</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,159,303</FONT> </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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     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE OBLIGATIONS (30.1%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fannie Mae</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-85, Class TS, IO, 3.961s, 2036</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,007,366</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>269,409</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-75, Class PI, IO, 3.941s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,450,058</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>135,498</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-88, Class MI, IO, 3.921s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>539,653</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>48,717</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-103, Class AI, IO, 3.901s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,248,438</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>634,190</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-15, Class NI, IO, 3.901s, 2022</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,253,551</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>191,101</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-106, Class SM, IO, 3.861s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,410,018</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>303,706</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-3, Class SC, IO, 3.851s, 2038</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,508,440</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>258,095</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-109, Class XI, IO, 3.851s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>885,462</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>90,296</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-109, Class YI, IO, 3.851s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,413,849</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>126,811</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-W8, Class 2A2, IO, 3.851s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,323,715</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>240,412</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-79, Class SH, IO, 3.851s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,062,292</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>224,274</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-54, Class KI, IO, 3.841s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>735,516</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>66,906</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-30, Class JS, IO, 3.841s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,597,688</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>252,917</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-30, Class LI, IO, 3.841s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,524,956</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>248,947</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-W2, Class 1A2, IO, 3.831s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,020,333</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>99,666</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-106, Class SN, IO, 3.811s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,421,427</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>122,820</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-54, Class IA, IO, 3.811s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,281,462</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>125,029</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-54, Class IB, IO, 3.811s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,281,462</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>125,029</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-54, Class IC, IO, 3.811s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,281,462</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>125,029</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-54, Class ID, IO, 3.811s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,281,462</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>125,029</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-54, Class IE, IO, 3.811s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,281,462</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>125,029</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-54, Class IF, IO, 3.811s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,044,260</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>199,453</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-54, Class NI, IO, 3.811s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,090,008</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>106,497</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-54, Class UI, IO, 3.811s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,851,065</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>202,770</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-91, Class AS, IO, 3.801s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>954,152</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>87,408</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-91, Class HS, IO, 3.801s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,013,877</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>91,328</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-15, Class CI, IO, 3.781s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,372,053</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>421,444</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-123, Class BI, IO, 3.781s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,746,060</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>534,636</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-115, Class JI, IO, 3.781s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,199,416</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>307,008</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-109, Class PI, IO, 3.751s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,493,899</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>142,101</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-123, Class LI, IO, 3.721s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,128,970</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>194,360</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-1, Class DI, IO, 3.661s, 2038</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,877,422</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>149,920</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-1, Class NI, IO, 3.651s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,753,666</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>226,699</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-13, Class SA, IO, 3.621s, 2038</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,789,665</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>595,155</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-39, Class AI, IO, 3.521s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,376,710</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>196,385</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-32, Class SD, IO, 3.511s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,518,037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>129,508</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-30, Class UI, IO, 3.501s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,247,870</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>112,288</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-32, Class SC, IO, 3.501s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,152,360</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>183,708</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-1, Class CI, IO, 3.501s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,453,725</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>126,926</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-74, Class SE, IO, 3.501s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,776,796</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>138,633</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-14, Class SE, IO, 3.451s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,088,530</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>81,590</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-1, Class BI, IO, 3.311s, 2038</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,302,427</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>278,185</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-75, Class ID, IO, 3.271s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,447,361</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>121,016</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-33, Class SA, IO, 2.942s, 2038</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,092,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>734,906</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 03-W17, Class 12, IO, 1.15s, 2033</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,189,780</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>77,377</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 03-W10, Class 3A, IO, 0.778s, 2043</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,684,908</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>54,966</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 03-W10, Class 1A, IO, 0.743s, 2043</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,046,793</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>38,111</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 02-T18, IO, 0.514s, 2042</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,041,531</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>85,696</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 06-117, Class OA, Principal Only (PO), zero %, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>84,747</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>64,222</FONT> </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>29</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE OBLIGATIONS (30.1%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fannie Mae</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 06-84, Class OP, PO, zero %, 2036</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,342</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,320</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 06-56, Class XF, zero %, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>92,037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>90,146</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 04-38, Class AO, PO, zero %, 2034</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>310,191</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>232,276</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 04-61, Class CO, PO, zero %, 2031</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>495,124</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>437,934</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 99-51, Class N, PO, zero %, 2029</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>59,399</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>51,080</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-31, Class TS, IO, zero %, 2009</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,214,531</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>94,768</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-15, Class IM, IO, zero %, 2009</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,262,936</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>31,745</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-16, Class TS, IO, zero %, 2009</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,144,063</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>141,529</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-54, Class CF, zero %, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>142,708</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>136,375</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Federal Home Loan Mortgage Corp. Structured</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Pass-Through Securities</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. T-58, Class 4A, 7 1/2s, 2043</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,182</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,679</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. T-60, Class 1A2, 7s, 2044</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,511,822</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,640,044</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. T-56, Class 2ASI, IO, 5.501s, 2043</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>734,222</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>97,743</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. T-57, Class 1AX, IO, 0.446s, 2043</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,989,417</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>23,003</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, IO,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>1.339s, 2020</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,082,089</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>268,434</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>First Chicago Lennar Trust 144A Ser. 97-CHL1, Class E,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.058s, 2039</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>484,372</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>484,372</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freddie Mac</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3153, Class JS, 19.013s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>613,156</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>801,707</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3182, Class PS, 17.33s, 2032</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>188,871</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>245,790</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3081, Class DC, 16.481s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>469,111</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>576,635</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3114, Class GK, 15.13s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>327,463</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>400,292</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 2979, Class AS, 13.942s, 2034</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>209,094</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>239,223</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3149, Class SU, 11.914s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>393,670</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>432,625</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3065, Class DC, 11.408s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>758,671</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>840,532</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3226, Class TY, 10.397s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,164,872</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,208,947</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3012, Class FS, 9.831s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>535,512</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>564,211</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3184, Class SP, IO, 4.533s, 2033</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,827,198</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>202,423</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 2882, Class LS, IO, 4.383s, 2034</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>817,426</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>95,261</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3203, Class SH, IO, 4.323s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,042,076</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>129,686</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 2594, Class SE, IO, 4.233s, 2030</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>388,844</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>29,168</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 2828, Class TI, IO, 4.233s, 2030</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>662,022</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>70,995</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3397, Class GS, IO, 4.183s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>938,275</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>84,885</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3311, Class BI, IO, 3.943s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,493,048</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>130,446</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3297, Class BI, IO, 3.943s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,134,238</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>442,456</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3284, Class IV, IO, 3.933s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,008,843</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>116,571</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3287, Class SD, IO, 3.933s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,408,268</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>136,820</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3281, Class BI, IO, 3.933s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>744,767</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>76,441</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3281, Class CI, IO, 3.933s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>801,204</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>69,120</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3249, Class SI, IO, 3.933s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>655,356</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>78,467</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3028, Class ES, IO, 3.933s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,502,748</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>393,232</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3042, Class SP, IO, 3.933s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,070,940</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>113,706</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3045, Class DI, IO, 3.913s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,241,749</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>743,424</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3236, Class ES, IO, 3.883s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>115,858</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,220</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3136, Class NS, IO, 3.883s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>878,428</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>90,056</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3054, Class CS, IO, 3.883s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>746,643</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>57,129</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3107, Class DC, IO, 3.883s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,789,659</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>440,666</FONT> </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>30</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE OBLIGATIONS (30.1%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freddie Mac</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3066, Class SI, IO, 3.883s, 2035</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,393,792</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>271,201</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 2950, Class SM, IO, 3.883s, 2016</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>551,286</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>52,411</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3256, Class S, IO, 3.873s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,008,945</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>210,710</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3031, Class BI, IO, 3.872s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>676,336</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>85,772</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3370, Class TS, IO, 3.853s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,802,535</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>371,787</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3244, Class SB, IO, 3.843s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,063,561</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>103,850</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3244, Class SG, IO, 3.843s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,227,311</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>128,362</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3236, Class IS, IO, 3.833s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,113,115</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>198,607</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3033, Class SG, IO, 3.833s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>890,265</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>82,706</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3114, Class TS, IO, 3.833s, 2030</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,190,820</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>371,141</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3128, Class JI, IO, 3.813s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>381,077</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>39,452</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3240, Class S, IO, 3.803s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,709,433</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>358,161</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3229, Class BI, IO, 3.803s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>121,409</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,856</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3153, Class JI, IO, 3.803s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,665,403</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>157,770</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3065, Class DI, IO, 3.803s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>529,311</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>67,689</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3145, Class GI, IO, 3.783s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>311,920</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>34,688</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3218, Class AS, IO, 3.763s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,190,095</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>107,686</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3221, Class SI, IO, 3.763s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,723,657</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>158,801</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3153, Class UI, IO, 3.753s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,115,324</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>144,221</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3202, Class PI, IO, 3.723s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,675,481</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>444,968</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3355, Class MI, IO, 3.683s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,016,915</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>93,942</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3201, Class SG, IO, 3.683s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,159,239</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>205,979</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3203, Class SE, IO, 3.683s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,950,753</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>181,156</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3171, Class PS, IO, 3.668s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,511,531</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>154,791</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3152, Class SY, IO, 3.663s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,355,988</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>364,280</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3284, Class BI, IO, 3.633s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,221,448</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>114,737</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3260, Class SA, IO, 3.633s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,117,074</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>81,314</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3199, Class S, IO, 3.633s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,991,721</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>291,796</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3284, Class LI, IO, 3.623s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,470,571</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>330,911</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3281, Class AI, IO, 3.613s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,447,192</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>431,925</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3311, Class EI, IO, 3.593s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,220,883</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>116,239</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3311, Class IA, IO, 3.593s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,942,598</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>195,552</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3311, Class IB, IO, 3.593s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,942,598</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>195,552</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3311, Class IC, IO, 3.593s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,942,598</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>195,552</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3311, Class ID, IO, 3.593s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,942,598</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>195,552</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3311, Class IE, IO, 3.593s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,932,066</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>295,157</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3375, Class MS, IO, 3.583s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,246,981</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>561,254</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3240, Class GS, IO, 3.563s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,217,637</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>209,490</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3408, Class BI, IO, 3.443s, 2038</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,862,509</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>140,010</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3339, Class TI, IO, 3.323s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,251,381</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>206,771</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3284, Class CI, IO, 3.303s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,610,775</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>500,205</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3016, Class SQ, IO, 3.293s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,470,028</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100,369</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 246, PO, zero %, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,113,835</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,476,991</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 3292, Class DO, PO, zero %, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>103,863</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>82,206</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 3292, Class OA, PO, zero %, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>140,893</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>107,337</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 3300, PO, zero %, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>833,048</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>705,754</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 3139, Class CO, PO, zero %, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>176,565</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>137,693</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 236, PO, zero %, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>391,525</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>326,459</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 3345, Class TY, zero %, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>215,227</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>186,844</FONT> </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>31</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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     <TD width="60%"></TD>
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     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE OBLIGATIONS (30.1%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freddie Mac</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 3326, Class XF, zero %, 2037</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>190,860</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>182,598</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 3226, Class YW, zero %, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>372,199</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>354,709</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 3251, Class TC, zero %, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>885,851</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>890,715</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 3130, Class JF, zero %, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>328,364</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>316,589</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 3326, Class WF, zero %, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>173,690</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>166,661</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 3412, Class UF, zero %, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>446,940</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>397,707</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GE Capital Commercial Mortgage Corp. 144A</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 00-1, Class F, 7.514s, 2033</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>170,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>163,902</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 00-1, Class G, 6.131s, 2033</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>596,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>474,231</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GMAC Commercial Mortgage Securities, Inc. 144A Ser. 99-C3,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Class G, 6.974s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>529,968</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>506,265</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Government National Mortgage Association</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-41, Class SA, 24.986s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>130,811</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>173,712</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-51, Class SP, 24.266s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>103,772</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>131,205</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-66, Class SP, 11.442s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>456,682</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>497,742</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-2, Class SA, IO, 4.844s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>199,636</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>17,989</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-61, Class SM, IO, 4.844s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,612,323</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>228,996</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-62, Class SI, IO, 4.844s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,474,817</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>123,065</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-1, Class SL, IO, 4.824s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>708,894</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>62,449</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-1, Class SM, IO, 4.814s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>708,894</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>62,292</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-62, Class SA, IO, 4.804s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,844,136</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>157,927</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-64, Class SB, IO, 4.804s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,829,995</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>158,271</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 04-59, Class SC, IO, 4.383s, 2034</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>758,884</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>86,970</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-26, Class SG, IO, 4.314s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,061,252</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>177,344</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-9, Class BI, IO, 4.284s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,155,201</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>314,377</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-31, Class CI, IO, 4.274s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,179,211</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>90,048</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-25, Class SA, IO, 4.264s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,543,754</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>121,432</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-25, Class SB, IO, 4.264s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,114,024</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>233,524</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-22, Class S, IO, 4.264s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,118,535</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>119,221</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-11, Class SA, IO, 4.264s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>979,528</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>80,434</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-14, Class SB, IO, 4.264s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>929,260</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>75,210</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-84, Class AS, IO, 4.264s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,377,206</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>309,885</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-40, Class SC, IO, 4.214s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>165,038</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,518</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-40, Class SD, IO, 4.214s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>165,038</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,518</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-40, Class SE, IO, 4.214s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>165,038</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,518</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-42, Class SC, IO, 4.214s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>319,073</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>24,023</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-51, Class SJ, IO, 4.214s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,153,614</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>117,411</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-41, Class SM, IO, 4.164s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>451,425</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>39,898</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-41, Class SN, IO, 4.164s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>459,975</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>40,653</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-58, Class PS, IO, 4.164s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,011,810</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100,354</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-40, Class SG, IO, 4.144s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>362,829</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>25,112</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-59, Class PS, IO, 4.134s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>901,414</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>79,688</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-59, Class SP, IO, 4.134s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>198,016</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,089</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-38, Class SG, IO, 4.114s, 2033</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,622,697</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>286,936</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-45, Class QA, IO, 4.104s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>318,510</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>22,746</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-35, Class NY, IO, 4.083s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,079,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>183,675</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-45, Class QB, IO, 4.064s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>318,510</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>22,213</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-53, Class SG, IO, 4.064s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>742,538</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>54,859</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-51, Class SG, IO, 4.044s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,692,437</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>474,811</FONT> </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>32</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_34"></A>
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<TR>
     <TD width="62%"></TD>
     <TD align=right width="5%"></TD>
     <TD width="12%"></TD>
     <TD align=right width="5%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE OBLIGATIONS (30.1%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Government National Mortgage Association</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-3, Class SA, IO, 4.014s, 2038</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,751,446</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>193,840</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-79, Class SY, IO, 4.014s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,682,912</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>322,278</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-64, Class AI, IO, 4.014s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,406,083</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>164,946</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-53, Class ES, IO, 4.014s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,189,580</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>79,945</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-2, Class SB, IO, 3.984s, 2038</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,758,945</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>479,466</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-26, Class SD, IO, 3.983s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,254,087</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>177,151</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-4, Class SA, IO, 3.98s, 2038</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>13,495,049</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>941,112</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-9, Class DI, IO, 3.974s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,100,425</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>147,311</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-59, Class SC, IO, 3.964s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>443,276</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>30,611</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-13, Class SA, IO, 3.964s, 2038</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,657,471</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>891,869</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-57, Class QA, IO, 3.964s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,694,913</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>177,846</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-58, Class SA, IO, 3.964s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,782,774</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>123,910</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-58, Class SC, IO, 3.964s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,164,970</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>131,748</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-59, Class SA, IO, 3.964s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,190,593</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>540,629</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-61, Class SA, IO, 3.964s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,387,141</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>92,496</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-53, Class SC, IO, 3.964s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,267,474</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>83,966</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-53, Class SE, IO, 3.964s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>265,192</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,022</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-15, Class CI, IO, 3.954s, 2038</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,921,626</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>764,290</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-58, Class SD, IO, 3.954s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,050,642</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>122,769</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-6, Class SC, IO, 3.939s, 2038</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,974,092</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>789,740</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-59, Class SD, IO, 3.934s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>358,064</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>24,668</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-18, Class SG, IO, 3.864s, 2038</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,371,730</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>221,287</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-48, Class SB, IO, 3.833s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,624,027</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>114,405</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-65, Class SI, IO, 3.814s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,542,995</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>130,577</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-7, Class SB, IO, 3.784s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>369,827</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>25,101</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-17, Class AI, IO, 3.733s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,822,745</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>463,568</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-17, Class IB, IO, 3.714s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>910,062</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>77,314</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-14, Class S, IO, 3.714s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,459,099</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>106,718</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-78, Class SA, IO, 3.713s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,202,697</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>581,841</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-11, Class ST, IO, 3.704s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>914,267</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>63,379</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-9, Class AI, IO, 3.683s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,465,078</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>195,266</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-27, Class SD, IO, 3.664s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,110,772</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>71,444</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-19, Class SJ, IO, 3.664s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,948,063</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>123,864</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-23, Class ST, IO, 3.664s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,132,887</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>126,930</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-9, Class CI, IO, 3.664s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,729,512</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>170,415</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-7, Class EI, IO, 3.664s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,208,169</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>73,879</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-7, Class JI, IO, 3.664s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,707,341</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>209,350</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-1, Class S, IO, 3.664s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,547,505</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>162,561</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-3, Class SA, IO, 3.664s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,436,285</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>154,780</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-71, Class SA, IO, 3.543s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,943,479</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>327,186</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-25, Class KS, IO, 3.383s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,180,828</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>199,001</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-21, Class S, IO, 3.383s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>85,895</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,880</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-31, Class AI, IO, 3.363s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,174,202</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>120,711</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-43, Class SC, IO, 3.283s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,691,046</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>117,987</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-71, Class TA, zero %, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>565,303</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>596,733</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-61, Class YC, zero %, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>654,350</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>650,662</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-33, Class TB, zero %, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>636,504</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>598,015</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-6, Class TD, zero %, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>576,652</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>545,837</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 98-2, Class EA, PO, zero %, 2028</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>60,334</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>51,926</FONT> </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>33</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE OBLIGATIONS (30.1%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GS Mortgage Securities Corp. II</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-GG10, Class A3, 5.799s, 2045</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>334,000</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>317,545</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 06-GG6, Class A2, 5.506s, 2038</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,282,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,280,539</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>HASCO NIM Trust 144A Ser. 05-OP1A, Class A, 6 1/4s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>(Cayman Islands)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>113,489</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>28,372</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IMPAC Secured Assets Corp. FRB Ser. 07-2, Class 1A1A,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.709s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>391,560</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>351,670</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPMorgan Chase Commercial Mortgage Securities Corp.</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-LD12, Class AM, 6.063s, 2051</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>617,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>567,640</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-LD12, Class A3, 5.991s, 2051</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,956,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,730,605</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-CB20, Class A3, 5.863s, 2051</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>834,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>760,892</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-LD11, Class A3, 5.819s, 2049</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>417,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>390,437</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-CB20, Class A4, 5.794s, 2051</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>541,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>535,590</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPMorgan Chase Commercial Mortgage Securities Corp. 144A</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-CB20, Class X1, IO, 0.051s, 2051</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>63,719,307</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>706,647</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>LB Commercial Conduit Mortgage Trust 144A Ser. 99-C1,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Class G, 6.41s, 2031</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>253,101</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>265,668</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>LB-UBS Commercial Mortgage Trust</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-C6, Class A2, 5.845s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>921,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>906,006</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-C7, Class XW, IO, 0.374s, 2045</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>61,470,869</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,567,507</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>LB-UBS Commercial Mortgage Trust 144A Ser. 07-C7,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Class XCL, IO, 0.08s, 2045</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>25,949,723</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>259,497</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lehman Mortgage Trust</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-5, Class 4A3, 24.488s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>784,519</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>969,511</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-5, Class 8A2, IO, 5.121s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,414,114</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>133,360</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-4, Class 3A2, IO, 4.601s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,095,665</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>110,020</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-5, Class 2A2, IO, 4.551s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,960,304</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>162,248</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-7, Class 2A5, IO, 4.299s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,885,796</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>363,733</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-2, Class 2A13, IO, 4.091s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,058,156</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>188,557</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-9, Class 2A2, IO, 4.021s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,427,792</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>248,078</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-7, Class 2A4, IO, 3.951s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,229,472</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>305,793</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-6, Class 1A2, IO, 3.901s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,664,252</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>118,499</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-6, Class 1A3, IO, 3.901s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,345,182</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>189,103</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Local Insight Media Finance, LLC Ser. 07-1W, Class A1, 5.53s, 2012</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,737,149</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,685,555</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mach One Commercial Mortgage Trust 144A</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 04-1A, Class J, 5.45s, 2040 (Canada)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>594,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>326,700</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 04-1A, Class K, 5.45s, 2040 (Canada)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>212,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>106,000</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 04-1A, Class L, 5.45s, 2040 (Canada)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>96,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>43,200</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Merrill Lynch Capital Funding Corp. Ser. 06-4, Class XC, IO,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>0.062s, 2049</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>56,666,670</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>772,526</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2, Class JS, IO,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.264s, 2028</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,377,813</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>119,911</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Merrill Lynch Mortgage Trust FRB Ser. 07-C1, Class A3,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.829s, 2050</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>222,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>215,034</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Merrill Lynch/Countrywide Commercial Mortgage Trust</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-8, Class A2, 5.92s, 2049</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>402,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>391,108</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mezz Cap Commercial Mortgage Trust Ser. 07-C5, Class X,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.867s, 2017</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,502,220</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>659,961</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mezz Cap Commercial Mortgage Trust 144A Ser. 04-C1,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Class X, IO, 7.585s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>977,524</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>257,211</FONT> </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>34</FONT></P>
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     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE OBLIGATIONS (30.1%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=left>&nbsp; </TD>
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<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Morgan Stanley Capital I</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 98-CF1, Class E, 7.35s, 2032</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,252,000</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,231,266</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 08-T29, Class A3, 6.28s, 2043</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>712,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>697,076</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-IQ14, Class AM, 5.691s, 2049</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>247,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>224,361</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Morgan Stanley Capital I 144A</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 04-RR, Class F7, 6s, 2039</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,730,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,176,400</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-HQ13, Class X1, IO, 0.674s, 2044</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>56,936,049</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,841,312</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Morgan Stanley Mortgage Loan Trust Ser. 05-5AR, Class 2A1,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.302s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,289,904</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>999,676</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mortgage Capital Funding, Inc.</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 98-MC2, Class E, 7.088s, 2030</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>327,112</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>330,673</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 97-MC2, Class X, IO, 2.784s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>13,321</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Permanent Financing PLC FRB Ser. 8, Class 2C, 3.39s, 2042</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>(United Kingdom)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>500,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>492,308</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Permanent Financing PLC 144A FRB Ser. 9A, Class 3A, 3.09s,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>2033 (United Kingdom)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,021,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,866,325</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Permanent Master Issuer PLC FRB Ser. 07-1, Class 4A,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.338s, 2033 (United Kingdom)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,669,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,431,616</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>PNC Mortgage Acceptance Corp. 144A Ser. 00-C1, Class J,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 5/8s, 2010</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>123,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>76,511</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Residential Asset Securitization Trust IFB Ser. 07-A3,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Class 2A2, IO, 4.091s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,758,443</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>446,689</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Residential Mortgage Securities 144A FRB Ser. 20A,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Class B1A, 6.349s, 2038 (United Kingdom)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>150,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>263,560</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>SBA CMBS Trust 144A Ser. 05-1A, Class E, 6.706s, 2035</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>303,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>286,926</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>STRIPS 144A</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 03-1A, Class M, 5s, 2018 (Cayman Islands)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>162,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>121,500</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>193,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>137,030</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 04-1A, Class M, 5s, 2018 (Cayman Islands)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>174,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>125,280</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 04-1A, Class N, 5s, 2018 (Cayman Islands)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>167,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>108,550</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Structured Asset Securities Corp.</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-4, Class 1A3, IO, 3.573s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,853,354</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>312,992</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-4, Class 1A4, IO, 1s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,205,178</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>109,928</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Structured Asset Securities Corp. 144A</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-01, Class 1A2, IO, 3.393s, 2045</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,436,325</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>556,065</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-RF1, Class 1A, IO, 2.659s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,961,565</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>300,382</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Titan Europe PLC 144A</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-CT2A, Class E, 7.095s, 2014 (Ireland)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>226,682</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>427,255</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-CT1A, Class D, 7.095s, 2014 (Ireland)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>463,646</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>757,171</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>URSUS EPC 144A FRB Ser. 1-A, Class D, 6.938s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>(Ireland)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>239,967</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>440,693</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Wachovia Bank Commercial Mortgage Trust</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-C30, Class A3, 5.246s, 2043</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>813,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>819,446</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-C34, IO, 0.356s, 2046</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>16,952,299</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>401,430</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Wachovia Bank Commercial Mortgage Trust 144A FRB</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 05-WL5A, Class L, 6.118s, 2018</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>477,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>381,600</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Wells Fargo Mortgage Backed Securities Trust Ser. 05-AR13,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Class 1A4, IO, 0.742s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,817,973</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>50,918</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total collateralized mortgage obligations (cost $144,652,248)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>161,896,864</FONT> </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>
     <TD width="62%"></TD>
     <TD align=right width="5%"></TD>
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     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FOREIGN GOVERNMENT BONDS AND NOTES (19.6%)*</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Argentina (Republic of) bonds 7s, 2013</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>700,000</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>584,500</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Argentina (Republic of) bonds Ser. $V, 10 1/2s, 2012</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>ARS</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,109,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,068,340</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Argentina (Republic of) sr. unsec. unsub. bonds FRB</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.092s, 2012</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,656,250</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,481,901</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Austria (Republic of) 144A notes Ser. EMTN, 3.8s, 2013</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,390,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,190,407</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brazil (Federal Republic of) bonds 6s, 2017 (S)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,490,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,518,310</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brazil (Federal Republic of) notes zero %, 2017</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>BRL</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>339,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,665,768</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Canada (Government of) bonds Ser. WH31, 6s, 2008</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>CAD</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,680,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,602,327</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Colombia (Republic of) notes 10s, 2012</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,697,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,385,566</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ecuador (Republic of) bonds Ser. REGS, 12s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>337,824</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>342,891</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ecuador (Republic of) regs notes 9 3/8s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>125,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>126,563</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>France (Government of) bonds 4s, 2013</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,730,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,537,295</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ghana (Republic of) bonds 8 1/2s, 2017</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>285,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>297,198</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Indonesia (Republic of) bonds 14.275s, 2013</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>IDR</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,541,000,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>314,173</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Indonesia (Republic of) bonds 14 1/4s, 2013</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>IDR</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,546,000,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>948,683</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ireland (Republic of) bonds 5s, 2013</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,500,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,444,423</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Japan (Government of) CPI Linked bonds Ser. 12, 1.2s, 2017</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>JPY</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>375,619,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,768,620</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Japan (Government of) CPI Linked bonds Ser. 8, 1s, 2016</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>JPY</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,979,697,800</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>39,549,544</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mexican (Government of) bonds Ser. M 10, 8s, 2015</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>MXN</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>17,460,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,695,596</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Russia (Ministry of Finance) debs. Ser. V, 3s, 2008</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,445,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,440,428</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Spain (Government of) bonds 5.4s, 2011</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,000,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,654,490</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Spain (Kingdom of) bonds 5s, 2012</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>800,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,320,006</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sweden (Government of) debs. Ser. 1041, 6 3/4s, 2014</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>SEK</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>30,690,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,959,248</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ukraine (Government of) 144A bonds 6 3/4s, 2017</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>795,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>787,050</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ukraine (Government of) 144A sr. unsub. 6.58s, 2016</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>600,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>593,250</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Venezuela (Republic of) bonds 8 1/2s, 2014 (S)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,520,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,406,958</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Venezuela (Republic of) notes 10 3/4s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,485,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,534,700</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Venezuela (Republic of) unsub. bonds 5 3/8s, 2010</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>335,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>308,619</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total foreign government bonds and notes (cost $90,725,122)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>105,526,854</FONT> </TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CORPORATE BONDS AND NOTES (16.3%)*</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Basic Materials (1.3%)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Algoma Acquisition Corp. 144A unsec. notes 9 7/8s,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>2015 (Canada)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>145,000</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>125,425</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Builders FirstSource, Inc. company guaranty sr. sec. notes</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRN 7.315s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>270,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>189,000</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Compass Minerals International, Inc. sr. disc. notes</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>stepped-coupon Ser. B, zero % (12s, 6/1/08), 2013 &#134;&#134;</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>285,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>297,825</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Domtar Corp. company guaranty Ser.*, 7 7/8s, 2011</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>(Canada)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>250,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>250,000</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freeport-McMoRan Copper &amp; Gold, Inc. sr. unsec. bonds</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 3/8s, 2017</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>841,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>889,358</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freeport-McMoRan Copper &amp; Gold, Inc. sr. unsec. notes</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 1/4s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>422,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>445,210</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freeport-McMoRan Copper &amp; Gold, Inc. sr. unsec. notes</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRN 8.394s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>150,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>148,125</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Georgia-Pacific Corp. debs. 9 1/2s, 2011</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>49,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>49,858</FONT> </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><FONT face=sans-serif size=1>CORPORATE BONDS AND NOTES (16.3%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Basic Materials </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Georgia-Pacific Corp. notes 8 1/8s, 2011</FONT> </TD>
     <TD noWrap align=right><FONT style="WIDTH: 17pt; TEXT-ALIGN: right" face=sans-serif size=1>$</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>55,000</FONT> </TD>
     <TD noWrap align=right><FONT style="WIDTH: 17pt; TEXT-ALIGN: right" face=sans-serif size=1>$</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>54,588</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Gerdau Ameristeel Corp. sr. notes 10 3/8s, 2011 (Canada)</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>358,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>374,110</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Hexion U. S. Finance Corp. /Hexion Nova Scotia Finance,</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>ULC company guaranty 9 3/4s, 2014</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>90,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>96,525</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Huntsman International, LLC company guaranty sr. unsec.</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>sub. notes 7 7/8s, 2014</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>225,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>238,500</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Momentive Performance Materials, Inc. company guaranty</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>sr. unsec. notes 9 3/4s, 2014</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>262,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>235,145</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mosaic Co. (The) 144A sr. unsec. unsub. notes 7 5/8s, 2016</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>224,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>240,800</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mosaic Co. (The) 144A sr. unsec. unsub. notes 7 3/8s, 2014</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>136,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>145,520</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>NewPage Corp. company guaranty 10s, 2012</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>56,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>56,840</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>NewPage Corp. sec. notes 10s, 2012</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>320,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>324,800</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>NewPage Holding Corp. sr. notes FRN 11.818s, 2013 &#135;&#135;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>74,422</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>62,514</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Norske Skog Canada, Ltd. company guaranty Ser. D, 8 5/8s,</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>2011 (Canada)</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>15,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,488</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Novelis, Inc. company guaranty 7 1/4s, 2015</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>113,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100,005</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Rhodia SA 144A company guaranty unsec. sr. notes 7.326s,</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>2013 (France)</FONT> </TD>
     <TD noWrap align=right><FONT style="WIDTH: 17pt; TEXT-ALIGN: right" face=sans-serif size=1>EUR</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>810,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,124,685</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Rockwood Specialties Group, Inc. company guaranty</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 5/8s, 2014</FONT> </TD>
     <TD noWrap align=right><FONT style="WIDTH: 17pt; TEXT-ALIGN: right" face=sans-serif size=1>EUR</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>250,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>368,707</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Steel Dynamics, Inc. company guaranty sr. unsec. unsub.</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>notes 6 3/4s, 2015</FONT> </TD>
     <TD noWrap align=right><FONT style="WIDTH: 17pt; TEXT-ALIGN: right" face=sans-serif size=1>$</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>810,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>793,800</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Stone Container Corp. sr. notes 8 3/8s, 2012</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>240,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>217,200</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,841,028</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Capital Goods (1.1%)</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Alliant Techsystems, Inc. sr. sub. notes 6 3/4s, 2016</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>104,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>101,140</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBC Holding Corp. sr. notes 8 7/8s, 2014</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>264,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>230,340</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bombardier, Inc. 144A notes 6 3/4s, 2012 (Canada)</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,625,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,608,750</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bombardier, Inc. 144A sr. notes 8s, 2014 (Canada)</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>315,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>324,450</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bombardier, Inc. 144A sr. unsec. notes FRN 7.631s,</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>2013 (Canada)</FONT> </TD>
     <TD noWrap align=right><FONT style="WIDTH: 17pt; TEXT-ALIGN: right" face=sans-serif size=1>EUR</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>170,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>257,643</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Crown Americas, LLC/Crown Americas Capital Corp.</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>sr. notes 7 5/8s, 2013</FONT> </TD>
     <TD noWrap align=right><FONT style="WIDTH: 17pt; TEXT-ALIGN: right" face=sans-serif size=1>$</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>650,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>663,000</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>General Cable Corp. company guaranty sr. unsec. notes</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRN 7.104s, 2015</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>190,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>163,875</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Hawker Beechcraft Acquisition Co. , LLC sr. sub. notes</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9 3/4s, 2017</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>202,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>200,990</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Hexcel Corp. sr. sub. notes 6 3/4s, 2015</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>67,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>64,823</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>L-3 Communications Corp. company guaranty 6 1/8s, 2013</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>610,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>596,275</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>L-3 Communications Corp. sr. sub. notes 5 7/8s, 2015</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>574,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>549,605</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Milacron Escrow Corp. sec. notes 11 1/2s, 2011</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,485</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>RBS Global, Inc. / Rexnord Corp. company guaranty</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9 1/2s, 2014</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>588,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>549,780</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ryerson Tull, Inc. 144A sec. notes 12s, 2015</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>115,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>108,675</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>TD Funding Corp. company guaranty 7 3/4s, 2014</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>105,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>105,000</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Tekni-Plex, Inc. sec. notes 10 7/8s, 2012</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>135,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>137,700</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Terex Corp. company guaranty 7 3/8s, 2014</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>305,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>301,950</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,968,481</FONT> </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>37</FONT></P>
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     <TD noWrap align=left><FONT face=sans-serif size=1>CORPORATE BONDS AND NOTES (16.3%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Communication Services (1.3%)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>American Tower Corp. 144A sr. notes 7s, 2017</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>390,000</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>390,000</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Cincinnati Bell, Inc. company guaranty 7s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>578,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>523,090</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Cricket Communications, Inc. 144A company guaranty</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9 3/8s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>435,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>412,163</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Digicel Group, Ltd. 144A sr. notes 8 7/8s, 2015 (Jamaica)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>245,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>204,575</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Digicel, Ltd. 144A sr. notes 9 1/4s, 2012 (Jamaica)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>170,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>168,725</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Inmarsat Finance PLC company guaranty stepped-coupon</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>zero % (10 3/8s, 11/15/08), 2012 (United Kingdom) &#134;&#134;</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>768,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>744,960</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>iPCS, Inc. company guaranty sr. sec. notes FRN 5.364s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>140,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>107,800</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>MetroPCS Wireless, Inc. company guaranty sr. unsec. notes</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9 1/4s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>90,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>82,800</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>PAETEC Holding Corp. company guaranty sr. unsec. unsub.</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>notes 9 1/2s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>150,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>138,000</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Qwest Communications International, Inc. company guaranty</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 1/2s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>353,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>331,820</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Qwest Corp. sr. unsec. notes 7 1/2s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>75,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>73,125</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Qwest Corp. sr. unsec. unsub. notes 8 7/8s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,501,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,531,020</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Rural Cellular Corp. sr. unsec. sub. notes FRN 6.076s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>195,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>196,463</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>West Corp. company guaranty 9 1/2s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>129,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>115,455</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Wind Acquisition Fin. SA notes 9 3/4s, 2015 (Netherlands)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,190,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,888,387</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,908,383</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Consumer Cyclicals (2.3%)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Allison Transmission 144A company guaranty 11s, 2015</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>75,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>65,250</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bon-Ton Stores, Inc. (The) company guaranty 10 1/4s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>160,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>106,800</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Boyd Gaming Corp. sr. sub. notes 6 3/4s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>134,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>109,880</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CanWest Media, Inc. company guaranty 8s, 2012 (Canada)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>337,021</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>320,170</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>D.R. Horton, Inc. sr. notes 7 7/8s, 2011</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>765,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>752,492</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FelCor Lodging LP company guaranty 8 1/2s, 2011 (R)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>515,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>504,700</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ford Motor Credit Co., LLC sr. notes 9 7/8s, 2011</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>621,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>552,735</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ford Motor Credit Co., LLC sr. unsec. notes 9 3/4s, 2010</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>444,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>397,862</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ford Motor Credit Co., LLC unsec. notes 7 3/8s, 2009</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>195,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>177,671</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Hanesbrands, Inc. company guaranty sr. unsec. notes FRN</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. B, 8.204s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>310,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>275,125</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Host Marriott LP sr. notes Ser. M, 7s, 2012 (R)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>725,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>708,688</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Jostens IH Corp. company guaranty 7 5/8s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>600,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>583,500</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lamar Media Corp. sr. unsec. sub. notes Ser. C, 6 5/8s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>165,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>145,200</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Levi Strauss &amp; Co. sr. unsec. notes 8 7/8s, 2016</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>285,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>272,175</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Levi Strauss &amp; Co. sr. unsec. unsub. notes 9 3/4s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>651,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>648,559</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mashantucket Western Pequot Tribe 144A bonds</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 1/2s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>390,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>343,200</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Meritage Homes Corp. company guaranty 6 1/4s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>163,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>123,880</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Meritage Homes Corp. sr. notes 7s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>45,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>34,088</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Meritor Automotive, Inc. notes 6.8s, 2009</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>71,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>66,563</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>MGM Mirage, Inc. company guaranty 8 1/2s, 2010</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>468,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>483,210</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>MGM Mirage, Inc. company guaranty 6s, 2009</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,009,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,001,433</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>NTK Holdings, Inc. sr. disc. notes zero %, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>104,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>50,440</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Oxford Industries, Inc. sr. notes 8 7/8s, 2011</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>460,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>437,000</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>337,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>317,623</FONT> </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>38</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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     <TD noWrap align=left><FONT face=sans-serif size=1>CORPORATE BONDS AND NOTES (16.3%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Consumer Cyclicals </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Pinnacle Entertainment, Inc. 144A sr. sub. notes 7 1/2s, 2015</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>320,000</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>252,000</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Pulte Homes, Inc. company guaranty 7 7/8s, 2011</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>730,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>700,800</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Pulte Homes, Inc. notes 4 7/8s, 2009</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>75,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>70,875</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Quebecor Media sr. unsec. notes 7 3/4s, 2016 (Canada)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>75,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>68,438</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Realogy Corp. company guaranty sr. unsec. notes</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>10 1/2s, 2014 (R)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>695,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>467,388</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>75,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>62,625</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Standard Pacific Corp. sr. unsec. notes 6 1/2s, 2008</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>205,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>194,750</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Station Casinos, Inc. sr. notes 6s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>318,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>260,760</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Tenneco Automotive, Inc. company guaranty 8 5/8s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>40,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>39,300</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Tenneco, Inc. 144A sr. unsec. notes 8 1/8s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>375,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>372,188</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Texas Industries, Inc. sr. unsec. notes 7 1/4s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>361,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>351,073</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sub. notes</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 1/2s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>255,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>188,700</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Tropicana Entertainment, LLC sr. sub. notes 9 5/8s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>260,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>134,875</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Trump Entertainment Resorts, Inc. sec. notes 8 1/2s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>288,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>194,400</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Vertis, Inc. company guaranty Ser. B, 10 7/8s, 2009</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>661,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>231,350</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Vertis, Inc. 144A unsec. sub. notes 13 1/2s, 2009</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>170,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>17,000</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 1st mtge.</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 5/8s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>555,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>534,188</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,618,954</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Consumer Staples (1.9%)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Affinity Group, Inc. sr. sub. notes 9s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>545,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>503,444</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>AMC Entertainment, Inc. company guaranty 11s, 2016</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>251,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>234,999</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>AMC Entertainment, Inc. sr. sub. notes 8s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>205,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>173,738</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Archibald Candy Corp. company guaranty 10s, 2008</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>(In default) &#134; (F)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>90,153</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,324</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Avis Budget Car Rental, LLC company guaranty 7 3/4s, 2016</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>285,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>232,275</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Cablevision Systems Corp. sr. notes Ser. B, 8s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>167,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>162,408</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CCH I Holdings, LLC company guaranty 12 1/8s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,060</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CCH II, LLC sr. unsec. notes 10 1/4s, 2010</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>238,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>216,580</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CCH II, LLC sr. unsec. notes Ser. B, 10 1/4s, 2010</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,099,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>997,343</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Church &amp; Dwight Co. , Inc. company guaranty 6s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>444,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>432,900</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Cinemark, Inc. sr. disc. notes stepped-coupon zero % (9 3/4s,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/15/09), 2014 &#134;&#134;</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>500,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>450,000</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Clear Channel Communications, Inc. sr. unsec. notes</FONT> </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5 1/2s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>58,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>41,760</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CSC Holdings, Inc. sr. notes 6 3/4s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>543,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>523,995</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dean Foods Co. company guaranty 7s, 2016</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>134,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>117,250</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Del Monte Corp. company guaranty 6 3/4s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>320,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>306,400</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Del Monte Corp. sr. sub. notes 8 5/8s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>560,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>569,800</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>DirecTV Holdings, LLC company guaranty 6 3/8s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>718,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>669,535</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Echostar DBS Corp. company guaranty 6 5/8s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,119,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,928,290</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Liberty Media, LLC sr. notes 5.7s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>63,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>55,159</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Liberty Media, LLC sr. unsec. notes 7 7/8s, 2009</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>169,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>169,587</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mediacom LLC/Mediacom Capital Corp. sr. unsec. notes</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9 1/2s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>92,000</FONT> </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>39</FONT></P>
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     <TD noWrap align=left><FONT face=sans-serif size=1>CORPORATE BONDS AND NOTES (16.3%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
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     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT> </TD>
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     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
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<HR noShade SIZE=1>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Consumer Staples </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Nielsen Finance LLC/Nielsen Finance Co. company guaranty</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>10s, 2014</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>186,000</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>185,070</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Nielsen Finance LLC/Nielsen Finance Co. company guaranty</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>stepped-coupon zero % (12 1/2s, 8/1/11), 2016 &#134;&#134;</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>360,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>227,700</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Prestige Brands, Inc. sr. sub. notes 9 1/4s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>371,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>358,015</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Rainbow National Services, LLC 144A sr. notes 8 3/4s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>383,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>391,618</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Rite Aid Corp. company guaranty 9 3/8s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>330,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>259,050</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Rite Aid Corp. sec. notes 7 1/2s, 2017</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>315,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>283,500</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sara Lee Corp. notes 6 1/4s, 2011</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>300,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>317,826</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Young Broadcasting, Inc. company guaranty 10s, 2011</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>239,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>149,973</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Young Broadcasting, Inc. sr. sub. notes 8 3/4s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>83,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>49,800</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,105,399</FONT> </TD></TR>
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<HR noShade SIZE=1>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Energy (2.4%)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Arch Western Finance, LLC sr. notes 6 3/4s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,347,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,343,633</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Chaparral Energy, Inc. company guaranty sr. unsec. notes</FONT> </TD>
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     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 7/8s, 2017</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>320,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>277,600</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CHC Helicopter Corp. sr. sub. notes 7 3/8s, 2014 (Canada)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>772,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>769,105</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Chesapeake Energy Corp. company guaranty 7 3/4s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>269,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>277,070</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Chesapeake Energy Corp. sr. notes 7 1/2s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,031,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,061,930</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Chesapeake Energy Corp. sr. notes 7s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>279,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>279,698</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Complete Production Services, Inc. company guaranty 8s, 2016</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>515,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>494,400</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Comstock Resources, Inc. sr. notes 6 7/8s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>510,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>489,600</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Connacher Oil and Gas, Ltd. 144A sec. notes 10 1/4s,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>2015 (Canada)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>210,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>211,575</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Denbury Resources, Inc. sr. sub. notes 7 1/2s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>315,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>322,088</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>EXCO Resources, Inc. company guaranty 7 1/4s, 2011</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>425,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>413,313</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Forest Oil Corp. sr. notes 8s, 2011</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>540,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>562,950</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Harvest Operations Corp. sr. notes 7 7/8s, 2011 (Canada)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>584,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>534,360</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Helix Energy Solutions Group, Inc. 144A sr. unsec. notes</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9 1/2s, 2016</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>390,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>390,000</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Hornbeck Offshore Services, Inc. sr. notes Ser. B, 6 1/8s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>517,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>488,565</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Key Energy Services, Inc. 144A sr. notes 8 3/8s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>180,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>179,550</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lukoil International Finance 144A company guaranty 6.356s,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>2017 (Netherlands)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>900,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>833,625</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Massey Energy Co. sr. notes 6 5/8s, 2010</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>273,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>270,611</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Newfield Exploration Co. sr. sub. notes 6 5/8s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>348,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>342,780</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Offshore Logistics, Inc. company guaranty 6 1/8s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>295,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>283,200</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Oslo Seismic Services, Inc. 1st mtge. 8.28s, 2011</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>352,304</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>375,256</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Pacific Energy Partners/Pacific Energy Finance Corp. sr. notes</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 1/8s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>355,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>375,945</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Pemex Finance, Ltd. bonds 9.69s, 2009 (Cayman Islands)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>304,500</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>314,163</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>PetroHawk Energy Corp. company guaranty 9 1/8s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>309,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>317,498</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Petroleum Development Corp. 144A sr. unsec. notes 12s, 2018</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>160,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>165,600</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Petroplus Finance, Ltd. company guaranty 6 3/4s, 2014 (Bermuda)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>355,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>323,938</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Plains Exploration &amp; Production Co. company guaranty</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 3/4s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>70,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>69,825</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Plains Exploration &amp; Production Co. company guaranty 7s, 2017</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>80,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>76,800</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Pride International, Inc. sr. unsec. notes 7 3/8s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>826,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>859,040</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,703,718</FONT> </TD></TR></TABLE><BR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>CORPORATE BONDS AND NOTES (16.3%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=right>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT> </TD>
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     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Financial (3.1%)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Banco Do Brasil 144A sr. unsec. 5.822s, 2017</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>(Cayman Islands)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>BRL</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>536,000</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>274,518</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bear Stearns Cos., Inc. (The) notes Ser. MTN, 6.95s, 2012</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,205,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,205,594</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bosphorus Financial Services, Ltd. 144A sec. sr. notes</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRN 4.865s, 2012 (Cayman Islands)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,445,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,390,539</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CIT Group, Inc. med. term notes 3.303s, 2008</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>425,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>416,514</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Finova Group, Inc. notes 7 1/2s, 2009 (In default) &#134;</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>413,755</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>61,029</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GMAC, LLC notes 6 7/8s, 2011</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>85,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>65,056</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GMAC, LLC sr. unsec. unsub. notes 7 3/4s, 2010</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>90,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>77,847</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GMAC, LLC sr. unsec. unsub. notes 7s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>40,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>30,528</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GMAC, LLC sr. unsec. unsub. notes 6 7/8s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>637,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>484,075</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GMAC, LLC sr. unsec. unsub. notes 6 3/4s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,139,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>806,071</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GMAC, LLC sr. unsec. unsub. notes 6 5/8s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>810,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>614,103</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GMAC, LLC sr. unsec. unsub. notes 5.85s, 2009</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>33,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>30,772</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GMAC, LLC sr. unsec. unsub. notes FRN 5.276s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>64,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>42,549</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>HUB International Holdings, Inc. 144A sr. sub. notes</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>10 1/4s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>95,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>69,350</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>HUB International Holdings, Inc. 144A sr. unsec. unsub.</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>notes 9s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>65,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>50,700</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>iStar Financial, Inc. sr. unsec. notes Ser. B, 4 7/8s, 2009 (R)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>90,000</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPMorgan Chase &amp; Co. 144A sr. unsec. FRN zero%, 2017</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,000,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,079,000</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPMorgan Chase &amp; Co. 144A unsec. unsub. notes</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>0.198s, 2012</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>INR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,000,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>506,793</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lehman Brothers Holdings, Inc. sr. unsec. notes Ser. I,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.2s, 2014</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,205,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,188,520</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Leucadia National Corp. sr. unsec. notes 8 1/8s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100,500</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Leucadia National Corp. sr. unsec. notes 7 1/8s, 2017</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>252,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>238,770</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Merrill Lynch &amp; Co. , Inc. notes 5.45s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,205,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,181,489</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Morgan Stanley sr. unsec. bonds 6.025s, 2017</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>BRL</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,850,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>889,270</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Nuveen Investments, Inc. 144A sr. notes 10 1/2s, 2015</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>194,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>166,355</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>RSHB Capital SA for OJSC Russian Agricultural Bank notes</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.299s, 2017 (Luxembourg)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>675,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>625,219</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>UBS Luxembourg SA for Sberbank unsec. sub. notes</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>stepped-coupon 6.23s (7.429s, 2/11/10), 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>(Luxembourg) &#134;&#134;</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,400,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,404,326</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>USI Holdings Corp. 144A sr. unsec. notes FRN 6.94s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>60,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>43,350</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>VTB Capital SA 144A notes 7 1/2s, 2011 (Luxembourg)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,010,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,061,020</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>VTB Capital SA 144A sec. notes 6.609s, 2012 (Luxembourg)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>480,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>469,157</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>16,663,014</FONT> </TD></TR>
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<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Health Care (1.3%)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Community Health Systems, Inc. company guaranty</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 7/8s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>665,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>667,494</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DaVita, Inc. company guaranty 6 5/8s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>153,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>148,410</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Elan Finance PLC/Elan Finance Corp. company guaranty</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 3/4s, 2011 (Ireland)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>205,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>190,394</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>HCA, Inc. company guaranty sr. sec. notes 9 5/8s, 2016 &#135;&#135;</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>550,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>570,625</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>HCA, Inc. sr. sec. notes 9 1/4s, 2016</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>645,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>669,188</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>HCA, Inc. sr. unsec. notes 6 3/8s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>212,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>179,405</FONT> </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>41</FONT></P>
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     <TD noWrap align=left><FONT face=sans-serif size=1>CORPORATE BONDS AND NOTES (16.3%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
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     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Health Care </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>HCA, Inc. sr. unsec. notes 5 3/4s, 2014</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>260,000</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>214,500</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Omnicare, Inc. company guaranty 6 3/4s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>195,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>174,038</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Omnicare, Inc. sr. sub. notes 6 1/8s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>545,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>478,238</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Service Corporation International sr. notes 7s, 2017</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>170,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>164,050</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Stewart Enterprises, Inc. sr. notes 6 1/4s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>724,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>676,940</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Surgical Care Affiliates, Inc. 144A sr. sub. notes 10s, 2017</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>300,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>225,000</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Surgical Care Affiliates, Inc. 144A sr. unsec. notes</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 7/8s, 2015 &#135;&#135;</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>77,000</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Tenet Healthcare Corp. notes 7 3/8s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>390,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>348,075</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Tenet Healthcare Corp. sr. unsec. unsub. notes 6 3/8s, 2011</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>475,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>428,688</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>US Oncology, Inc. company guaranty 9s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>485,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>482,575</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Vanguard Health Holding Co. II, LLC sr. sub. notes 9s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>491,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>472,588</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ventas Realty LP/Capital Corp. company guaranty 9s, 2012 (R)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>305,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>321,013</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ventas Realty LP/Capital Corp. company guaranty</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 3/4s, 2010 (R)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>201,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>201,251</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ventas Realty LP/Capital Corp. sr. notes 6 5/8s, 2014 (R)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>173,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>170,405</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,859,877</FONT> </TD></TR>
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<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Technology (0.6%)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Advanced Micro Devices, Inc. sr. notes 7 3/4s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>334,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>270,540</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ceridian Corp. 144A sr. unsec. notes 11 1/4s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>275,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>235,125</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Compucom Systems, Inc. sr. sub. notes 12 1/2s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>155,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>144,925</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freescale Semiconductor, Inc. company</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>guaranty sr. unsec. notes 8 7/8s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>552,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>431,940</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freescale Semiconductor, Inc. company</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>guaranty sr. unsec. sub notes 9 1/8s, 2014 &#135;&#135;</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>383,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>279,590</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freescale Semiconductor, Inc. sr. sec. notes 10 1/8s, 2016 (S)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>384,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>259,200</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Iron Mountain, Inc. company guaranty 8 5/8s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>700,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>708,750</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>New ASAT Finance, Ltd. company guaranty 9 1/4s, 2011</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>(Cayman Islands)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>13,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,384</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Nortel Networks, Ltd. company guaranty sr. unsec. notes</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>10 3/4s, 2016 (Canada)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>215,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>196,456</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Nortel Networks, Ltd. company guaranty sr. unsec. notes</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRN 8.508s, 2011 (Canada)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>235,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>201,513</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>SunGard Data Systems, Inc. company guaranty 9 1/8s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>340,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>343,400</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Travelport LLC company guaranty 9 7/8s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>166,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>148,985</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Xerox Corp. sr. notes 9 3/4s, 2009</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>140,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>226,704</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,457,512</FONT> </TD></TR>
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<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Utilities &amp; Power (1.0%)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>AES Corp. (The) sr. notes 8 7/8s, 2011</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>54,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>56,430</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>AES Corp. (The) sr. unsec. unsub. notes 8s, 2017</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>130,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>131,625</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>AES Corp. (The) 144A sec. notes 8 3/4s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>287,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>298,480</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CMS Energy Corp. sr. notes 7 3/4s, 2010</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>180,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>188,192</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Colorado Interstate Gas Co. sr. notes 5.95s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>56,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>55,434</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Edison Mission Energy sr. unsec. notes 7 3/4s, 2016</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>151,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>155,530</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Edison Mission Energy sr. unsec. notes 7 1/2s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>172,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>176,300</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Edison Mission Energy sr. unsec. notes 7.2s, 2019 (S)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>275,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>271,563</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Edison Mission Energy sr. unsec. notes 7s, 2017</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>195,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>194,025</FONT> </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>42</FONT></P>
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     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CORPORATE BONDS AND NOTES (16.3%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Utilities &amp; Power </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ferrellgas LP/Finance sr. notes 6 3/4s, 2014</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>520,000</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>507,000</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Kinder Morgan, Inc. sr. notes 6 1/2s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,589,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,608,863</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>NRG Energy, Inc. sr. notes 7 3/8s, 2016</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>235,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>230,300</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Orion Power Holdings, Inc. sr. unsec. notes 12s, 2010</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>655,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>715,588</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Teco Finance, Inc. sr. unsec. unsub. notes 7.2s, 2011</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>185,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>197,729</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Teco Finance, Inc. sr. unsec. unsub. notes 7s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>280,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>301,824</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Teco Finance, Inc. sr. unsec. unsub. notes 6 3/4s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>32,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>33,031</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Utilicorp United, Inc. sr. unsec. notes 9.95s, 2011</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,953</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Williams Cos., Inc. (The) sr. unsec. notes 8 1/8s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>150,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>163,875</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Williams Partners LP/ Williams Partners Finance Corp. sr. unsec.</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>notes 7 1/4s, 2017</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>145,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>145,725</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,450,467</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total corporate bonds and notes (cost $92,876,304)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>87,576,833</FONT> </TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>ASSET-BACKED SECURITIES (11.8%)*</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Accredited Mortgage Loan Trust</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-1, Class M2, 3.289s, 2035 (F)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>160,000</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>99,115</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-4, Class A2C, 2.809s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>34,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>29,580</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ace Securities Corp.</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-OP2, Class A2C, 2.749s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>107,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>56,710</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-HE3, Class A2C, 2.749s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>115,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>99,635</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ameriquest Mortgage Securities, Inc. FRB Ser. 03-8, Class M2,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.349s, 2033 (F)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>235,353</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>54,013</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Arcap REIT, Inc. 144A</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 03-1A, Class E, 7.11s, 2038</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>383,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>358,843</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 04-1A, Class E, 6.42s, 2039</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>361,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>308,222</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Argent Securities, Inc.</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 03-W3, Class M3, 4.869s, 2033 (F)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>26,029</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,897</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-W4, Class A2C, 2.759s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>204,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>144,840</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Asset Backed Funding Certificates FRB Ser. 04-OPT2, Class M2,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.599s, 2033 (F)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>252,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>176,331</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Asset Backed Securities Corp. Home Equity Loan Trust</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-HE2, Class A3, 2.789s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>49,093</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>44,818</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-HE4, Class A5, 2.759s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>148,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>96,200</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Asset Backed Securities Corp. Home Equity Loan Trust 144A</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-HE2, Class M10, 5.099s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>509,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,180</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Aviation Capital Group Trust 144A FRB Ser. 03-2A, Class G1,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.236s, 2033</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>253,862</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>236,091</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bank One Issuance Trust FRB Ser. 03-C4, Class C4,3.848s, 2011</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>340,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>335,750</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bear Stearns Asset Backed Securities, Inc.</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 04-FR3, Class M6, 5.849s, 2034</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>286,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>178,750</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-PC1, Class M9, 4.349s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>185,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,500</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-HE1, Class M3, 3.529s, 2035 (F)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>223,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>127,015</FONT> </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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     <TD width="12%"></TD>
     <TD align=right width="5%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>ASSET-BACKED SECURITIES (11.8%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bear Stearns Asset Backed Securities, Inc. 144A FRB</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 06-HE2, Class M10, 4.849s, 2036</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>270,000</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>27,000</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bombardier Capital Mortgage Securitization Corp.</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 00-A, Class A4, 8.29s, 2030</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>507,402</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>343,289</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 00-A, Class A2, 7.575s, 2030</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,349,215</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>852,928</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 99-B, Class A4, 7.3s, 2016</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>664,684</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>380,153</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 99-B, Class A3, 7.18s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,118,598</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>694,579</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 00-A, Class A1, 2.978s, 2030</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>145,952</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>71,896</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Capital Auto Receivables Asset Trust 144A Ser. 06-1,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Class D, 7.16s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>500,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>500,469</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Chase Credit Card Master Trust FRB Ser. 03-3,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Class C, 3.898s, 2010</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>350,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>346,128</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Citigroup Mortgage Loan Trust, Inc.</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-HE4, Class M11, 5.099s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>304,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>42,560</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-HE4, Class M12, 4.649s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>457,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>41,130</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-OPT1, Class M1, 3.019s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>47,073</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>33,932</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Conseco Finance Securitizations Corp.</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 00-2, Class A5, 8.85s, 2030</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,454,185</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,230,137</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 00-4, Class A6, 8.31s, 2032</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,395,950</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,848,883</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 00-5, Class A7, 8.2s, 2032</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>476,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>389,220</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 00-1, Class A5, 8.06s, 2031</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>987,739</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>806,242</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 00-4, Class A5, 7.97s, 2032</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>195,486</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>153,334</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 00-5, Class A6, 7.96s, 2032</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>744,878</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>611,218</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-3, Class M2, 7.44s, 2033</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>69,194</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,152</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-4, Class A4, 7.36s, 2033</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>215,986</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>216,285</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 00-6, Class A5, 7.27s, 2031</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>78,528</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>72,055</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-1, Class A5, 6.99s, 2032</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,651,621</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,605,247</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-3, Class A4, 6.91s, 2033</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,033,956</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,882,865</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 02-1, Class A, 6.681s, 2033</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>965,118</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>939,440</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 02-1, Class M1A, 5.169s, 2033</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,196,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,975,228</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 01-4, Class M1, 4.869s, 2033</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>295,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>137,779</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Countrywide Asset Backed Certificates</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-BC3, Class M1, 3.119s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>47,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>35,250</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-14, Class 3A2, 2.839s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>31,282</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>27,216</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>(Cayman Islands)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>431,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>258,600</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DB Master Finance, LLC 144A Ser. 06-1, Class M1,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.285s, 2031</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>277,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>247,762</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Equifirst Mortgage Loan Trust FRB Ser. 05-1, Class M5,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.269s, 2035 (F)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>92,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>45,950</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>First Franklin Mortgage Loan Asset Backed Certificates FRB</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 06-FF7, Class 2A3, 2.749s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>173,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>146,381</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fremont Home Loan Trust</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-E, Class 2A4, 2.929s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>244,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>208,400</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-2, Class 2A3, 2.769s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>353,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>247,100</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Gears Auto Owner Trust 144A Ser. 05-AA, Class E1,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.22s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>687,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>622,811</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Granite Mortgages PLC</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 03-2, Class 3C, 7.589s, 2043 (United Kingdom)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>873,180</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,592,753</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 03-2, Class 2C1, 5.2s, 2043 (United Kingdom)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,430,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,087,564</FONT> </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>44</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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     <TD noWrap align=left><FONT face=sans-serif size=1>ASSET-BACKED SECURITIES (11.8%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Green Tree Financial Corp.</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 94-6, Class B2, 9s, 2020</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>861,059</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>849,169</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 94-4, Class B2, 8.6s, 2019</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>263,436</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>180,499</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 93-1, Class B, 8.45s, 2018</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>426,342</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>383,273</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 99-5, Class A5, 7.86s, 2030</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,095,186</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,603,764</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 96-8, Class M1, 7.85s, 2027</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>387,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>343,401</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 95-8, Class B1, 7.3s, 2026</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>362,579</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>321,627</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 95-4, Class B1, 7.3s, 2025</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>371,800</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>367,840</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 97-6, Class M1, 7.21s, 2029</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>982,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>774,789</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 98-2, Class A6, 6.81s, 2027</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>434,646</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>430,687</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 99-3, Class A7, 6.74s, 2031</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>733,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>715,453</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRN 6.53s, 2030</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>198,432</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>183,328</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 98-4, Class A5, 6.18s, 2030</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>500,703</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>479,340</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 99-1, Class A5, 6.11s, 2023</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>336,310</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>333,761</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Greenpoint Manufactured Housing</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 00-3, Class IA, 8.45s, 2031</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,703,941</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,543,490</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 99-5, Class M1A, 8.3s, 2026</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>157,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>140,386</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 99-5, Class A4, 7.59s, 2028</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>52,922</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>52,922</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GS Auto Loan Trust 144A Ser. 04-1, Class D, 5s, 2011 (F)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>365,777</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>365,400</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GSAMP Trust FRB Ser. 06-HE5, Class A2C, 2.749s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>526,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>433,789</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Guggenheim Structured Real Estate Funding, Ltd. 144A</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-2A, Class E, 4.599s, 2030 (Cayman Islands)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>379,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>228,992</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-1A, Class E, 4.399s, 2030 (Cayman Islands)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>83,828</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>61,195</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Home Equity Asset Trust FRB Ser. 06-1, Class 2A4,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.929s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>122,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>79,300</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPMorgan Mortgage Acquisition Corp. FRB Ser. 06-FRE1,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Class A4, 2.889s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>103,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>89,641</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lehman ABS Manufactured Housing Contract Ser. 01-B,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Class A4, 5.27s, 2018</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,258,839</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,188,120</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lehman XS Trust FRB Ser. 07-6, Class 2A1, 2.809s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,314,711</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>946,723</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>LNR CDO, Ltd. 144A FRB Ser. 02-1A, Class FFL, 5.349s,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>2037 (Cayman Islands)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,260,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>441,000</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Long Beach Mortgage Loan Trust</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-2, Class M4, 3.219s, 2035 (F)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>255,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>114,565</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-4, Class 2A4, 2.859s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>117,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>63,855</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-1, Class 2A3, 2.789s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>161,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>129,605</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lothian Mortgages PLC 144A FRB Ser. 3A, Class D, 6.328s,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>2039 (United Kingdom)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>900,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,648,367</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Madison Avenue Manufactured Housing Contract FRB</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 02-A, Class B1, 5.849s, 2032</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,046,356</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>742,808</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>MASTR Asset Backed Securities Trust FRB Ser. 06-FRE2,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Class A4, 2.749s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>61,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>46,153</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>MBNA Credit Card Master Note Trust FRB Ser. 03-C5,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Class C5, 3.998s, 2010</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>350,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>347,280</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mid-State Trust Ser. 11, Class B, 8.221s, 2038</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>116,501</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100,191</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Morgan Stanley ABS Capital I</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 04-HE8, Class B3, 5.799s, 2034 (F)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>214,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>106,980</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-HE2, Class M5, 3.279s, 2035 (F)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>160,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>71,925</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-HE1, Class M3, 3.119s, 2034 (F)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>160,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>87,914</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-NC4, Class M2, 2.899s, 2036 (F)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>223,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>59,950</FONT> </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>45</FONT></P>
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     <TD noWrap align=left><FONT face=sans-serif size=1>ASSET-BACKED SECURITIES (11.8%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Navistar Financial Corp. Owner Trust</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 05-A, Class C, 4.84s, 2014</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>114,174</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>103,777</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 04-B, Class C, 3.93s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>54,435</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>49,543</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>New Century Home Equity Loan Trust FRB Ser. 03-4,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Class M3, 4.649s, 2033 (F)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,787</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,509</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Novastar Home Equity Loan</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-1, Class A2C, 2.759s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>146,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>127,064</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-2, Class A2C, 2.749s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>146,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>122,142</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Oakwood Mortgage Investors, Inc.</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 96-C, Class B1, 7.96s, 2027</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,020,411</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>643,122</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 99-D, Class A1, 7.84s, 2029</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>936,314</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>788,845</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 00-A, Class A2, 7.765s, 2017</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>135,072</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>109,744</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 95-B, Class B1, 7.55s, 2021</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>364,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>218,400</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 00-D, Class A4, 7.4s, 2030</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,022,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>747,593</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 02-B, Class A4, 7.09s, 2032</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>388,114</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>378,178</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 99-B, Class A4, 6.99s, 2026</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>993,918</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>909,435</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 00-D, Class A3, 6.99s, 2022</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>398,411</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>382,355</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-D, Class A4, 6.93s, 2031</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>713,826</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>512,150</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-E, Class A4, 6.81s, 2031</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>896,533</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>753,298</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 99-B, Class A3, 6.45s, 2017</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>237,712</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>214,236</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-C, Class A2, 5.92s, 2017</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>939,199</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>398,686</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 02-C, Class A1, 5.41s, 2032</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,199,776</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,103,314</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-D, Class A2, 5.26s, 2019</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>142,692</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>94,847</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-E, Class A2, 5.05s, 2019</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>996,737</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>737,585</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 02-A, Class A2, 5.01s, 2020</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>252,166</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>218,030</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Oakwood Mortgage Investors, Inc. 144A</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-B, Class A4, 7.21s, 2030</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>191,035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>165,246</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 01-B, Class A2, 3.193s, 2018</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>51,576</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>41,042</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ocean Star PLC 144A</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 04-A, Class E, 9.588s, 2018 (Ireland)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>885,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>778,800</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-A, Class E, 7.688s, 2012 (Ireland)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>238,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>190,567</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option One Mortgage Loan Trust FRB Ser. 05-4, Class M11,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.099s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>509,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>71,260</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Park Place Securities, Inc.</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-WCH1, Class M4, 3.429s, 2036 (F)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>104,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>46,746</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 04-MCW1, Class A2, 2.979s, 2034</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>109,631</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>93,580</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>People&#146;s Financial Realty Mortgage Securities Trust FRB</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 06-1, Class 1A2, 2.729s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>225,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>184,500</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Permanent Financing PLC</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 6, Class 3C, 7.576s, 2042 (United Kingdom)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>887,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,714,689</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 3, Class 3C, 4.14s, 2042 (United Kingdom)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>350,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>345,849</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Residential Asset Mortgage Products, Inc.</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-NC3, Class A2, 2.789s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>189,341</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>177,133</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-RZ1, Class A2, 2.759s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>176,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>141,089</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Residential Asset Securities Corp.</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-EMX1, Class M2, 3.329s, 2035 (F)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>362,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>162,631</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-KS3, Class AII, 3.059s, 2031</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,550,687</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,395,619</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Residential Asset Securities Corp. 144A FRB Ser. 05-KS10,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Class B, 5.349s, 2035 (F)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>395,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>39,398</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Rural Housing Trust Ser. 87-1, Class D, 6.33s, 2026</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3</FONT> </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>46</FONT></P>
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     <TD noWrap align=left><FONT face=sans-serif size=1>ASSET-BACKED SECURITIES (11.8%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=right>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
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     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>SAIL Net Interest Margin Notes 144A Ser. 03-3, Class A,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 3/4s, 2033 (Cayman Islands) (In default) &#134;</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>17,341</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>17</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securitized Asset Backed Receivables, LLC</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-HE1, Class M2, 3.249s, 2035 (F)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>160,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>71,866</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-NC2, Class A2B, 2.739s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>165,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>112,200</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>SG Mortgage Securities Trust FRB Ser. 06-OPT2, Class A3D,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>PO, 2.809s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>246,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>155,546</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Soundview Home Equity Loan Trust</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-OPT3, Class 2A3, 2.769s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>117,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100,309</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-3, Class A3, 2.759s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>529,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>437,799</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Soundview Home Equity Loan Trust 144A FRB Ser. 05-4,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Class M10, 5.099s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>392,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,600</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>South Coast Funding 144A FRB Ser. 3A, Class A2, 4.296s,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>2038 (Cayman Islands)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>140,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,800</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Structured Asset Investment Loan Trust FRB Ser. 06-BNC2,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Class A6, 2.859s, 2036</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>117,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>58,500</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Structured Asset Investment Loan Trust 144A FRB</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 05-HE3, Class M11, 5.099s, 2035</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>436,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,750</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Structured Asset Receivables Trust 144A FRB Ser. 05-1,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.87s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,764,535</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,693,954</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>467,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>220,176</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>TIAA Real Estate CDO, Ltd. 144A Ser. 02-1A, Class IV,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.84s, 2037</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>390,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>166,787</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Whinstone Capital Management, Ltd. 144A FRB Ser. 1A,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Class B3, 4.231s, 2044 (United Kingdom)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>368,254</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>257,778</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total asset-backed securities (cost $71,910,835)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>63,632,995</FONT> </TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>SENIOR LOANS (9.3%)* (c)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Basic Materials (0.8%)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Aleris International, Inc. bank term loan FRN</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. B, 4 5/8s, 2013</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>412,932</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>342,390</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Domtar Corp. bank term loan FRN 3.934s, 2014 (Canada)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>321,500</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>299,914</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Georgia-Pacific, LLC bank term loan FRN Ser. B, 4.727s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,040,339</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>962,514</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Georgia-Pacific, LLC bank term loan FRN Ser. B2,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.168s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>297,750</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>275,476</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Graphic Packaging Corp. bank term loan FRN Ser. C,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7.453s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>330,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>300,919</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Hexion Specialty Chemicals, Inc. bank term loan FRN</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5 3/8s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>246,250</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>227,473</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Hexion Specialty Chemicals, Inc. bank term loan FRN</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. C, 5s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,850</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,336</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Momentive Performance Materials, Inc. bank term loan FRN</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.938s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>402,625</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>354,310</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>NewPage Holding Corp. bank term loan FRN 6.313s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>340,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>331,783</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Novelis, Inc. bank term loan FRN Ser. B, 4.7s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>231,648</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>205,443</FONT> </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>47</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<TR>
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     <TD width="12%"></TD>
     <TD align=right width="5%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>SENIOR LOANS (9.3%)* (c) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Basic Materials </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Novelis, Inc. bank term loan FRN Ser. B, 4.7s, 2014</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>509,627</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>451,975</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Rockwood Specialties Group, Inc. bank term loan FRN Ser. E,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.744s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>869,155</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>820,627</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,591,160</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Capital Goods (0.5%)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Berry Plastics Holding Corp. bank term loan FRN 5.095s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>148,875</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>126,502</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Graham Packaging Co., LP bank term loan FRN 5.959s, 2011</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>99,250</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>90,648</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Hawker Beechcraft Acquisition Co., LLC bank term loan FRN</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.73s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>17,661</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>16,419</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Hawker Beechcraft Acquisition Co., LLC bank term loan FRN</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. B, 4.696s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>303,055</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>281,746</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Hexcel Corp. bank term loan FRN Ser. B, 5.054s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>259,418</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>249,042</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mueller Water Products, Inc. bank term loan FRN Ser. B,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.863s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>356,051</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>323,561</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Polypore, Inc. bank term loan FRN Ser. B, 4.96s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>313,685</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>276,043</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sensata Technologies BV bank term loan FRN 5.056s,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>2013 (Netherlands)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>285,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>245,931</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sequa Corp. bank term loan FRN 5.95s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>588,525</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>554,807</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Terex Corp. bank term loan FRN Ser. D, 7.446s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>49,125</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>47,406</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Transdigm, Inc. bank term loan FRN 4.655s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>250,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>233,542</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Wesco Aircraft Hardware Corp. bank term loan FRN 4.95s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>210,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>195,650</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,641,297</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Communication Services (0.7%)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Cricket Communications, Inc. bank term loan FRN Ser. B,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.696s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>34,911</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>33,035</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Crown Castle International Corp. bank term loan FRN</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.196s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>104,736</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>95,375</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fairpoint Communications, Inc. bank term loan FRN Ser. B,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7.453s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>480,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>421,400</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fairpoint Communications, Inc. bank term loan FRN Ser. B,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 5/8s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>543,116</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>537,413</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Hawaiian Telcom Communications, Inc. bank term loan FRN</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. C, 4.95s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>179,709</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>135,680</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Intelsat Corp. bank term loan FRN Ser. B2, 5.611s, 2011</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>267,473</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>244,069</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Intelsat Corp. bank term loan FRN Ser. B2-A, 5.611s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>267,554</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>244,143</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Intelsat Corp. bank term loan FRN Ser. B2-C, 5.611s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>267,473</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>244,069</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Intelsat, Ltd. bank term loan FRN Ser. B, 5.611s, 2013 (Bermuda)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>592,500</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>551,618</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Level 3 Communications, Inc. bank term loan FRN 6.202s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>210,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>179,550</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>MetroPCS Wireless, Inc. bank term loan FRN 6.097s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>456,875</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>417,914</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>PAETEC Holding Corp. bank term loan FRN Ser. B1, 5.204s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>279,294</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>259,045</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Time Warner Telecom, Inc. bank term loan FRN Ser. B,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.13s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>319,190</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>297,006</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>West Corp. bank term loan FRN 5.55s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>210,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>181,300</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,841,617</FONT> </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>48</FONT></P>
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     <TD noWrap align=left><FONT face=sans-serif size=1>SENIOR LOANS (9.3%)* (c) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
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     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT> </TD>
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     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Consumer Cyclicals (2.0%)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Adesa, Inc. bank term loan FRN 4.95s, 2013</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>346,878</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>307,854</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Allison Transmission bank term loan FRN Ser. B, 5.746s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>449,400</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>393,385</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Aramark Corp. bank term loan FRN 4.83s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,544</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11,670</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Aramark Corp. bank term loan FRN Ser. B, 4.696s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>197,456</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>183,689</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CCM Merger, Inc. bank term loan FRN Ser. B, 4.778s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>109,165</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>96,611</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Cenveo, Inc. bank term loan FRN Ser. C, 4.349s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>239,603</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>213,247</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Cenveo, Inc. bank term loan FRN Ser. DD, 4.349s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,984</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,106</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Claire&#146;s Stores, Inc. bank term loan FRN 6.472s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>372,050</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>283,585</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Cooper-Standard Automotive, Inc. bank term loan FRN Ser. B,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5 1/4s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>222,886</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>200,598</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Cooper-Standard Automotive, Inc. bank term loan FRN Ser. C,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5 1/4s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>556,997</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>501,297</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dana Corp. bank term loan FRN 6.779s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>493,763</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>453,438</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dex Media West, LLC bank term loan FRN Ser. B1, 4.561s, 2010</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>370,642</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>355,817</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GateHouse Media, Inc. bank term loan FRN Ser. B, 5 1/4s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>220,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>147,400</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GateHouse Media, Inc. bank term loan FRN Ser. B, 5.09s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>513,424</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>349,128</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GateHouse Media, Inc. bank term loan FRN Ser. DD,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.341s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>191,576</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>130,272</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Golden Nugget, Inc. bank term loan FRN Ser. B, 4.608s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>101,818</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>87,055</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Golden Nugget, Inc. bank term loan FRN Ser. DD,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>1 3/4s, 2014 (U)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>58,182</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>49,745</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Goodman Global Holdings bank term loan FRN Ser. B,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 1/2s, 2011</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>403,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>391,918</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Goodyear Tire &amp; Rubber Co. (The) bank term loan FRN</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.43s, 2010</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,760,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,584,000</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Harrah&#146;s Operating Co. , Inc. bank term loan FRN Ser. B2,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7.703s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>210,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>192,188</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Isle of Capri Casinos, Inc. bank term loan FRN 4.446s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>208,230</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>174,914</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Isle of Capri Casinos, Inc. bank term loan FRN Ser. A,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.446s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>62,784</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>52,738</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Isle of Capri Casinos, Inc. bank term loan FRN Ser. B,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.446s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>83,292</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>69,965</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Landsource Communities/NWHL Investment bank term loan</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRN 7s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>293,072</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>213,454</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lear Corp bank term loan FRN 5.274s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>723,446</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>657,431</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Michaels Stores, Inc. bank term loan FRN Ser. B, 5.345s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>327,513</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>273,596</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>National Bedding Co. bank term loan FRN 4.741s, 2011</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>91,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>74,165</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Neiman Marcus Group, Inc. bank term loan FRN Ser. B,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.758s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>464,285</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>428,660</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Nortek Holdings, Inc. bank term loan FRN Ser. B, 5.35s, 2011</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>130,662</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>112,151</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Reader&#146;s Digest Association, Inc. (The) bank term loan FRN</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. B, 5.075s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>420,750</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>344,594</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Realogy Corp. bank term loan FRN 5.32s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>214,227</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>173,032</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Realogy Corp. bank term loan FRN Ser. B, 7.505s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>793,699</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>641,077</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Standard-Pacific Corp. bank term loan FRN Ser. B,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.815s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>90,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>72,900</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Tribune Co. bank term loan FRN Ser. B, 5.542s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>952,800</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>632,592</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>TRW Automotive, Inc. bank term loan FRN Ser. B, 4.656s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>184,075</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>173,184</FONT> </TD></TR></TABLE><BR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>SENIOR LOANS (9.3%)* (c) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
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     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT> </TD>
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     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Consumer Cyclicals </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>United Components, Inc. bank term loan FRN Ser. D,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>5.142s, 2012</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>388,444</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>352,513</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Visant Holding Corp. bank term loan FRN Ser. C, 6.718s, 2010</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>363,793</FONT> </TD>
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     <TD noWrap align=right><FONT face=sans-serif size=1>344,997</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Yankee Candle Co., Inc. bank term loan FRN 4.611s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>124,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>106,702</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
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     <TD noWrap align=left>&nbsp; </TD>
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     <TD noWrap align=right><FONT face=sans-serif size=1>10,838,668</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Consumer Staples (2.7%)</FONT> </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Affinion Group, Inc. bank term loan FRN Ser. B, 5.552s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>902,719</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>830,501</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Cablevision Systems Corp. bank term loan FRN 4 3/4s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,287,466</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,201,552</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Cebridge Connections, Inc. bank term loan FRN Ser. B,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.508s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>694,750</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>584,893</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Charter Communications Operating, LLC bank term loan</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRN 8 1/2s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>230,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>223,675</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Charter Communications, Inc. bank term loan FRN 5.26s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,201,340</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,857,838</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Charter Communications, Inc. bank term loan FRN 5.171s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>200,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>151,667</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Cinemark USA, Inc. bank term loan FRN 4.772s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>516,463</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>466,754</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Citadel Communications bank term loan FRN Ser. B,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.455s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>425,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>347,703</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dean Foods Co. bank term loan FRN Ser. B, 4.45s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>742,500</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>688,978</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Gray Television, Inc. bank term loan FRN Ser. B, 6.21s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>199,500</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>166,084</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Idearc, Inc. bank term loan FRN Ser. B, 4.7s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,420,274</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,134,089</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Insight Midwest, LP bank term loan FRN Ser. B, 6.48s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>130,326</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>118,503</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Jarden Corp. bank term loan FRN Ser. B1, 4.446s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>272,187</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>251,660</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Jarden Corp. bank term loan FRN Ser. B2, 4.446s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>123,728</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>114,397</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mediacom Communications Corp. bank term loan FRN Ser. C,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.671s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>820,548</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>708,065</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mediacom Communications Corp. bank term loan FRN Ser. D2,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.566s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>118,500</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>101,698</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>MGM Studios, Inc. bank term loan FRN Ser. B, 5.946s, 2011</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>882,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>694,575</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Paxson Communications Corp. bank term loan FRN Ser. B,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7.627s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>350,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>281,750</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Pinnacle Foods Holding Corp. bank term loan FRN Ser. B,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7.406s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>507,222</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>439,001</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>R. H. Donnelley, Inc. bank term loan FRN 4.415s, 2011</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>558,555</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>518,549</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>R. H. Donnelley, Inc. bank term loan FRN Ser. D1, 4.308s, 2011</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>311,768</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>288,386</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Rental Service Corp. bank term loan FRN 8.15s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>445,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>370,463</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Six Flags Theme Parks bank term loan FRN 4.99s, 2015</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>647,745</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>526,473</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Spanish Broadcasting Systems, Inc. bank term loan</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRN 4.45s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>438,722</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>355,365</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Spectrum Brands, Inc. bank term loan FRN 2.969s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>17,143</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>15,877</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Spectrum Brands, Inc. bank term loan FRN Ser. B1, 7.815s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>547,293</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>485,722</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Universal City Development Partners bank term loan FRN Ser. B,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.238s, 2011</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>969,872</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>911,679</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Univision Communications, Inc. bank term loan FRN Ser. B,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.479s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>202,953</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>159,457</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Univision Communications, Inc. bank term loan FRN Ser. DD,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7.61s, 2014 (U)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,047</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,537</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>VNU Group BV bank term loan FRN Ser. B, 5.346s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>(Netherlands)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>209,668</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>188,776</FONT> </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>50</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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     <TD noWrap align=left><FONT face=sans-serif size=1>SENIOR LOANS (9.3%)* (c) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Consumer Staples </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Warner Music Group bank term loan FRN Ser. B, 5.084s, 2011</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>151,664</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>136,213</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Young Broadcasting, Inc. bank term loan FRN Ser. B,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.686s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>263,865</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>232,201</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,558,081</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Energy (0.4%)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CR Gas Storage bank term loan FRN 4.589s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>50,465</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>47,226</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CR Gas Storage bank term loan FRN 4.55s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>42,842</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>40,093</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CR Gas Storage bank term loan FRN Ser. B, 4.534s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>311,440</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>291,456</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CR Gas Storage bank term loan FRN Ser. DD, 4.6s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>34,184</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>31,991</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Enterprise GP Holdings, LP bank term loan FRN 6.182s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>220,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>216,425</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>EPCO Holding, Inc. bank term loan FRN Ser. A, 4.329s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>220,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>212,850</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Hercules Offshore, Inc. bank term loan FRN Ser. B, 4.45s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>64,675</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>61,280</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>MEG Energy Corp. bank term loan FRN 4.7s, 2013 (Canada)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>98,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>88,592</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>MEG Energy Corp. bank term loan FRN Ser. DD, 4.7s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>(Canada) (U)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>99,957</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>89,628</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Petroleum Geo-Services ASA bank term loan FRN 4.45s,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>2015 (Norway)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>143,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>133,824</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Targa Resources, Inc. bank term loan FRN 6.828s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>274,237</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>258,194</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Targa Resources, Inc. bank term loan FRN 2.571s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>153,871</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>144,870</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Western Refining, Inc. bank term loan FRN Ser. B, 4.994s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>623,376</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>536,883</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,153,312</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Financial (0.1%)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Hub International, Ltd. bank term loan FRN Ser. B, 7.33s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>142,259</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>122,343</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Hub International, Ltd. bank term loan FRN Ser. DD,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7.337s, 2014 (U)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>31,939</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>27,467</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Nuveen Investments, Inc. bank term loan FRN Ser. B, 5.68s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>360,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>323,213</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>473,023</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Health Care (0.7%)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Carestream Health, Inc. bank term loan FRN 4.992s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,937</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,671</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Community Health Systems, Inc. bank term loan FRN Ser. B,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.335s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>585,226</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>538,295</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Community Health Systems, Inc. bank term loan FRN Ser. DD,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>0.5s, 2014 (U)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>30,270</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>27,842</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Davita, Inc. bank term loan FRN Ser. B, 4.282s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>300,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>281,012</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Health Management Associates, Inc. bank term loan FRN</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.446s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,369,862</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,182,362</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Healthsouth Corp. bank term loan FRN Ser. B, 5.499s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>384,098</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>353,850</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IASIS Healthcare, LLC/ IASIS Capital Corp. bank term loan FRN</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. DD, 4.978s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>121,885</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>109,900</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IASIS Healthcare, LLC/IASIS Capital Corp. bank term loan FRN</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.494s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>351,893</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>279,755</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IASIS Healthcare, LLC/IASIS Capital Corp. bank term loan FRN</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7.62s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>32,503</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>29,307</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IASIS Healthcare, LLC/IASIS Capital Corp. bank term loan FRN</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. B, 5.244s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>353,150</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>318,424</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>LifePoint, Inc. bank term loan FRN Ser. B, 4.71s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>232,437</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>213,925</FONT> </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>51</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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     <TD width="12%"></TD>
     <TD align=right width="5%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>SENIOR LOANS (9.3%)* (c) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Health Care </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mylan, Inc. bank term loan FRN Ser. B, 6.078s, 2014</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>144,637</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>139,191</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sun Healthcare Group, Inc. bank term loan FRN 4.73s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>35,012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>31,511</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sun Healthcare Group, Inc. bank term loan FRN Ser. B,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.539s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>108,913</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>98,022</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sun Healthcare Group, Inc. bank term loan FRN Ser. DD,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.677s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>22,070</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,863</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,628,930</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Technology (0.6%)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Activant Solutions Holdings, Inc. bank term loan FRN Ser. B,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.704s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>180,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>153,675</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Affiliated Computer Services, Inc. bank term loan FRN Ser. B2,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.819s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>49,125</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>46,684</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Aspect Software, Inc. bank term loan FRN 5 5/8s, 2011</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,203</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>13,066</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Compucom Systems, Inc. bank term loan FRN 6.21s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>203,975</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>178,478</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>First Data Corp. bank term loan FRN Ser. B1, 5.355s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>392,551</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>352,915</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>First Data Corp. bank term loan FRN Ser. B3, 5.355s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>184,075</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>165,322</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Flextronics International, Ltd. bank term loan FRN Ser. B, 7.455s,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>2014 (Singapore)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>174,347</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>159,673</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Flextronics International, Ltd. bank term loan FRN Ser. B, 7.394s,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>2014 (Singapore)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>608,160</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>556,973</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freescale Semiconductor, Inc. bank term loan FRN Ser. B,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.861s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>138,649</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>116,497</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JDA Software Group, Inc. bank term loan FRN Ser. B, 6.931s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>28,446</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>26,740</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sabre Holdings Corp. bank term loan FRN 5.244s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>291,542</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>238,846</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>SunGard Data Systems, Inc. bank term loan FRN 5.162s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>804,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>744,613</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Travelport bank term loan FRN 5.196s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>132,442</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>115,178</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Travelport bank term loan FRN Ser. B, 4.954s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>115,464</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100,412</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,969,072</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Transportation (0.2%)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Delta Airlines, Inc. bank term loan FRN 6.832s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>47,250</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>38,131</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Navistar Financial Corp. bank term loan FRN 5.957s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>218,667</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>192,153</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Navistar International Corp. bank term loan FRN6.501s, 2012</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>601,333</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>528,422</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>UAL Corp. bank term loan FRN Ser. B, 4.688s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>569,778</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>441,985</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,200,691</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Utilities &amp; Power (0.6%)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dynegy Holdings, Inc. bank term loan FRN 4.204s, 2013</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>765,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>702,844</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Energy Future Holdings Corp. bank term loan FRN Ser. B2,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.579s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>693,788</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>631,426</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Energy Future Holdings Corp. bank term loan FRN Ser. B3,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.583s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>643,388</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>583,874</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>NRG Energy, Inc. bank term loan FRN 7.84s, 2014 (U)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>180,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>167,250</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>NRG Energy, Inc. bank term loan FRN 6.58s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>287,427</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>268,345</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>NRG Energy, Inc. bank term loan FRN 6.58s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>597,702</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>558,021</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Reliant Energy, Inc. bank term loan FRN 2.589s, 2014</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>450,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>406,125</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,317,885</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total senior loans (cost $55,611,818)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>50,213,736</FONT> </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=-->
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<TR>
     <TD width="41%"></TD>
     <TD width="12%"></TD>
     <TD align=right width="5%"></TD>
     <TD width="12%"></TD>
     <TD align=right width="5%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>PURCHASED OPTIONS OUTSTANDING (2.3%)*</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=6></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Expiration date/</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Contract</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>strike price</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=6>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lehman Brothers Special Financing, Inc. for</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>the right to receive a fixed rate of 5.37%</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>versus the three month USD-LIBOR-BBA</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>maturing November 12, 2019.</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Nov-09/5.37</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,927,000</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,550,500</FONT> </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPMorgan Chase Bank, N.A. for the</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>right to receive a fixed rate of 5.355%</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>versus the three month USD-LIBOR-BBA</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>maturing on November 12, 2019.</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Nov-09/5.355</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,927,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,535,169</FONT> </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Goldman Sachs International for the</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>right to receive a fixed rate of 5.355%</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>versus the three month USD-LIBOR-BBA</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>maturing November 12, 2019.</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Nov-09/5.355</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,927,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,535,169</FONT> </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Goldman Sachs International for the</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>right to pay a fixed rate of 5.355%</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>versus the three month USD-LIBOR-BBA</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>maturing on November 12, 2019.</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Nov-09/5.355</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,927,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>435,132</FONT> </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lehman Brothers Special Financing, Inc. for</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>the right to pay a fixed rate of 5.37% versus</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>the three month USD-LIBOR-BBA</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>maturing November 12, 2019.</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Nov-09/5.37</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,927,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>428,507</FONT> </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Citibank for the right to pay a fixed rate</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>of 4.16% versus the six-month</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR-EURIBOR-Telerate maturing on</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>March 26, 2014.</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mar-12/4.16</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,140,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>89,440</FONT> </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Citibank, N.A. London for the right</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>to receive a fixed rate of 4.0625% versus</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>the six month EUR-EURIBOR-Telerate</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>maturing March 25, 2011.</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mar-09/4.063</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,790,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>83,096</FONT> </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Citibank, N.A. London for the right</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>to receive a fixed rate of 4.16% versus</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>the six month EUR-EURIBOR-Telerate</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>maturing March 26, 2014.</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mar-12/4.16</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,140,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>68,122</FONT> </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Citibank for the right to pay a fixed rate</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>of 4.0625% versus the six-month</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR-EURIBOR-Telerate maturing</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>on March 25, 2011.</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mar-09/4.063</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,790,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>66,726</FONT> </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=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="42%"></TD>
     <TD width="12%"></TD>
     <TD align=right width="5%"></TD>
     <TD width="12%"></TD>
     <TD align=right width="5%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>PURCHASED OPTIONS OUTSTANDING (2.3%)* </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=6></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Expiration date/</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Contract</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>strike price</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=6>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPMorgan Chase Bank, N.A. for the right</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>to pay a fixed rate of 5.355% versus the</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>three month USD-LIBOR-BBA maturing</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>November 12, 2019.</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Nov-09/5.355</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,927,000</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>435,132</FONT> </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Goldman Sachs International for the</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>right to receive a fixed rate of 5.1975%</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>versus the three month USD-LIBOR-BBA</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>maturing on May 14, 2018.</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>May-08/5.198</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>25,047,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,268,006</FONT> </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPMorgan Chase Bank, N.A. for the right</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>to receive a fixed rate of 5.03% versus the</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>three month USD-LIBOR-BBA maturing</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>on February 16, 2020.</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Feb-10/5.03</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>32,120,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,012,639</FONT> </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPMorgan Chase Bank, N.A. for the right</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>to pay a fixed rate of 5.03% versus the three</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>month USD-LIBOR-BBA maturing on</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>February 16, 2020.</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Feb-10/5.03</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>32,120,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,161,138</FONT> </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Goldman Sachs International for the</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>right to receive a fixed rate of 5.16%</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>versus the three month USD-LIBOR-BBA</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>maturing April 28, 2018.</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Apr-08/5.16</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,524,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>399,153</FONT> </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPMorgan Chase Bank, N.A. for the right</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>to receive a fixed rate of 4.41% versus the</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>three month USD-LIBOR-BBA maturing</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>on August 5, 2018.</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Aug-08/4.41</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,061,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>305,915</FONT> </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPMorgan Chase Bank, N.A. for the right</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>to pay a fixed rate of 4.41% versus the three</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>month USD-LIBOR-BBA maturing on</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>August 5, 2018.</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Aug-08/4.41</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,061,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>150,821</FONT> </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Goldman Sachs International for the right</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>to pay a fixed rate of 5.1975% versus the</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>three month USD-LIBOR-BBA maturing on</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>May 14, 2018.</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>May-08/5.198</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>25,047,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,768</FONT> </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Goldman Sachs International for the right</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>to pay a fixed rate of 5.16% versus the three</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>month USD-LIBOR-BBA maturing</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>April 28, 2018.</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Apr-08/5.16</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,524,000</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>317</FONT> </TD></TR>
<TR>
     <TD colSpan=6>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=6>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Total purchased options outstanding (cost $8,968,160)</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,534,750</FONT> </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>54</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<TR>
     <TD width="35%"></TD>
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     <TD width="5%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>COMMON STOCKS (&#151;%)*</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Shares</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD noWrap align=left colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>AboveNet, Inc. &#134;</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>240</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>17,040</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bohai Bay Litigation, LLC (Units) (F)</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>991</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,017</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mediq, Inc. &#134; (F)</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,400</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,465</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>VFB LLC (acquired 10/27/00, cost $594,553) (F) &#135; &#134;</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>948,004</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,610</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>XCL Warranty Escrow (F)</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>991</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>70,698</FONT> </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total common stocks (cost $688,065)</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>122,830</FONT> </TD></TR>
<TR>
     <TD colSpan=7></TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>CONVERTIBLE PREFERRED STOCKS (&#151;%)* (cost $112,017)</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Shares</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD noWrap align=left colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Emmis Communications Corp. Ser. A, $3.125 cum. cv. pfd.</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,441</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>62,246</FONT> </TD></TR>
<TR>
     <TD colSpan=7></TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>WARRANTS (&#151;%)* &#134;</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Expiration date </FONT></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;<FONT face=Arial size=1>Strike price </FONT></TD>
     <TD noWrap align=right>&nbsp;<FONT face=Arial size=1>Warrants</FONT> </TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD noWrap align=left colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>AboveNet, Inc.</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9/08/10</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>24.00</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>118</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&nbsp;$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,900</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>AboveNet, Inc.</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9/08/08</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>20.00</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>101</FONT></TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,555</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dayton Superior Corp. 144A (F)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6/15/09</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.01</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,020</FONT> </TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,820</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>New ASAT Finance, Ltd. (Cayman Islands) (F)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2/01/11</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.01</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,380</FONT> </TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Smurfit Kappa Group PLC 144A (Ireland)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10/01/13</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR </FONT></TD>
     <TD noWrap align=right><FONT face=Arial size=1>.001</FONT></TD>
     <TD noWrap align=right>&nbsp; <FONT face=Arial size=1>508</FONT></TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>31,586</FONT> </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total warrants (cost $38,587)</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>46,872</FONT> </TD></TR>
<TR>
     <TD colSpan=7></TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>SHORT-TERM INVESTMENTS (6.5%)*</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right colSpan=3><FONT face=sans-serif size=1>Principal amount/shares</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD noWrap align=left colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Short-term investments held as collateral for loaned</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>securities with yields ranging from 1.50% to 3.25% and due</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>dates ranging from April 1, 2008 to May 9, 2008 (d)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>2,908,046</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,904,300</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>U. S. Treasury Bills for an effective yield of 1.43%, maturity</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>date September 18, 2008 #</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>811,000</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>805,491</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>U. S. Treasury Bills for an effective yield of 1.17%, maturity</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>date September 18, 2008 #</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>127,000</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>126,249</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>U. S. Treasury Bills for an effective yield of 1.33%, maturity</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>date September 18, 2008 #</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>1,140,000</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,132,503</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>U. S. Treasury Bills for an effective yield of 1.38%, maturity</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>date September 18, 2008 #</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>500,000</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>496,646</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>U. S. Treasury Bills for an effective yield of 1.50%, maturity</FONT> </TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>date September 18, 2008 #</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>4,110,000</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,079,740</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Egypt Treasury Bill for an effective yield of 7.25%, maturity</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>date June 3, 2008</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>EGP</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=Arial size=1>16,125,000</FONT></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,929,216</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Putnam Prime Money Market Fund (e)</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>22,561,483</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>22,561,483</FONT> </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Total short-term investments (cost $35,035,628)</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>35,035,628</FONT> </TD></TR>
<TR>
     <TD colSpan=7></TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>TOTAL INVESTMENTS</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total investments (cost $856,878,697)</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>879,326,546</FONT> </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>55</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<A name="page_57"></A>
<P align=left><I><FONT face=sans-serif size=1>Key to holding&#146;s currency abbreviations</FONT></I></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="79%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>ARS</FONT></I> </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Argentine Peso</FONT></I> </TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>BRL</FONT></I> </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Brazilian Real</FONT></I> </TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>CAD</FONT></I> </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Canadian Dollar</FONT></I> </TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>EGP</FONT></I> </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Egyptian Pound</FONT></I> </TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>EUR</FONT></I> </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Euro</FONT></I> </TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>GBP</FONT></I> </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>British Pound</FONT></I> </TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>IDR</FONT></I> </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Indonesian Rupiah</FONT></I> </TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>INR</FONT></I> </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Indian Rupee</FONT></I> </TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>JPY</FONT></I> </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Japanese Yen</FONT></I> </TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>MXN</FONT></I> </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Mexican Peso</FONT></I> </TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>SEK</FONT></I> </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Swedish Krona</FONT></I> </TD>
     <TD noWrap align=left></TD></TR></TABLE><BR>
<P align=left><I><FONT face=sans-serif size=1>* Percentages indicated are based on net assets of $538,407,049. </FONT></I></P>
<P align=left><I><FONT face=sans-serif size=1>&#134; Non-income-producing security.</FONT></I></P>
<P align=left><I><FONT face=sans-serif size=1><I><FONT face=sans-serif size=1>&#134;<I><FONT face=sans-serif size=1>&#134; </FONT></I></FONT></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.</FONT></I></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, 2008 was $19,610 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># A portion of this security was pledged and segregated with the custodian to cover margin requirements for futures contracts at March 31, 2008.</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 rates shown for senior loans are the current interest rates at March 31, 2008. 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>(d) See Note 1 to the financial statements.</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. </FONT></I></P>
<P align=left><I><FONT face=sans-serif size=1>(F) 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>(S) Securities on loan, in part or in entirety, at March 31, 2008.</FONT></I></P>
<P align=left><I><FONT face=sans-serif size=1>(U) These securities, in part or in entirety, represents unfunded loan commitments (Note 7).</FONT></I></P>
<P align=left><I><FONT face=sans-serif size=1>At March 31, 2008, liquid assets totaling $270,507,683 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.</FONT></I></P>
<P align=left><I><FONT face=sans-serif size=1>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, 2008.</FONT></I></P>
<P align=left><I><FONT face=sans-serif size=1>The dates shown on debt obligations are the original maturity dates.</FONT></I></P>
<P align=left><I><FONT face=sans-serif size=1>Inverse Floating Rate Bonds (IFB) are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The interest rates shown are the current interest rates at March 31, 2008.</FONT></I></P>
<P align=left><FONT face=sans-serif size=2>56</FONT></P>
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<A name="page_58"></A>
<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, 2008 (as a percentage of Portfolio Value):</FONT></I></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="25%"></TD>
     <TD width="55%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>United States</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=1>82.9%</FONT></I> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=center></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Japan</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=1>4.9</FONT></I> </TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>United Kingdom</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=1>1.9</FONT></I> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Ireland</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=1>1.8</FONT></I> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Canada</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=1>1.1</FONT></I> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>France</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=1>1.0</FONT></I> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Argentina</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=1>0.9</FONT></I> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Luxembourg</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=1>0.8</FONT></I> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Sweden</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=1>0.7</FONT></I> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Colombia</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=1>0.5</FONT></I> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Venezuela</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=1>0.5</FONT></I> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Other</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=1>3.0</FONT></I> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD>&nbsp; </TD>
     <TD>
<HR noShade SIZE=1>
</TD>
     <TD></TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Total</FONT></I> </TD>
     <TD noWrap align=center><I><FONT face=sans-serif size=1>100.0%</FONT></I> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=center></TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="33%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD>
     <TD width="12%"></TD>
     <TD width="6%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=6><FONT face=sans-serif size=1>FORWARD CURRENCY CONTRACTS TO BUY at 3/31/08 (aggregate face value $82,810,963) (Unaudited)</FONT> </TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Aggregate</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Delivery</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>face value</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT> </TD></TR>
<TR>
     <TD colSpan=6>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Australian Dollar</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$18,315,221</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$17,880,613</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/16/08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 434,608</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>British Pound</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,502,511</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,532,306</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/18/08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(29,795)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Canadian Dollar</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,609,523</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,721,056</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/16/08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(111,533)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Danish Krone</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,480,150</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,429,562</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/18/08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>50,588</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Euro</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,743,872</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,738,463</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/18/08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,409</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Indian Rupee</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,798,375</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,830,025</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/21/08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(31,650)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Japanese Yen</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,053,494</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,860,624</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/21/08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>192,870</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Malaysian Ringgit</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,931,129</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,914,817</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/21/08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>16,312</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mexican Peso</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>619,564</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>600,045</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/16/08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,519</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Norwegian Krone</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>24,471,761</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>24,069,700</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/18/08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>402,061</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Polish Zloty</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,822,579</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,643,345</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/18/08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>179,234</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Swiss Franc</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,658,209</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,590,407</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/18/08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>67,802</FONT> </TD></TR>
<TR>
     <TD colSpan=6>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,195,425</FONT> </TD></TR>
<TR>
     <TD>&nbsp; </TD>
     <TD colSpan=4></TD>
     <TD>&nbsp; </TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="33%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD>
     <TD width="12%"></TD>
     <TD width="6%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=6><FONT face=sans-serif size=1>FORWARD CURRENCY CONTRACTS TO SELL at 3/31/08 (aggregate face value $112,880,556) (Unaudited)</FONT> </TD></TR>
<TR>
     <TD colSpan=6></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Aggregate</FONT> </TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Delivery</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>face value</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT> </TD></TR>
<TR>
     <TD colSpan=6>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Australian Dollar</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 613,899</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 622,055</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/16/08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$<FONT size=3> </FONT>8,156</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>British Pound</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,632,761</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,649,245</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/18/08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>16,484</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Canadian Dollar</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11,352,664</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11,625,403</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/16/08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>272,739</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Euro</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>47,088,976</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>45,611,745</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/18/08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,477,231)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Hungarian Forint</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,355,932</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,257,927</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/18/08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(98,005)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Japanese Yen</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>24,168,261</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>22,759,632</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/21/08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,408,629)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>South African Rand</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,540,936</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,950,071</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/16/08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>409,135</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Swedish Krona</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>21,319,511</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>20,667,032</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/18/08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(652,479)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Swiss Franc</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,876,960</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,737,446</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/18/08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(139,514)</FONT> </TD></TR>
<TR>
     <TD colSpan=6>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$(3,069,344)</FONT> </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=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="37%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD>
     <TD width="12%"></TD>
     <TD width="6%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=1>FUTURES CONTRACTS OUTSTANDING at 3/31/08 (Unaudited)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=6></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Number of</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Expiration</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>contracts</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT> </TD></TR>
<TR>
     <TD colSpan=6>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Australian Government Treasury Bond</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>10 yr (Short)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>53</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 34,107,406</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Jun-08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ (60,113)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Canadian Government Bond 10 yr (Long)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,165,062</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Jun-08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>37,511</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Euro-Bobl 5 yr (Short)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>41</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,142,594</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Jun-08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(3,887)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Euro-Bund 10 yr (Long)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>68</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,446,695</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Jun-08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(233,374)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Euro-Dollar 90 day (Long)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>810</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>197,285,625</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sep-09</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,425,509</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Euro-Dollar 90 day (Short)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1223</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>298,809,475</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Jun-08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(7,518,139)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Euro-Dollar 90 day (Short)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>810</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>198,257,625</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sep-08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(5,176,828)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Euro-Euribor Interest Rate 90 day (Long)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>308</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>116,903,587</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dec-09</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(353,995)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Euro-Euribor Interest Rate 90 day (Long)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>555</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>210,785,576</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sep-09</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(569,503)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Euro-Euribor Interest Rate 90 day (Short)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>515</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>195,095,999</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dec-08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>648,933</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Euro-Euribor Interest Rate 90 day (Short)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>447</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>131,653,365</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sep-08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>182,989</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Euro-Schatz 2 yr (Long)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>58</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,565,928</FONT> </TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Jun-08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(62,510)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Japanese Government Bond 10 yr (Long)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>49</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>69,048,135</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Jun-08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>751,584</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sterling Interest Rate 90 day (Long)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,127,041</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dec-09</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,925)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sterling Interest Rate 90 day (Long)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>147</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>34,781,738</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sep-09</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>76,716</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sterling Interest Rate 90 day (Long)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>147</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>34,563,145</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sep-08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(59,051)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sterling Interest Rate 90 day (Long)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,122,579</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dec-08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,316</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>U.K. Gilt 10 yr (Long)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,765,396</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Jun-08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(3,809)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>U. S. Treasury Bond 20 yr (Long)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1475</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>175,225,391</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Jun-08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,431,337</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>U. S. Treasury Note 2 yr (Short)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4426</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>950,068,563</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Jun-08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(3,871,922)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>U. S. Treasury Note 5 yr (Short)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2206</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>252,001,031</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Jun-08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>465,330</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>U. S. Treasury Note 10 yr (Long)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1186</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>141,078,406</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Jun-08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,376,958</FONT> </TD></TR>
<TR>
     <TD colSpan=6>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$(5,517,873)</FONT> </TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="47%"></TD>
     <TD width="16%"></TD>
     <TD width="15%"></TD>
     <TD width="16%"></TD>
     <TD width="6%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=4><FONT face=sans-serif size=1>WRITTEN OPTIONS OUTSTANDING at 3/31/08 (premiums received $8,792,830) (Unaudited)</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Contract</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Expiration date/</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>strike price</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with Citibank for</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>the obligation to receive a fixed rate of 4.56% versus</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>the six-month EUR-EURIBOR-Telerate maturing</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>on March 24, 2027.</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR 1,290,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mar-17/4.56</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$<FONT size=3> </FONT>107,759</FONT> </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with Citibank for</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>the obligation to receive a fixed rate of 4.40% versus</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>the six-month EUR-EURIBOR-Telerate maturing</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>on March 26, 2022.</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR 1,430,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mar-12/4.40</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>106,500</FONT> </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with Citibank for</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>the obligation to pay a fixed rate of 4.56% versus</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>the six-month EUR-EURIBOR-Telerate maturing</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>on March 24, 2027.</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR 1,290,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mar-17/4.56</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>44,789</FONT> </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with Citibank for</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>the obligation to pay a fixed rate of 4.40% versus</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>the six-month EUR-EURIBOR-Telerate maturing</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>on March 28, 2022.</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR 1,430,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mar-12/4.40</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>43,963</FONT> </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>58</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_60"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="47%"></TD>
     <TD width="16%"></TD>
     <TD width="15%"></TD>
     <TD width="16%"></TD>
     <TD width="6%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=5><FONT face=sans-serif size=1>WRITTEN OPTIONS OUTSTANDING at 3/31/08 (premiums received $8,792,830) (Unaudited) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Contract</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Expiration date/</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>strike price</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with JPMorgan Chase</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bank, N.A. for the obligation to pay a fixed rate of</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.00% versus the three month USD-LIBOR-BBA</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>maturing on December 19, 2018.</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 1,060,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dec-08/5.00</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 75,292</FONT> </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with JPMorgan Chase</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bank, N.A. for the obligation to receive a fixed rate of</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.00% versus the three month USD-LIBOR-BBA</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>maturing on December 19, 2018.</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,060,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dec-08/5.00</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>15,476</FONT> </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with Lehman Brothers</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Special Financing, Inc. for the obligation to pay a fixed</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>rate of 4.405% versus the three month USD-LIBOR-BBA</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>maturing April 16, 2018.</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>58,864,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Apr-08/4.405</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,661,731</FONT> </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with Lehman Brothers</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Special Financing, Inc. for the obligation to receive a</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>fixed rate of 4.0575% versus the three month</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>USD-LIBOR-BBA maturing June 20, 2018.</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>56,254,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Jun-08/4.0575</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,480,605</FONT> </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with Lehman Brothers</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Special Financing, Inc. for the obligation to receive a</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>fixed rate of 4.405% versus the three month</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>USD-LIBOR-BBA maturing April 16, 2018.</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>58,864,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Apr-08/4.405</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>138,919</FONT> </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with JPMorgan Chase</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bank, N.A. for the obligation to pay a fixed rate of</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.51% versus the three month USD-LIBOR-BBA</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>maturing on May 14, 2022.</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>25,011,500</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>May-12/5.51</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,762,560</FONT> </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with Lehman Brothers</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Special Financing, Inc. for the obligation to pay a fixed rate</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>of 4.0575% versus the three month USD-LIBOR-BBA</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>maturing June 20, 2018.</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>56,254,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Jun-08/4.0575</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,114,392</FONT> </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with JPMorgan Chase</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bank, N.A. for the obligation to receive a fixed rate</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>of 5.51% versus the three month USD-LIBOR-BBA</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>maturing on May 14, 2022.</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>25,011,500</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>May-12/5.51</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,108,009</FONT> </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with Lehman Brothers</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Special Financing, Inc. for the obligation to pay a fixed rate</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>of 5.515% versus the three month USD-LIBOR-BBA</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>maturing on May 14, 2022.</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,505,500</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>May-12/5.515</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>885,264</FONT> </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with Lehman Brothers</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Special Financing, Inc. for the obligation to receive a fixed</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>rate of 5.515% versus the three month USD-LIBOR-BBA</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>maturing on May 14, 2022.</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,505,500</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>May-12/5.515</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>551,993</FONT> </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>59</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_61"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="47%"></TD>
     <TD width="16%"></TD>
     <TD width="15%"></TD>
     <TD width="16%"></TD>
     <TD width="6%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=5><FONT face=sans-serif size=1>WRITTEN OPTIONS OUTSTANDING at 3/31/08 (premiums received $8,792,830) (Unaudited) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Contract</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Expiration date/</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>strike price</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with Lehman Brothers</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Special Financing, Inc. for the obligation to pay a fixed</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>rate of 5.52% versus the three month USD-LIBOR-BBA</FONT> </TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>maturing on May 14, 2022.</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 5,002,500</FONT> </TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>May-12/5.52</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 354,477</FONT> </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with Lehman Brothers</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Special Financing, Inc. for the obligation to receive a fixed</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>rate of 5.52% versus the three month USD-LIBOR-BBA</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>maturing on May 14, 2022.</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,002,500</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>May-12/5.52</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>220,111</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$9,671,840</FONT> </TD></TR>
<TR>
     <TD>&nbsp; </TD>
     <TD colSpan=3></TD>
     <TD>&nbsp; </TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="46%"></TD>
     <TD width="16%"></TD>
     <TD width="15%"></TD>
     <TD width="16%"></TD>
     <TD width="6%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=5><FONT face=sans-serif size=1>TBA SALE COMMITMENTS OUTSTANDING at 3/31/08 (proceeds receivable $118,135,039) (Unaudited)</FONT> </TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT> </TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Settlement</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT> </TD></TR>
<TR>
     <TD noWrap align=left colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FNMA, 5 1/2s, April 1, 2038</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 75,000,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/14/08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 75,697,268</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FNMA, 5s, April 1, 2038</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>43,000,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/14/08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>42,548,500</FONT> </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$118,245,768</FONT> </TD></TR>
<TR>
     <TD>&nbsp; </TD>
     <TD colSpan=3></TD>
     <TD>&nbsp; </TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="12%"></TD>
     <TD width="12%"></TD>
     <TD width="5%"></TD>
     <TD width="11%"></TD>
     <TD width="5%"></TD>
     <TD width="14%"></TD>
     <TD width="17%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=8><FONT face=sans-serif size=1>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/08 (Unaudited)</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Upfront</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Swap counterparty/</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>premium</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Termination</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>made by</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received by</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Notional amount</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>received (paid)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT> </TD></TR>
<TR>
     <TD noWrap align=left colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Bank of America, N.A.</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 4,400,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ &#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/27/14</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.35%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ (207,002)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>16,800,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/30/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.075%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(123,292)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>55,642,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/24/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.7375%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,998,817</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,000,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/1/15</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.53%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>504,957</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Citibank, N.A.</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>AUD</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>15,350,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/3/11</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month AUD-BBR-BBSW&nbsp;</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=Arial size=1>7.7%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>174,345</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPY</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,134,000,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/11/16</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1.8675%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month JPY-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(519,573)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 42,130,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/29/13</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.078%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(3,522,328)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>24,650,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/27/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.504%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,101,740)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>54,651,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/26/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.6275%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(4,064,793)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,112,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/9/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.387%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(627,898)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,501,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/9/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.0825%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,444,115)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>37,608,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/23/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.885%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(3,079,959)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>AUD</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,550,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/11/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month AUD-BBR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBSW</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7.04%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(7,992)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>60</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
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<TR>
     <TD width="12%"></TD>
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     <TD width="11%"></TD>
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     <TD width="14%"></TD>
     <TD width="17%"></TD>
     <TD width="12%"></TD>
     <TD align=right width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=8><FONT face=sans-serif size=1>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/08 (Unaudited) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Upfront</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Swap counterparty/</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>premium</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Termination</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>made by</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received by</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Notional amount</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>received (paid)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT> </TD></TR>
<TR>
     <TD noWrap align=left colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Citibank, N. A., London</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>13,050,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ &#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/2/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-EURIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Telerate</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.7476%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 1,071,481</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPY</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,300,000,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2/10/16</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month JPY-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1.755%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>513,299</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPY </FONT></TD>
     <TD noWrap align=right>&nbsp;<FONT face=Arial size=1>13,104,267,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/3/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1.165%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month JPY-LIBOR-</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(29,648)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=4><FONT face=sans-serif size=1>Credit Suisse First Boston International</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 5,699,500</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/9/14</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.945%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(443,929)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Credit Suisse International</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>13,620,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/15/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-EURIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Reuters</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.927%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(95,423)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CHF</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,730,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/13/18</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month CHF-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.3175%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(30,245)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,190,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/13/18</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.317%</FONT> </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>6 month EUR-EURIBOR-</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Reuters</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>32,741</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CHF</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>20,910,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/15/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.59%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month CHF-LIBOR-</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>77,492</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CHF</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>20,910,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/15/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.6625%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month CHF-LIBOR-</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>47,769</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CHF</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,730,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/14/18</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month CHF-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.3%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(37,387)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>13,620,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/15/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-EURIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Reuters</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.0525%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(45,781)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,190,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/14/18</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.345%</FONT> </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>6 month EUR-EURIBOR-</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Reuters</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>21,853</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 563,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/29/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.04556%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(44,411)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,480,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/3/36</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP 3,728,462 at</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month GBP-LIBOR-</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>maturity</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>338,339</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 1,009,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/16/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.297%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>117,838</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,647,900</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/6/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.97021%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(688,189)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,240,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/14/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month GBP-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.9125%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(48,850)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,210,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/14/13</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.8825%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month GBP-LIBOR-</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>122,363</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,420,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/16/18</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month GBP-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.8975%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(32,768)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Deutsche Bank AG</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>ZAR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,120,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/6/11</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month ZAR-JIBAR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>SAFEX</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9.16%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(67,930)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 2,307,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/16/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.297%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>269,428</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,590,000</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/7/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.056%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>154,454</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>61</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=8><FONT face=sans-serif size=1>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/08 (Unaudited) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9></TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Upfront</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Swap counterparty/</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>premium</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Termination</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>made by</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received by</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Notional amount</FONT> </TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=right><FONT face=Arial size=1>received (paid)</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=1>Goldman Sachs International</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$<FONT size=3> </FONT>1,345,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ &#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/15/11</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>678 bp (1 month USD-</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ford Credit Auto</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA)</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Owner Trust Series</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2005-B Class D</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ (88,820)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>SEK</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>88,030,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/2/11</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month SEK-STIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>SIDE</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.2475%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(28,452)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>SEK</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>21,090,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/4/19</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.80%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month SEK-STIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>SIDE</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(17,207)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>AUD</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>15,350,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/4/11</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7.689%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month AUD-BBR-BBSW</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(146,638)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$<FONT size=3> </FONT>24,463,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/11/38</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.029%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,536,267)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>23,940,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/26/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-EURIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Reuters</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.129%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(84,832)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,460,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/26/18</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.33%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-EURIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Reuters</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>62,267</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,950,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/29/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month GBP-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.25%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>109,582</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,830,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/27/18</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.0675%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month GBP-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(73,405)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$<FONT size=3> </FONT>12,358,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/2/18</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.076%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CHF</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,190,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/1/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.9%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month CHF-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(30,026)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,690,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/1/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-EURIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Reuters</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.255%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>422</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,570,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/2/18</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.45%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-EURIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Reuters</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(8,053)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CHF</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,310,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/2/18</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month CHF-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.44%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>535</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPY</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>743,800,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/10/16</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1.953%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month JPY-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(409,712)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 73,300,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/10/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.779%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(3,294,829)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>80,600,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/8/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.99%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,941,654</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPY</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,433,720,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/1/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month JPY-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>0.91%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>23,431</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPY</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,194,390,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/1/13</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1.10%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month JPY-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(27,727)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 2,068,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/14/14</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.906%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(156,944)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,009,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/14/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.0625%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(84,419)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>48,973,100</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/19/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.763%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,761,878</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>93,857,600</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/21/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.60%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,114,322</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>26,170,900</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/21/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.149%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,376,729)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,990,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/25/38</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.41%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month GBP-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(21,346)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>62</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
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<TR>
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     <TD width="12%"></TD>
     <TD align=center width="5%"></TD>
     <TD align=right width="11%"></TD>
     <TD width="5%"></TD>
     <TD width="14%"></TD>
     <TD width="17%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=8><FONT face=sans-serif size=1>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/08 (Unaudited) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>Upfront</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Swap counterparty/</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>premium</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Termination</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>made by</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received by</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Notional amount</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>received (paid)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT> </TD></TR>
<TR>
     <TD noWrap align=left colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=1>Goldman Sachs International </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CHF</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,820,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$<FONT size=3> </FONT>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2/4/13</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month CHF-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.8125%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ (171,618)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,200,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2/4/13</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.0525%</FONT> </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>6 month EUR-EURIBOR-</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Reuters</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>83,477</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>13,410,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2/13/13</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.0375%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month GBP-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(60,792)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,670,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2/16/38</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.8175%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month GBP-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(202,697)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>15,080,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2/13/18</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month GBP-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.105%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>354,467</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,990,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/7/38</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.33625%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month GBP-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,156</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=1>JPMorgan Chase Bank, N. A.</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$<FONT size=3> </FONT>112,807,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/27/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.034%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(4,915,903)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,665,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/7/18</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.45%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(148,083)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>17,121,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/12/18</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.4525%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>547,017</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>15,289,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/11/38</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.0025%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(893,564)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>84,261,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/14/18</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.775%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(4,958,748)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>35,403,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/13</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.145%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(232,822)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>69,999,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/26/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.33375%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(121,815)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,000,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/6/16</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.176%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>751,375</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,060,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/10/13</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.054%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,149,621)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>16,780,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/10/13</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.09%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,636,320)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>30,000,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/17/15</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.5505%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,920,577</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,700,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/13/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.2%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>748,461</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,583,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/29/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.2925%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(367,803)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,255,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/29/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.263%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(126,097)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,633,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/11/27</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.27%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,849,890)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>22,964,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/4/16</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.62375%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(3,254,465)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>70,918,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/4/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.37%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,341,144</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPY</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,460,000,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/6/13</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1.83%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month JPY-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(3,104,920)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$<FONT size=3> </FONT>93,857,600</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/21/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.6125%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,156,138</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>63</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_65"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="12%"></TD>
     <TD width="12%"></TD>
     <TD align=center width="5%"></TD>
     <TD width="11%"></TD>
     <TD width="5%"></TD>
     <TD width="14%"></TD>
     <TD width="17%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=8><FONT face=sans-serif size=1>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/08 (Unaudited) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>Upfront</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Swap counterparty/</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>premium</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Termination</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>made by</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received by</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Notional amount</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>received (paid)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT> </TD></TR>
<TR>
     <TD noWrap align=left colSpan=9 rowSpan=2>
<HR noShade SIZE=1>
<BR>
<FONT face=sans-serif size=1>JPMorgan Chase Bank, N. A. </FONT><I><FONT face=sans-serif size=1>continued</FONT></I></TD></TR>
<TR vAlign=bottom></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$<FONT size=3> </FONT>26,170,900</FONT> </TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ &#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/21/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.15%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ (2,378,831)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,540,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/27/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.2335%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(149,261)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>58,733,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/30/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.68375%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(4,516,354)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>890,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/7/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.05771%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>86,586</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,112,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/9/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.3975%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(630,741)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,501,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/9/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.0895%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,452,781)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>84,001,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/30/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.705%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(5,556,818)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>33,996,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/11/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.65%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,075,125</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>31,100,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/4/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.40%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>388,217</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>16,700,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/4/16</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.5195%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,018,563</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>25,100,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/2/15</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.4505%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,135,120</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPY</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>502,020,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2/1/38</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month JPY-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.44%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>214,622</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPY</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,223,590,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/30/18</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1.60%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month JPY-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(200,532)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$<FONT size=3> </FONT>78,868,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/31/18</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.25%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,328,534</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>22,238,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2/5/18</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.28%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>425,042</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=1>Lehman Brothers Special Financing, Inc.</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>36,264,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=Arial size=1>25,106</FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/14/18</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.35%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(821,991)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>65,768,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/19/13</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.0675%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(671,407)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>54,578,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/13</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.215%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(182,560)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>46,110,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/26/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.3525%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(63,523)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>46,110,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/26/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.395%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(25,441)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,595,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/26/38</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.05%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>70,901</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>35,403,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/13</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.07%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(355,773)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,190,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/22/38</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.29%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(36,117)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>95,264,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/13</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.155%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(583,327)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,120,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/22/38</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-EURIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Reuters</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.864%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(44,623)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>64</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="12%"></TD>
     <TD width="12%"></TD>
     <TD align=center width="5%"></TD>
     <TD align=right width="11%"></TD>
     <TD width="5%"></TD>
     <TD width="14%"></TD>
     <TD width="17%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=8><FONT face=sans-serif size=1>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/08 (Unaudited) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>Upfront</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Swap counterparty/</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>premium</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Termination</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>made by</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received by</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Notional amount</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>received (paid)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=6><FONT face=sans-serif size=1>Lehman Brothers Special Financing, Inc. </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1><FONT face=sans-serif size=1>$</FONT> 112,755,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1><FONT face=sans-serif size=1>$</FONT> &#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/25/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.345%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ (168,674)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,400,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/25/13</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.2292%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(59,918)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,600,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/25/38</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.583%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>68,791</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>112,755,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/25/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.268%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(336,999)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>70,019,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/25/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.275%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(199,386)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>15,960,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/22/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month GBP-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.075%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,893</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,500,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/18</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.99%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month GBP-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(14,465)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,040,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E),(F)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/29/38</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-EURIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Reuters</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.9625%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>17,403</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1></FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1><FONT face=sans-serif size=1>$</FONT> 75,656,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/12/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.717%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11,334,631</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>45,378,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/14/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.8725%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,368,905</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,365,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/15/36</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP 3,304,437.5 at</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month GBP-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>maturity</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>381,414</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,800,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/1/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-EURIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Telerate</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.719%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>451,462</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1></FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1><FONT face=sans-serif size=1>$</FONT> 79,881,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/3/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.425%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,006,696</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,091,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/3/11</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.445%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>861,207</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,218,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/3/16</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.5675%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(275,826)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>32,665,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/15/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.9298%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(817,294)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>85,683,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/31/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.89%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,115,815</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,098,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/31/27</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.4925%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,249,581)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,098,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/4/27</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.4475%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,133,167)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>85,683,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/4/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.836%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,050,224</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>92,947,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/11/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.6525%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,091,459</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,582,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/11/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.0525%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(213,900)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>32,648,700</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/19/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.755%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,170,579</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>93,857,600</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/24/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.695%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,259,410</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>26,170,900</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/24/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.285%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,671,959)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>65</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
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<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="12%"></TD>
     <TD width="12%"></TD>
     <TD align=center width="5%"></TD>
     <TD align=right width="11%"></TD>
     <TD width="5%"></TD>
     <TD width="14%"></TD>
     <TD width="17%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=8><FONT face=sans-serif size=1>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/08 (Unaudited) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>Upfront</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Swap counterparty/</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>premium</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Termination</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>made by</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received by</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Notional amount</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>received (paid)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT> </TD></TR>
<TR>
     <TD noWrap align=left colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=6><FONT face=sans-serif size=1>Lehman Brothers Special Financing, Inc. </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1><FONT face=sans-serif size=1>$</FONT> 54,651,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$<FONT size=3> </FONT>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/26/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.61375%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ (4,029,314)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPY</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,347,600,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/10/16</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1.7775%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month JPY-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(550,033)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1></FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1><FONT face=sans-serif size=1>$</FONT> 460,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/7/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.05521%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>44,656</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,112,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/9/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.403%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(632,317)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,501,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/9/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.067%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,425,102)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>55,604,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/11/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.839%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,279,927</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,960,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/27/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.1825%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month GBP-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(34,820)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,330,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/27/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month GBP-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.11%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>62,609</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>830,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/28/37</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.755%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month GBP-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(23,880)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>24,900,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/13/16</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.983%</FONT> </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>6 month EUR-EURIBOR-</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Telerate</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,051,476</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=Arial size=1></FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1><FONT face=sans-serif size=1>$</FONT> 26,924,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/16/18</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.375%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(696,094)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,287,252</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2/8/13</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.441%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(24,166)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>52,310,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2/14/13</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.563%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(675,160)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,060,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/26/38</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-EURIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Reuters</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.74%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(70,314)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=Arial size=1></FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>46,110,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/26/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.325%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(94,758)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>23,940,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/29/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-EURIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Reuters</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.25%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(4,527)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,630,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/28/18</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.42%</FONT> </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>6 month EUR-EURIBOR-</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Reuters</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(7,502)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=Arial size=1></FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1><FONT face=sans-serif size=1>$</FONT> 6,060,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/29/38</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.31%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(33,997)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=1>Merrill Lynch Capital Services, Inc.</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>54,651,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/26/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.6165%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(4,036,519)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPY</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>743,800,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/10/16</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1.99625%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month JPY-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(435,856)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=1>Merrill Lynch Derivative Products AG</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPY</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>371,900,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/11/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.05625%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month JPY-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(229,905)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>66</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<TR>
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     <TD width="11%"></TD>
     <TD width="5%"></TD>
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     <TD width="17%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=8><FONT face=sans-serif size=1>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/08 (Unaudited) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Upfront</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Swap counterparty/</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>premium</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Termination</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>made by</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received by</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Notional amount</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>received (paid)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT> </TD></TR>
<TR>
     <TD noWrap align=left colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=4><FONT face=sans-serif size=1>Morgan Stanley Capital Services, Inc.</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,660,000</FONT> </TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ &#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/28/18</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.065%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month GBP-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ (113,599)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>31,830,000</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/29/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month GBP-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.21%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>110,375</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$<FONT size=3> </FONT>448,000</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/29/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.26021%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBA</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(44,914)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$(17,973,122)</FONT> </TD></TR></TABLE><BR>
<P align=left><I><FONT face=sans-serif size=1>(E) See Note 1 to the financial statements regarding extended effective dates. </FONT></I></P>
<P align=left><I><FONT face=sans-serif size=1>(F) Is valued at fair value following procedures approved by the Trustees.</FONT></I></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="12%"></TD>
     <TD width="12%"></TD>
     <TD align=center width="5%"></TD>
     <TD width="11%"></TD>
     <TD width="5%"></TD>
     <TD width="14%"></TD>
     <TD width="17%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=8><FONT face=sans-serif size=1>TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/08 (Unaudited)</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fixed payments</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total return</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Swap counterparty/</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Termination</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received (paid) by</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received by</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Notional amount</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>or paid by fund</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=1>Bank of America, N. A.</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$22,250,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(1)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/2/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Banc of America</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ (1,856,035)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities CMBS</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Banc</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA 10 yr Index</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of America</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>multiplied by</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities- CMBS</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>the modified</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA 10 year Index</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,000,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(1)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/2/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10 bp plus</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(625,446)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>change in spread</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Banc</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of Banc</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of America</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of America</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities- CMBS</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities AAA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA 10 year Index</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10 yr Index</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>multiplied by</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>the modified</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Citibank, N. A.</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,640,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(1)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/2/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12.5 bp plus</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(560,039)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>change in spread</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Banc</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of Banc</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of America</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of America</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities- CMBS</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities AAA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA 10 year Index</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10 yr Index</FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>multiplied by</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>the modified</FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=1>Credit Suisse International</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,480,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/3/36</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP 2,242,757 at</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP Non-revised</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(407,739)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>maturity</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Retail Price</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>67</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_69"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="12%"></TD>
     <TD width="12%"></TD>
     <TD align=center width="5%"></TD>
     <TD width="11%"></TD>
     <TD width="5%"></TD>
     <TD width="14%"></TD>
     <TD width="17%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=8><FONT face=sans-serif size=1>TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/08 (Unaudited) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fixed payments</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total return</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Swap counterparty/</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Termination</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received (paid) by</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received by</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Notional amount</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>or paid by fund</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=1>Goldman Sachs International</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 2,860,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(1)(F)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/1/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10 bp plus</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 75,141</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>change in spread</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Banc</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of Banc</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of America</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of America</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities- CMBS</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities AAA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA 10 year Index</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=Arial size=1>10 yr Index</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=Arial size=1>multiplied by</FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=Arial size=1>the modified</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,720,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/26/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(2.27%)</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Eurostat</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(8,687)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Eurozone HICP</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>excluding tobacco</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,433,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/7/38</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.485%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP Non-revised</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(129,015)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>UK Retail Price</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index excluding</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>tobacco</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,912,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/7/18</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(3.11%)</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP Non-revised</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>62,486</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>UK Retail Price</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index excluding</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>tobacco</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,912,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/24/18</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(3.26%)</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP Non-revised</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>15,643</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>UK Retail Price</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index excluding</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>tobacco</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,433,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/24/38</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.6665%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP Non-revised</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(14,128)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>UK Retail Price</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index excluding</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>tobacco</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=1>JPMorgan Chase Bank, N. A.</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 8,295,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(1)(E)(F)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/1/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Change in spread</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,079,818)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of Lehman</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Lehman</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers AAA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers AAA</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ Commercial</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ CMBS Index</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mortgage Backed</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>adjusted by</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities Index</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>modified</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>minus 17.5 bp</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>22,500,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(1)(F)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/30/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Change in spread</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,789,627)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of Banc</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Banc</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of America</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of America</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities AAA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities- CMBS</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10 yr Index</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA 10 year Index</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>multiplied by</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>the modified</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>minus 47.5 bp</FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,375,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(1)(F)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/30/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>110 bp plus Banc</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(512,784)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of America</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Banc</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities AAA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of America</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10 yr Index</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities- CMBS</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>multiplied by</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA 10 year Index</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=Arial size=1>the modified</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>68</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
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<TR>
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     <TD width="12%"></TD>
     <TD align=center width="5%"></TD>
     <TD width="11%"></TD>
     <TD width="5%"></TD>
     <TD width="14%"></TD>
     <TD width="17%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=8><FONT face=sans-serif size=1>TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/08 (Unaudited) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fixed payments</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total return</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Swap counterparty/</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Termination</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received (paid) by</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received by</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Notional amount</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>or paid by fund</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=1>Lehman Brothers Special Financing, Inc.</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,365,000</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/15/36</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP 2,065,993 at</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP Non-revised</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ (338,839)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>maturity</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Retail Price</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 3,813,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(1)(F)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/1/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Beginning</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(539,330)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of period nominal</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Lehman</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>spread of Lehman</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers AAA</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers AAA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ CMBS Index</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ Commercial</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>adjusted by</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mortgage Backed</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>modified</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities Index</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>minus 10 bp</FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD align=center colSpan=9>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,683,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(1)(F)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/1/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>50 bp plus</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,276,277)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>beginning</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Lehman</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of period nominal</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers AAA</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>spread of Lehman</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ CMBS Index</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers AAA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>adjusted by</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ Commercial</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>modified</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mortgage Backed</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities Index</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>88,120,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(1)(F)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/1/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>15 bp plus</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(10,847,308)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>beginning</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Lehman</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of period nominal</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers AAA</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>spread of Lehman</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ CMBS Index</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers AAA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>adjusted by</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ Commercial</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>modified</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mortgage Backed</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities Index</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>33,900,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(2)(F)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/1/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(Beginning</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,571,806</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of period nominal</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Lehman</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>spread of Lehman</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers AAA</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers AAA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ CMBS Index</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ Commercial</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>adjusted by</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mortgage Backed</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>modified</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities Index</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>minus 218.75 bp)</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,480,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(2)(F)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/1/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(Beginning</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>772,849</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of period nominal</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Lehman</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>spread of Lehman</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers AAA</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers AAA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ CMBS Index</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ Commercial</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>adjusted by</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mortgage Backed</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>modified</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities Index</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=Arial size=1>minus 175 bp)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD align=center colSpan=9></TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,750,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(2)(F)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/1/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(20 bp plus</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>361,605</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>beginning</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Lehman</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of period nominal</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers AAA</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>spread of Lehman</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ CMBS Index</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers AAA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>adjusted by</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ Commercial</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>modified</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mortgage Backed</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities Index)</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>69</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
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<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
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     <TD align=center width="5%"></TD>
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     <TD width="17%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=8><FONT face=sans-serif size=1>TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/08 (Unaudited) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD></TD>
     <TD colSpan=8></TD></TR>
<TR>
     <TD></TD>
     <TD colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fixed payments</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total return</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Swap counterparty/</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Termination</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received (paid) by</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received by</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Notional amount</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>or paid by fund</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=6><FONT face=sans-serif size=1>Lehman Brothers Special Financing, Inc. </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD></TD>
     <TD colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 9,150,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(1)(F)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/1/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>195 bp plus</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ (959,213)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>beginning</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Lehman</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of period nominal</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers AAA</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>spread of Lehman</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ CMBS Index</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers AAA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>adjusted by</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ Commercial</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>modified</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mortgage Backed</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities Index</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,680,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(2)(F)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/2/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(Beginning</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,799,575</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of period nominal</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Lehman</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>spread of Lehman</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers AAA</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers AAA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ CMBS Index</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ Commercial</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>adjusted by</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mortgage Backed</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>modified</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities Index</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=Arial size=1>minus 300 bp)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD align=center></TD>
     <TD align=center colSpan=8></TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>15,465,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(2)(F)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/1/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(Beginning</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,689,118</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of period nominal</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Lehman</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>spread of Lehman</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers AAA</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers AAA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ CMBS Index</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ Commercial</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>adjusted by</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mortgage Backed</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>modified</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities Index</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=Arial size=1>minus 500 bp)</FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD align=center></TD>
     <TD align=center colSpan=8>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,665,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(2)(F)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/1/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(Beginning</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(323,363)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of period nominal</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Lehman</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>spread of Lehman</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers AAA</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers AAA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ CMBS Index</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ Commercial</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>adjusted by</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mortgage Backed</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>modified</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities Index</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>minus 100 bp)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD align=center></TD>
     <TD align=center colSpan=8></TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,890,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(1)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/1/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lehman Brothers</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(93,162)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>SD CMBS AAA 8.5+</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Lehman</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index multiplied by</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers SD CMBS</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>the modified</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA 8.5+ Index</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>plus 40 bp</FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD align=center></TD>
     <TD align=center colSpan=8>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,890,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(1)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/1/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lehman Brothers</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(91,185)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>SD CMBS AAA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Lehman</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ Index</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers SD CMBS</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>multiplied by</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA 8.5+ Index</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>the modified</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=Arial size=1>plus 50 bp</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD align=center></TD>
     <TD align=center colSpan=8></TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,757,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(1)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/1/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lehman Brothers</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(238,657)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>SD CMBS AAA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Lehman</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ Index</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers SD CMBS</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>multiplied by</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA 8.5+ Index</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=Arial size=1>the modified</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=Arial size=1>minus 25 bp</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=1>Merrill Lynch Capital Services</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>74,457,544</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/14/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(3.40%) 5.50%</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>FNMA 5.5 30 YR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(731,113)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>TBA</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>70</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_72"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="12%"></TD>
     <TD width="12%"></TD>
     <TD align=center width="5%"></TD>
     <TD width="11%"></TD>
     <TD width="5%"></TD>
     <TD width="14%"></TD>
     <TD width="17%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=8><FONT face=sans-serif size=1>TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/08 (Unaudited) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD></TD>
     <TD colSpan=8></TD></TR>
<TR>
     <TD></TD>
     <TD colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fixed payments</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total return</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Swap counterparty/</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Termination</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received (paid) by</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received by</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Notional amount</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>or paid by fund</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT> </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=1>Morgan Stanley Capital Services, Inc.</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>$18,380,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(1)(E)(F)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/30/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Change in spread</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ (1,547,136)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of Banc</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Banc</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of America</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of America</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities AAA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities- CMBS</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10 yr Index</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA 10 year Index</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=Arial size=1>multiplied by</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=Arial size=1>the modified</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=Arial size=1>duration factor</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=Arial size=1>minus 15 bp</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD align=center></TD>
     <TD align=center colSpan=8></TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3,076,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(1)(F)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/2/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10 bp plus Banc</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(249,617)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of America</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Banc</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities AAA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of America</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10 yr Index</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities- CMBS</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>multiplied by</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA 10 year Index</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=Arial size=1>the modified</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5,580,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(1)(F)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/30/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>120 bp plus Banc</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(385,651)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of America</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Banc</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities AAA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of America</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10 yr Index</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities- CMBS</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>multiplied by</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA 10 year Index</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=Arial size=1>the modified</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD align=center></TD>
     <TD align=center colSpan=8></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8,891,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(1)(E)(F)</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/1/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Beginning</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(304,552)</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of period nominal</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Lehman</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>spread of Lehman</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers Aaa</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers AAA</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ CMBS Index</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ Commercial</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>adjusted by</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mortgage Backed</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>modified</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities Index</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD></TD>
     <TD colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Total</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$(16,560,498)</FONT> </TD></TR></TABLE><BR>
<P align=left><I><FONT face=sans-serif size=1>(E) See Note 1 to the financial statements regarding extended effective dates.</FONT></I></P>
<P align=left><I><FONT face=sans-serif size=1>(F) Is valued at fair value following procedures approved by the Trustees.</FONT></I></P>
<P align=left><I><FONT face=sans-serif size=1>(1) Fund receives the net fixed and total return payment if positive and pays the net fixed and total return payment if negative.</FONT></I></P>
<P align=left><I><FONT face=sans-serif size=1>(2) Fund pays the net fixed and total return payment if positive and receives the net fixed and total return payment if negative.</FONT></I></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="12%"></TD>
     <TD width="12%"></TD>
     <TD width="13%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD>
     <TD width="8%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=6><FONT face=sans-serif size=1>CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/08 (Unaudited)</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Upfront</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fixed payments</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Swap counterparty/</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>premium</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Notional</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Termination</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received (paid) by</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Referenced debt*</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>received (paid)**</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT> </TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT> </TD></TR>
<TR>
     <TD noWrap align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bank of America, N. A.</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX NA CMBX BBB Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$<FONT size=3> </FONT>138</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 200,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/12/52</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(134 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 80,133</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX NA HE AAA Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>123,625</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,074,997</FONT> </TD>
     <TD noWrap align=center><FONT face=Arial size=1>(F)</FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/25/45</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>18 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,567</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 9</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,139</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,407,380</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(375 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>586,241</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Idearc, Inc T/L Bank</FONT> </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Loan</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
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     <TD noWrap align=right><FONT face=sans-serif size=1>600,000</FONT> </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(152 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>82,478</FONT> </TD></TR>
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<P align=left><FONT face=sans-serif size=2>71</FONT></P>
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     <TD noWrap align=left colSpan=7><FONT face=sans-serif size=1>CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/08 (Unaudited) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
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     <TD noWrap align=right><FONT face=sans-serif size=1>Upfront</FONT> </TD>
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     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fixed payments</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Swap counterparty/</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>premium</FONT> </TD>
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     <TD noWrap align=right><FONT face=sans-serif size=1>Notional</FONT> </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Termination</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received (paid) by </FONT></TD>
     <TD noWrap align=right>&nbsp;<FONT face=Arial size=1>appreciation/</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Referenced debt*</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>received (paid)**</FONT> </TD>
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     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Bank of America, N. A. </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>L-3 Communications</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Corp. 7 5/8%, 6/15/12</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1><FONT face=sans-serif size=1>$</FONT> &#151;</FONT> </TD>
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     <TD noWrap align=right><FONT face=sans-serif size=1><FONT face=sans-serif size=1>$</FONT> 235,000</FONT> </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/11</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(101 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1><FONT face=sans-serif size=1>$</FONT> 2,640</FONT> </TD></TR>
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</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Nalco, Co.</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>7.75%,11/15/11</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>80,000</FONT> </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>350 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,887)</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Abitibibowater Inc. ,</FONT> </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>6 1/2%, 6/15/13</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>125,000</FONT> </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>550 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(9,867)</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Financial Security</FONT> </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Assurance Inc.</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
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     <TD noWrap align=right><FONT face=sans-serif size=1>555,000</FONT> </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>95 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(33,724)</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Barclays Bank PLC</FONT> </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Peru CD</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
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     <TD noWrap align=right><FONT face=sans-serif size=1>1,462,116</FONT> </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>1/7/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>170 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Peru CD</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,387,940</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/10/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>170 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD></TR>
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<HR noShade SIZE=1>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Bear Stearns Credit Products, Inc.</FONT> </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Claire&#146;s Stores,</FONT> </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9 5/8%, 6/1/15</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>70,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>230 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(13,016)</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Citibank, N. A.</FONT> </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Abitibibowater Inc.,</FONT> </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 1/2%, 6/15/13</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
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     <TD noWrap align=right><FONT face=sans-serif size=1>125,000</FONT> </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>725 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(8,368)</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Abitibibowater Inc.,</FONT> </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 1/2%, 6/15/13</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>125,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>800 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(7,725)</FONT> </TD></TR>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Abitibibowater Inc.,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 1/2%, 6/15/13</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>125,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>825 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(7,510)</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Advanced Micro Devices</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Inc., 7.75%, 11/1/12</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,155,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>575 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(59,959)</FONT> </TD></TR>
<TR>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE A Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,450,210</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,451,000</FONT> </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>1/25/38</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>369 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(471,752)</FONT> </TD></TR>
<TR>
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<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE AAA Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>600,472</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,070,600</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/25/38</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>76 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(399,005)</FONT> </TD></TR>
<TR>
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<HR noShade SIZE=1>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX NA HE AAA Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>211,351</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,004,671</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/25/45</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>18 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD></TR>
<TR>
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<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freescale</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Semiconductor, 8 7/8%,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/15/14</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>220,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>495 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(35,418)</FONT> </TD></TR>
<TR>
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<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Rhodia SA, 7.326%,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/15/13</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>305,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/13</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(240 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>32,804</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Rhodia SA, 7.326%,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/15/13</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>505,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/13</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(245 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>52,731</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sanmina-Sci Corp.,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 1/8%, 3/1/16</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>50,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>275 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(513)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sara Lee Corp., 6 1/8%,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/1/32</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>300,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/11</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(43 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,381</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Seat Pagine Gialle</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>S. P. A., 8%, 4/30/14</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>495,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/13</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>815 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(22,525)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Wind Acquisition</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9 3/4%, 12/1/15</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>240,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/13</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(495 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,590</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Credit Suisse First Boston International</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ukraine Government,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7.65%, 6/11/13</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 1,105,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/20/11</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>194 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(15,050)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>72</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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     <TD noWrap align=left colSpan=7><FONT face=sans-serif size=1>CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/08 (Unaudited) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
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<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Upfront</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fixed payments</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Swap counterparty/</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>premium</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Notional</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Termination</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received (paid) by&nbsp;</FONT> </TD>
     <TD noWrap align=right>&nbsp;<FONT face=Arial size=1>appreciation/</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Referenced debt*</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>received (paid)**</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT> </TD></TR>
<TR>
     <TD noWrap align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Credit Suisse International</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
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<TR>
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<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Advanced Micro Devices,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 3/4%, 11/1/12</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$<FONT size=3> </FONT>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$<FONT size=3> </FONT>210,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>165 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ (17,712)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX NA HE AAA Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>250,359</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=Arial size=1>1,662,264</FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/25/45</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>18 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>80,678</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CMB NA CMBX AA Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(217,053)</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>971,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/12/52</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(25 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(72,178)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CMB NA CMBX AAA Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>154,461</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>928,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/13/49</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>61,349</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CMB NA CMBX AAA Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,651,787</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>10,544,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2/17/51</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>35 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>725,838</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dynegy Holdings Inc.,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 7/8%, 4/1/11</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>150,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>297 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(18,516)</FONT> </TD></TR>
<TR>
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<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freeport-McMoRan Copper</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>&amp; Gold, Inc.</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>600,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>41 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(8,456)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freeport-McMoRan Copper</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>&amp; Gold, Inc.</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>597,100</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(82 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(480)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Harrahs Operating Co.</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Inc. , 5 5/8%, 6/1/15</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>165,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>600 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(936)</FONT> </TD></TR>
<TR>
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<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Peru,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 3/4%, 11/21/33</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>610,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/20/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>125 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(20,530)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Deutsche Bank AG</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX NA CMBX AAA Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>71,142</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>1,180,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2/17/51</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>35 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(32,498)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX NA HE AAA Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>98,964</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>965,507</FONT> </TD>
     <TD noWrap align=center><FONT face=Arial size=1>&nbsp;(F)</FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/25/45</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>18 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,578)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ iTraxx Europe Series</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 Version 1</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(57,074)</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>595,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(375 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,500)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ iTraxx Europe Series</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9 Version 1</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,248</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>202,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/13</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(650 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,118</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Grohe Holding GmBh,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 5/8%, 10/1/14</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>140,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>400 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Grohe Holding GmBh,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 5/8%, 10/1/14</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>505,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>400 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(8,548)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>India Government Bond,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.87%, 1/2/10</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1></FONT></TD>
     <TD noWrap align=right>&nbsp;<FONT face=Arial size=1>$ 5,800,000 </FONT></TD>
     <TD noWrap align=center><FONT face=Arial size=1>(F)</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/11/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>170 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>76,976</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>iStar Financial, Inc.,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6%, 12/15/10</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>26,663</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>395,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>500 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,949</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Korea Monetary STAB</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bond, 5%, 2/14/09</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>1,365,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2/23/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>105 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,397</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Korea Monetary STAB</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bond, 5.15%, 2/12/10</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>1,365,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2/19/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>115 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,955</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Korea Monetary STAB</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bond, 5.45%, 1/23/10</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>870,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2/1/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>110 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,625</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Nalco, Co. 7.75%,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/15/11</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>70,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>363 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,510)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Argentina,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.28%, 12/31/33</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>660,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(380 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>43,939</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Indonesia,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.75%, 2014</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>575,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/16</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>292 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,321</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Peru,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 3/4%, 11/21/33</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>610,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/20/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>126 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(26,378)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Turkey,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>11 7/8%, 1/15/30</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>920,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/14</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>195 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(57,344)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Venezuela,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9 1/4%, 9/15/27</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>595,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/14</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>220 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(113,639)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>73</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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     <TD align=center width="7%"></TD>
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<TR vAlign=bottom>
     <TD noWrap align=left colSpan=7><FONT face=sans-serif size=1>CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/08 (Unaudited) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Upfront</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fixed payments</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Swap counterparty/</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>premium</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Notional</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Termination</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received (paid) by </FONT></TD>
     <TD noWrap align=right>&nbsp;<FONT face=Arial size=1>appreciation/</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Referenced debt*</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>received (paid)**</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT> </TD></TR>
<TR>
     <TD noWrap align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Deutsche Bank AG </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD noWrap align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Taiwan T Bill</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$<FONT size=3> </FONT>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 2,275,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/12/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>115 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$<FONT size=3> </FONT>3,110</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>United Mexican States,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7.5%, 4/8/33</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,495,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/14</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>56 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(63,782)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>United Mexican States,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7.5%, 4/8/33</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>550,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/20/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>66 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(32,648)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ LCDX NA Series 9.1</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 15-100% tranche</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,875,000</FONT> </TD>
     <TD noWrap align=center><FONT face=Arial size=1>&nbsp;(F)</FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>61.56 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(87,793)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Korea Monetary STAB</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bond, 5.04%, 1/24/09</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,105,000</FONT> </TD>
     <TD noWrap align=center><FONT face=Arial size=1>&nbsp;(F)</FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2/2/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>130 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,494</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Brazil,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>12 1/4%, 3/6/30</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>775,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/20/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>105 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(61,018)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Goldman Sachs International</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Advanced Micro Devices,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 3/4%, 11/1/12</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>375,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>515 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(12,560)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Any one of the</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>underlying securities</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>in the basket of BB</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CMBS securities</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,768,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(a)</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.461%</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(945,857)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE A Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>501,237</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>748,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/25/38</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>369 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(134,103)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE AAA Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>175,796</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>748,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/25/38</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>76 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(186,889)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA CMBX AAA Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>56,692</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,550,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/15/49</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(67,950)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 9</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>439,956</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,998,900</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>375 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(731,867)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 9</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,073,890</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>22,314,600</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>375 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,303,507)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 9</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 25-35% tranche</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,781,600</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>429 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100,797</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 9</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 25-35% tranche</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,840,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>108.65 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(190,700)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 9</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 25-35% tranche</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,280,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>305 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(51,868)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 8</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 30-100% tranche</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>24,127,000</FONT> </TD>
     <TD noWrap align=center><FONT face=Arial size=1>&nbsp;(F)</FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(2.75 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>480,895</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>General Motors Corp.,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 1/8%, 7/15/13</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>300,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>620 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,216)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>General Motors Corp.,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 1/8%, 7/15/13</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,400,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>620 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(5,675)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lehman Brothers</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Holdings, 6 5/8%,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/18/12</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,205,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(67.8 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>152,425</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lighthouse</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>International Co, SA,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8%, 4/30/14</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR 420,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/13</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>680 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(42,613)</FONT> </TD></TR>
<TR>
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<HR noShade SIZE=1>
</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Merrill Lynch &amp; Co.,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5%, 1/15/15</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 1,205,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(59.8 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>144,673</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Unity Media GmBh,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 3/4%, 2/15/15</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR 420,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/13</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>735 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>36,592</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>74</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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     <TD noWrap align=left colSpan=7><FONT face=sans-serif size=1>CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/08 (Unaudited) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
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<TR>
     <TD colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Upfront</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fixed payments</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Swap counterparty/</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>premium</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Notional</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Termination</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received (paid) by </FONT></TD>
     <TD noWrap align=right>&nbsp;<FONT face=Arial size=1>appreciation/</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Referenced debt*</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>received (paid)**</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT> </TD></TR>
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     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Goldman Sachs International </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
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     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Wind Acquisition</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9 3/4%, 12/1/15</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1><FONT face=sans-serif size=1>$</FONT> &#151;</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>420,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/13</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>597 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1><FONT face=sans-serif size=1>$</FONT> 19,418</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Wind Acquisition</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9 3/4%, 12/1/15</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>550,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(340 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>22,490</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPMorgan Chase Bank, N. A.</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Codere Finance</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>(Luxembourg) S. A.,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.25%, 6/15/15</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>420,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/13</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>795 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,730</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 9</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 25-35% tranche</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>$ 2,911,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>105.5 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(197,856)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 10</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(23,549)</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>3,940,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/13</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>155 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 10</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,316)</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>420,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/13</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>155 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 9</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>9,440,000 </FONT></TD>
     <TD noWrap align=center><FONT face=Arial size=1>(F)</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(13.55 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>167,908</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 9</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(174,873)</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>4,170,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(80 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,285</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 9</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(23,951)</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>1,180,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(80 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>27,029</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ iTraxx Europe</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Crossover Series 8</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Version 1</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(224,479)</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>EUR </FONT></TD>
     <TD noWrap align=right><FONT face=Arial size=1>1,680,000</FONT>&nbsp;&nbsp;</TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(375 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(67,559)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freeport-McMoRan Copper</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>&amp; Gold, Inc.</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>$ 1,194,100</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(85 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,261)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Idearc, Inc T/L Bank</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Loan</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>600,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>79 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(92,920)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>iStar Financial, Inc.,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6%, 12/15/10</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>26,600</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>380,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>500 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,597</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Argentina,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.28%, 12/31/33</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>705,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/14</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>235 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(117,584)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Turkey,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>11 7/8%, 1/15/30</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>990,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/20/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>230 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(79,262)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Turkey,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>11 7/8%, 1/15/30</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>730,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/20/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>244 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(47,547)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Russian Federation,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 1/2%, 3/31/30</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>1,580,925</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/20/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>60 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(114,638)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Smurfit-Stone Container</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Enterprises, 7 1/2%,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/1/13</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>125,000</FONT> </TD>
     <TD noWrap align=center><FONT face=Arial size=1>&nbsp;(F)</FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/13</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>685 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>696</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 9</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 30-100% tranche</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right>&nbsp;<FONT face=Arial size=1>8,555,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><FONT face=Arial size=1>(F)</FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(5.8 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>182,142</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Turkey,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>11 7/8%, 1/15/30</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>185,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>154 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(9,126)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Lehman Brothers Special Financing, Inc.</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Advanced Micro Devices,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 3/4%, 11/1/12</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>745,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>525 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(24,250)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bear Stearns Co. Inc.,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.3%, 10/30/15</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>1,205,000</FONT> </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(77 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>67,110</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
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<TR>
     <TD width="26%"></TD>
     <TD width="12%"></TD>
     <TD width="7%"></TD>
     <TD width="12%"></TD>
     <TD width="7%"></TD>
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     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=7><FONT face=sans-serif size=1>CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/08 (Unaudited) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Upfront</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fixed payments</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Swap counterparty/</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>premium</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Notional</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Termination</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received (paid) by </FONT></TD>
     <TD noWrap align=right>&nbsp;<FONT face=Arial size=1>appreciation/</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Referenced debt*</FONT> </TD>
     <TD noWrap align=right><FONT face=Arial size=1>received </FONT><FONT face=Arial size=1>(paid)**</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT> </TD></TR>
<TR>
     <TD noWrap align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Lehman Brothers Special Financing, Inc. </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Community Health</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Systems, 8 7/8%, 7/15/15</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$<FONT size=3> </FONT>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 195,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>360 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ (11,835)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE A Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>501,237</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>748,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/25/38</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>369 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(131,239)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE A Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>520,555</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>749,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/25/38</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>369 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(112,767)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE AAA Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>175,796</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>748,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/25/38</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>76 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(183,086)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE AAA Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>209,720</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>749,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/25/38</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>76 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(149,800)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE AAA Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>400,316</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,380,400</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/25/38</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>76 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(262,409)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA CMBX AA Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,426)</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>45,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><FONT face=Arial size=1>(F)</FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/15/49</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(15 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,308</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 8</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 35-60% tranche</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>43,893,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>95 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(4,309,216)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 8</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 35-60% tranche</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,590,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>104 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(434,873)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 9</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 25-35% tranche</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11,500,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>104.5 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(784,664)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 9</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 25-35% tranche</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11,500,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>90 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(828,230)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 9</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 25-35% tranche</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>27,600,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>171 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,403,460)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 9</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 25-35% tranche</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>16,700,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>203 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(709,472)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 9</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 25-35% tranche</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>16,700,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>212 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(670,060)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 9</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index, 25-35% tranche</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,560,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>163 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(559,011)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 10</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>189,834</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,548,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/18</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(150 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>31,618</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 8</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 30-100% tranche</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,026,600</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(3.125 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>179,073</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 8</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 30-100% tranche</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>43,869,400</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(8 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>786,389</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 9</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(442,096)</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,544,500</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(80 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(29,742)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ LCDX NA Series 9.1</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 15-100% tranche</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,875,000</FONT> </TD>
     <TD noWrap align=center><FONT face=Arial size=1>&nbsp;(F)</FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>59.3 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(89,505)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Domtar Corp., 7 1/8%,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/15/15</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>145,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/11</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(250 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,847</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fed Republic of Brazil,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>12.25%, 3/6/30</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>115,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>113 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,039)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fed Republic of Brazil,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>12.25%, 3/6/30</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>115,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>120 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,706)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freescale</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Semiconductor, 8 7/8%,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/15/14</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>571,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>355 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(112,725)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freescale</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Semiconductor, 8 7/8%,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/15/14</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>571,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(228 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>75,697</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Goldman Sachs Group,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Inc., 6.6%, 1/15/12</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,205,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(58 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>84,611</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Goldman Sachs Group,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Inc., 6.6%, 1/15/12</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,205,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>45.5 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(47,740)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>76</FONT></P>
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     <TD noWrap align=left colSpan=7><FONT face=sans-serif size=1>CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/08 (Unaudited) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
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     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Upfront</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fixed payments</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Swap counterparty/</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>premium</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Notional</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Termination</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received (paid) </FONT></TD>
     <TD noWrap align=right>&nbsp;<FONT face=Arial size=1>by appreciation/</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Referenced debt*</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>received (paid)**</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT> </TD></TR>
<TR>
     <TD noWrap align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Lehman Brothers Special Financing, Inc. </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Harrahs Operating Co.</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Inc., 5 5/8%, 6/1/15</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ &#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 115,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>610 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1><FONT face=sans-serif size=1>$</FONT> (542)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>HCA inc., T/L Bank Loan</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>186,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>225 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(22)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Jefferson Smurfit</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Corp., 7 1/2%, 6/1/13</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>200,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/13</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>645 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(704)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Morgan Stanley Dean</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Witter, 6.6%, 4/1/12</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,205,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(60.5 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>93,096</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Morgan Stanley Dean</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Witter, 6.6%, 4/1/12</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,205,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>48 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(67,227)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Argentina,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.28%, 12/31/33</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>330,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(469 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,783</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Argentina,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.28%, 12/31/33</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,335,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/20/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>296 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(652,941)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Ecuador,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>10%, 8/15/30</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>570,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>600 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(749)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Ecuador,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>10%, 8/15/30</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>560,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>540 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(8,529)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Ecuador,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>10%, 8/15/30</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>340,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>540 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(5,178)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Peru,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 3/4%, 11/21/33</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,185,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/20/16</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>215 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>30,657</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Turkey,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>11 7/8%, 1/15/30</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,200,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/20/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>228 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(342,160)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Venezuela,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9 1/4%, 9/15/27</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,190,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>183 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(173,513)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Venezuela,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9 1/4%, 9/15/27</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,190,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/20/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(130 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,341</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>United Mexican States,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7.5%, 4/8/33</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,815,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/20/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>72 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(227,641)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>United Mexican States,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7.5%, 4/8/33</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>665,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/20/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>67 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(38,959)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Wind Acquisition</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9 3/4%, 12/1/15</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR 240,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/10</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(357 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,255</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Merrill Lynch Capital Services, Inc.</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bombardier, Inc,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 3/4%, 5/1/12</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 1,080,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(150 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>51,916</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>D.R. Horton Inc.,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 7/8%, 8/15/11</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>735,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/11</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(426 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(4,528)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>General Motors Corp.,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 1/8%, 7/15/13</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>960,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/08</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>500 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(9,670)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Pulte Homes Inc.,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.25%, 1/15/14</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>690,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/11</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(482 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(16,061)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Merrill Lynch International</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dynegy Holdings Inc.,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 7/8%, 4/1/11</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>150,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/17</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>295 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(18,682)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Morgan Stanley Capital Services, Inc.</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Advanced Micro Devices,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 3/4%, 11/1/12</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>500,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>190 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(40,408)</FONT> </TD></TR>
<TR>
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<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Aramark Services, Inc.,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5%, 2/1/15</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>125,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>355 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(8,502)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>77</FONT></P>
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     <TD noWrap align=left colSpan=7><FONT face=sans-serif size=1>CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/08 (Unaudited) </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Upfront</FONT> </TD>
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     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fixed payments</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Swap counterparty/</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>premium</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Notional</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Termination</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received (paid) by </FONT></TD>
     <TD noWrap align=right>&nbsp;<FONT face=Arial size=1>appreciation/</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Referenced debt*</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>received (paid)**</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT> </TD></TR>
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     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Morgan Stanley Capital Services, Inc. </FONT><I><FONT face=sans-serif size=1>continued</FONT></I> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
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     <TD noWrap align=left>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bombardier, Inc,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 3/4%, 5/1/12</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$<FONT size=3> </FONT>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 545,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(114 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 35,439</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX NA CMBX AAA Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>276,884</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,890,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/15/49</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(38,396)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX NA CMBX BBB Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>50</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>68,790</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/12/52</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(134 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>27,678</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 9</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>660,132</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>16,503,300</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>375 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,098,130)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 10</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>416,060</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>21,356,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/18</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(150 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>169,184</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 9</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 30-100% tranche</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,300,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(29.5 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>33,815</FONT> </TD></TR>
<TR>
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<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CMB NA CMBX AA Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(276,753)</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,213,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/12/52</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(25 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(95,049)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CMB NA CMBX AAA Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,687,934</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,071,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/13/49</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>390,047</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CMB NA CMBX AAA Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,434,573</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>59,293,500</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2/17/51</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>35 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,227,564</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dynegy Holdings Inc.,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 7/8%, 4/1/11</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>150,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>225 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(10,458)</FONT> </TD></TR>
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<HR noShade SIZE=1>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freeport-McMoRan Copper</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>&amp; Gold, Inc.</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,788,300</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>44 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(17,236)</FONT> </TD></TR>
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<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Nalco, Co. 7.75%,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/15/11</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>80,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>330 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,500)</FONT> </TD></TR>
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<HR noShade SIZE=1>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Nalco, Co. 7.75%,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
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     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/15/11</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>115,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/13</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>460 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,814</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 7</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>61,321</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,290,960</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(325 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>99,774</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 7</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 10-15% tranche</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>52,160</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,304,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/09</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>0 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(222,639)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dominican Republic,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 5/8%, 4/20/27</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,190,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/20/11</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(170 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>61,506</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freeport-McMoRan Copper</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>&amp; Gold, Inc.</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>597,100</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(83 bp)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,651)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Venezuela,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9 1/4%, 9/15/27</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>510,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/12/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>339 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(49,991)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Russian Federation, 5%,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/31/30</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,850,000</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/12</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>48 bp</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(314,215)</FONT> </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$(13,709,518)</FONT> </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>(F) Is valued at fair value following procedures approved by the Trustees.</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>78</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<A name="page_80"></A>
<P align=left><B><FONT face=sans-serif size=4>Statement of assets and liabilities </FONT></B><FONT face=sans-serif size=2>3/31/08 (Unaudited)</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="83%"></TD>
     <TD width="16%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>ASSETS</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Investment in securities, at value, including $2,833,893 of securities on loan (Note 1):</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Unaffiliated issuers (identified cost $834,317,214)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 856,765,063</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Affiliated issuers (identified cost $22,561,483) (Note 5)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>22,561,483</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Cash</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,935,593</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Foreign currency (cost $712,410) (Note 1)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>703,105</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dividends, interest and other receivables</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5.379,732</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Receivable for securities sold</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>799,588</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Receivable for sales of delayed delivery securities (Notes 1, 6 and 7)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>118,361,634</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Receivable from Manager (Note 2)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>79,239</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Unrealized appreciation on swap contracts (Note 1)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>84,926,457</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Receivable for open forward currency contracts (Note 1)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,108,340</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Receivable for closed forward currency contracts (Note 1)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>783,442</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Receivable for open swap contracts (Note 1)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>557,249</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Receivable for closed swap contracts (Note 1)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,646,156</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Premium paid on swap contracts (Note 1)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,443,570</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Receivable for variation margin (Note 1)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,566,804</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total assets</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,102,617,455</FONT> </TD></TR>
<TR>
     <TD colSpan=2>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIABILITIES</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Distributions payable to shareholders</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,073,090</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payable for securities purchased</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,710,830</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payable for purchases of delayed delivery securities (Notes 1, 6 and 7)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>260,661,821</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payable for compensation of Manager (Notes 2 and 5)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>979,544</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payable for investor servicing fees (Note 2)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>22,903</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payable for Trustee compensation and expenses (Note 2)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>130,022</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payable for administrative services (Note 2)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,726</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payable for open forward currency contracts (Note 1)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,982,259</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payable for closed forward currency contracts (Note 1)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>655,046</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Premium received on swap contracts (Note 1)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,549,408</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payable for closed swap contracts (Note 1)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>328,501</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Written options outstanding, at value (premiums received $8,792,830) (Notes 1 and 3)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,671,840</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Unrealized depreciation on swap contracts (Note 1)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>133,169,595</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>TBA sales commitments, at value (proceeds receivable $118,135,039) (Note 1)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>118,245,768</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Collateral on securities loaned, at value (Note 1)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,904,300</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Other accrued expenses</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>123,753</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total liabilities</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>564,210,406</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net assets</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 538,407,049</FONT> </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>79</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<A name="page_81"></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=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="76%"></TD>
     <TD width="23%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>REPRESENTED BY</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Paid-in capital (Unlimited shares authorized) (Notes 1 and 4)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 702,551,214</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Undistributed net investment income (Note 1)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,807,648</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Accumulated net realized loss on investments</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>and foreign currency transactions (Note 1)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(142,987,943)</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net unrealized depreciation of investments and assets</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>and liabilities in foreign currencies</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(33,963,870)</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total &#151; Representing net assets applicable to capital shares outstanding</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 538,407,049</FONT> </TD></TR>
<TR>
     <TD colSpan=2></TD></TR>
<TR>
     <TD colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net asset value per share</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>($538,407,049 divided by 80,870,445 shares)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$6.66</FONT> </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>80</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_82"></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 3/31/08 (Unaudited)</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="79%"></TD>
     <TD width="20%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>INVESTMENT INCOME</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Interest (including interest income of $703,125</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>from investments in affiliated issuers) (Note 5)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 20,881,236</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dividends</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,814</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities lending</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,170</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total investment income</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>20,892,220</FONT> </TD></TR>
<TR>
     <TD colSpan=2>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>EXPENSES</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Compensation of Manager (Note 2)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,061,230</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Investor servicing fees (Note 2)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>140,917</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Custodian fees (Note 2)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>41,622</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Trustee compensation and expenses (Note 2)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>20,227</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Administrative services (Note 2)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>15,756</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Other (Note 2)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>415,648</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fees waived and reimbursed by Manager (Notes 2 and 5)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(53,066)</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total expenses</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,642,334</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Expense reduction (Note 2)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(106,441)</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net expenses</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,535,893</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net investment income</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,356,327</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net realized gain on investments (Notes 1 and 3)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,358,937</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net increase from payments by affiliate (Note 2)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>176,732</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net realized gain on swap contracts (Note 1)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>809,832</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net realized loss on futures contracts (Note 1)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(5,985,881)</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net realized loss on foreign currency transactions (Note 1)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(4,023,888)</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net realized loss on written options (Notes 1 and 3)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(985,865)</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net unrealized depreciation of assets and liabilities</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>in foreign currencies during the period</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,811,606)</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net unrealized depreciation of investments, futures contracts, swap contracts,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>written options, and TBA sale commitments during the period</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(35,075,022)</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net loss on investments</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(38,536,761)</FONT> </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net decrease in net assets resulting from operations</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$(20,180,434)</FONT> </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>81</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_83"></A>
<P align=left><B><FONT face=sans-serif size=4>Statement of changes in net assets</FONT></B></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="55%"></TD>
     <TD width="20%"></TD>
     <TD width="20%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DECREASE IN NET ASSETS</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Six months ended</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Year ended</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/31/08*</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9/30/07</FONT> </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Operations:</FONT></I> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net investment income</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 18,356,327</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 31,959,763</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net realized loss on investments</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>and foreign currency transactions</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,650,133)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(4,719,765)</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net unrealized appreciation (depreciation) of investments</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>and assets and liabilities in foreign currencies</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(36,886,628)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,592,414</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net increase (decrease) in net assets resulting</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>from operations</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(20,180,434)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>32,832,412</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Distributions to shareholders (Note 1):</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>From net investment income</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(18,538,675)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(32,136,740)</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Decrease from shares repurchased (Note 4)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,684,554)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(86,295,031)</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total decrease in net assets</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(40,403,663)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(85,599,359)</FONT> </TD></TR>
<TR>
     <TD colSpan=3></TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>NET ASSETS</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Beginning of period</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>578,810,712</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>664,410,071</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>End of period </FONT><FONT face=sans-serif size=1>(including undistributed net investment</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>income of $12,807,648 and $12,989,996, respectively)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$538,407,049</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$578,810,712</FONT> </TD></TR>
<TR>
     <TD colSpan=3></TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>NUMBER OF FUND SHARES</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Shares outstanding at beginning of period</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>81,137,030</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>93,824,140</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Shares repurchased (Note 4)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(266,585)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(12,681,340)</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Retirement of shares held by the fund</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(5,770)</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Shares outstanding at end of period</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>80,870,445</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>81,137,030</FONT> </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>82</FONT></P>
<HR align=center width="100%" noShade SIZE=2>


<A name="page_84"></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=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD align=left width="22%"></TD>
     <TD align=right width="13%"></TD>
     <TD align=right width="12%"></TD>
     <TD align=right width="13%"></TD>
     <TD align=right width="14%"></TD>
     <TD align=right width="14%"></TD>
     <TD align=right width="11%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=1>PER-SHARE OPERATING PERFORMANCE</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=7></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center colSpan=2><FONT face=sans-serif size=1>Six months ended**</FONT></TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center colSpan=2><FONT face=sans-serif size=1>Year ended</FONT></TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/31/08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9/30/07</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9/30/06</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9/30/05</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9/30/04</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9/30/03</FONT> </TD></TR>
<TR>
     <TD noWrap align=left colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net asset value,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>beginning of period</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$7.13</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$7.08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$7.07</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$7.13</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$6.99</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$6.26</FONT> </TD></TR>
<TR>
     <TD align=left colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Investment operations:</FONT></I> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net investment income (a)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.23(d)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.36(d)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.34(d)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.32(d)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.40(d)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.48</FONT> </TD></TR>
<TR>
     <TD align=left colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net realized and unrealized</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>gain (loss) on investments</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(.47)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.01</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(.04)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.04</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.23</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.73</FONT> </TD></TR>
<TR>
     <TD align=left colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total from</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>investment operations</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(.24)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.37</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.30</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.36</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.63</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1.21</FONT> </TD></TR>
<TR>
     <TD align=left colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Less distributions:</FONT></I> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>From net investment income</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(.23)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(.36)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(.35)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(.42)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(.49)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(.48)</FONT> </TD></TR>
<TR>
     <TD align=left colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total distributions</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(.23)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(.36)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(.35)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(.42)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(.49)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(.48)</FONT> </TD></TR>
<TR>
     <TD align=left colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Increase from</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>shares repurchased</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT><FONT face=sans-serif size=1>(e)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.04</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.06</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD></TR>
<TR>
     <TD align=left colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net asset value,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>end of period</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$6.66</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$7.13</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$7.08</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$7.07</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$7.13</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$6.99</FONT> </TD></TR>
<TR>
     <TD align=left colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Market value,</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>end of period</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$6.17</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$6.41</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$6.15</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$6.25</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$6.73</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$6.41</FONT> </TD></TR>
<TR>
     <TD align=left colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total return at</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>market value (%)</FONT><FONT face=sans-serif size=1>(b)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(0.20) </FONT><FONT face=sans-serif size=1>*</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10.15</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4.17</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(0.98)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12.95</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8.35</FONT> </TD></TR>
<TR>
     <TD align=left colSpan=7></TD></TR>
<TR>
     <TD align=left colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>RATIOS AND SUPPLEMENTAL DATA</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net assets, end of period</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>(in thousands)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$538,407</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$578,811</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$664,410</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$709,266</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$715,596</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$700,694</FONT> </TD></TR>
<TR>
     <TD align=left colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ratio of expenses to</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>average net assets (%)(c)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.47* (d)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.90(d)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.89(d)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.87(d)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.86(d)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.89</FONT> </TD></TR>
<TR>
     <TD align=left colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Ratio of net investment income</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>to average net assets (%)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3.28* (d)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5.01(d)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4.84(d)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4.43(d)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5.61(d)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7.22</FONT> </TD></TR>
<TR>
     <TD align=left colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Portfolio turnover (%)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>65.68* (f)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>77.78(f)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>113.12(f)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>165.33(f)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>113.46</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>141.60(g)</FONT> </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>* </FONT><I><FONT face=sans-serif size=1>Not annualized. </FONT></I></P>
<P align=left><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>83</FONT></P>
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<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 the fund reflect a reduction of the following amounts (Note 5):</FONT></I></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="40%"></TD>
     <TD width="30%"></TD>
     <TD width="30%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=1>Percentage</FONT></I> </TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=1>of average</FONT></I> </TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=1>net assets</FONT></I> </TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>March 31,2008</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=1>0.01%</FONT></I> </TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>September 30, 2007</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=1>0.02</FONT></I> </TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>September 30, 2006</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=1>0.02</FONT></I> </TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>September 30, 2005</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=1>0.02</FONT></I> </TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>September 30, 2004</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=1>&lt;0.01</FONT></I> </TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>(e) </FONT><I><FONT face=sans-serif size=1>Amount represents less than $0.01 per share. </FONT></I></P>
<P align=left><FONT face=sans-serif size=1>(f) </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>(g) </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>84</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>3/31/08 (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. The fund may invest a significant portion of its assets in securitized debt instruments, including mortgage-backed and asset-backed investments. The yields and values of these investments are sensitive to changes in interest rates, the rate of principal payments on the underlying assets and the market&#146;s perception of the issuers. The market for these inv
estments may be volatile and limited, which may make them difficult to buy or sell.</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.</FONT></P>
<P align=left><FONT face=sans-serif size=2>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 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, a 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 comparable securities and various relationships, genera
lly 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. To the extent a pricing service or dealer is unable to value a security or provides a valuation which Putnam Management does not believe accurately reflects the security&#146;s fair value, th
e security will be valued at fair value by Putnam Management. Certain investments, including certain restricted securities and derivatives, are also valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the</FONT></P>
<P align=left><FONT face=sans-serif size=2>85</FONT></P>
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<P align=left><FONT face=sans-serif size=2>Trustees. Certain securities may be valued on the basis of a price provided by a single source. 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 &#147;SEC&#148;), 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 accounts managed by Putnam Management. These balances may be invested in issues of 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</B> and related investment income </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.</FONT></P>
<P align=left><FONT face=sans-serif size=2>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 forward commitment or 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 </FONT><FONT face=sans-serif size=2>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 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 is 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 fo
rward currency contracts, disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between</FONT></P>
<P align=left><FONT face=sans-serif size=2>86</FONT></P>
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<P align=left><FONT face=sans-serif size=2>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 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 r
ecords 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. 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, owned or expects to purchase, or for other investment purposes. The fund may also write options on swaps or securities it owns or in which it may invest to increase its current returns.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The potential risk to the fund is that the change in value of futures and options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, or if the counterparty to the contract is unable to perform. Risks may exceed amounts recognized on the Statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to 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</FONT></P>
<P align=left><FONT face=sans-serif size=2>87</FONT></P>
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<P align=left><FONT face=sans-serif size=2>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 an unrealized gain or loss. Payments received or made are recorded as a realized gains or loss. Certain total return swap contracts may include extended effective dates. Income related to these swap contracts is accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may d
efault 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 an unrealized gain or loss. Payments received or made are recorded as a 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. Int
erest 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 counterparty, the protection seller, in exchange for the right to receive a contingent payment. The maximum amount of the payment may equal the notional amount, at par, of the underlying index or security as a result of a related credit event. Payments are made upon a credit default event of the disclosed primary referenced obligation or all other equally ranked obligations of the reference entity. An upfront payment received by the fund, as the protection seller, is recorded as a liability on the fund&#146;s books. An upfront payment made by the fund, as the protection buyer, is recorded as an asset on the fund&#146;s books. Periodic payments received or paid by the fund are recorded as realized gains or losses. The credit default contracts are marked to market daily 
based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses. In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index, the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased comparable publicly traded securities or that the counterparty may default on its obligation to perform. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. Credit default contracts outstanding at period end, if any, are listed after the fund&#146;s portfolio.</FONT></P>
<P align=left><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</FONT></P>
<P align=left><FONT face=sans-serif size=2>88</FONT></P>
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<P align=left><FONT face=sans-serif size=2>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 marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Although the fund will generally enter into TBA purchase commitments with the intention of acquiring securities for its portfolio or for delivery pursuant to options contracts it has entered into, the fund may dispose of a commitment prior to settlement if Putnam Management deems it appropriate to do so.</FONT></P>
<P align=left><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 the fair value of the underlying securities, generally according to the procedures described under &#147;Security valuation&#148; above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase </FONT><FONT face=sans-serif size=2>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 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, on settlement date. 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) Securities lending</B> </FONT><FONT face=sans-serif size=2>The fund may lend securities, through its agents, to qualified borrowers in order to earn additional income. The loans are collateralized by cash and/or securities in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The risk of borrower default will be borne by the fund&#146;s agents; the fund will bear the risk of loss with respect to the investment of the cash collateral. Income from securities lending is included in investment income on the Statement of operations. At March 31, 2008, the value of securities loaned amounted to $2,833,893. The fund received cash collateral of $2,904,300 which is pooled with collateral of other Putnam funds into 55 issues of short-term investments.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>O) 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</FONT></P>
<P align=left><FONT face=sans-serif size=2>89</FONT></P>
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<P align=left><FONT face=sans-serif size=2>provisions of the Internal Revenue Code of 1986 (the &#147;Code&#148;), as amended, 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, 2007 the fund had a capital loss carryover of $132,838,759 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 cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="28%"></TD>
     <TD width="36%"></TD>
     <TD width="35%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>Loss Carryover</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Expiration</FONT> </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD noWrap align=right colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>$25,640,537</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>September 30, 2008</FONT> </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>24,593,458</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>September 30, 2009</FONT> </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>27,431,170</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>September 30, 2010</FONT> </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>47,831,303</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>September 30, 2011</FONT> </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,342,291</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>September 30, 2015</FONT> </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD></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, 2008, $10,599,551 of losses recognized during the period November 1, 2006 to September 30, 2007.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The aggregate identified cost on a tax basis is $857,650,484, resulting in gross unrealized appreciation and depreciation of $51,149,651 and $29,473,589, respectively, or net unrealized appreciation of $21,676,062.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>P) 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 </FONT><FONT face=sans-serif size=2>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 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 average net assets of the fund (including assets but excluding liabilities, attributable to leverage for investment purposes.) The 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 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 net assets (including assets but excluding liabilities, attributable to leverage for investment purposes) of the portion of the fund managed by PIL.</FONT></P>
<P align=left><FONT face=sans-serif size=2>In October 2007, Putnam Management agreed to reimburse the fund in the amount of $176,732 in connection with the misidentification in 2006 of the characteristics of certain securities in the fund&#146;s portfolio. The reimbursement by Putnam Management had less than a 0.05% impact on total return during the period.</FONT></P>
<P align=left><FONT face=sans-serif size=2>In December 2007, Putnam Management reimbursed the fund $40,670 relating to excise tax payments due from the fund.</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.</FONT></P>
<P align=left><FONT face=sans-serif size=2>90</FONT></P>
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<P align=left><FONT face=sans-serif size=2>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 services for the fund&#146;s assets were provided by Putnam Fiduciary Trust Company (&#147;PFTC&#148;), an affiliate of Putnam Management, and by State Street Bank and Trust Company (&#147;State Street&#148;). Custody fees are based on the fund&#146;s asset level, the number of its security holdings, transaction volumes and with respect to PFTC, certain fees related to the transition of assets to State Street. 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, 2008, the fund incurred $149,764 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 expense offset arrangements with PFTC and State Street whereby PFTC&#146;s and State Street&#146;s fees are reduced by credits allowed on cash balances. For the six months ended March 31, 2008, the fund&#146;s expenses were reduced by $106,441 under the expense offset 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 $376, 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 and industry seminars and for certain compliance-related matters. Trustees also are reimbursed for expenses they incur relating to their services as Trustees.</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.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The fund has adopted an unfunded noncontributory 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 </FONT><FONT face=sans-serif size=2>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 period ended March 31, 2008, cost of purchases and proceeds from sales of investment securities other than U.S. government securities and short-term investments aggregated $393,659,080 and $349,093,390, respectively. Purchases and sales of U.S. government securities aggregated $12,694,469 and $8,794,863, respectively.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Written option transactions during the period ended March 31, 2008 are summarized as follows:</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="33%"></TD>
     <TD width="13%"></TD>
     <TD width="28%"></TD>
     <TD width="24%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Contract</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Premiums</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Amounts</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Received</FONT> </TD></TR>
<TR>
     <TD noWrap align=left colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Written options</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>outstanding</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>at beginning</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>of period</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,440,000</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 221,499</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>USD 164,259,000</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,145,074</FONT> </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Options</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>opened</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>USD 625,576,000</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,096,179</FONT> </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Options</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>exercised</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>USD</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Options</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>expired</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>USD 168,522,000</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,949,135</FONT> </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Options</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>closed</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>USD 303,918,000</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,720,787</FONT> </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Written options</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>outstanding</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>at end of period</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,440,000</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>221,499</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>USD 317,395,000</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$8,571,331</FONT> </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>91</FONT></P>
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<P align=left><FONT face=sans-serif size=2>At March 31, 2008, Putnam, LLC owned 61 class A shares of the fund (less than 0.01% of class A shares outstanding), valued at $378.</FONT></P>
<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 September 2007, the Trustees approved the renewal of the repurchase program to allow the fund to repurchase up to 10% of its outstanding common shares over the 12-month period ending October 7, 2008 (based on shares outstanding as of October 5, 2007). Prior to this renewal, the Trustees had approved a repurchase program to allow the fund to repurchase up to 10% of its outstanding common shares over the 12-month period ending October 6, 2007 (based on shares outstanding as of October 7, 2005). Repurchases are 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, 2008, the fund repurchased 266,585 common shares for an aggregate purchase price of $1,684,554, which reflects a weighted-average discount from net asset value per share of 9.01% .</FONT></P>
<P align=left><FONT face=sans-serif size=2>In April 2008, the fund repurchased 12,130,566 common shares pursuant to an issuer tender offer commenced on February 29, 2008, for up to 15% of its outstanding common shares, at $6.64 per share, for an aggregate purchase price of $80,546,958. The tender offer purchase price represented a discount of 1% from the net asset value of the fund&#146;s common shares as of April 11, 2008.</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 </FONT><FONT face=sans-serif size=2>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 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, 2008, management fees paid were reduced by $12,396 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 $703,125 for the period ended March 31, 2008. During the period ended March 31, 2008, cost of purchases and proceeds of sales of investments in Putnam Prime Money Market Fund aggregated $137,915,525 and $172,316,144, 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, 2008, the fund had unfunded loan commitments of $407,395, which could be extended at the option of the borrower, pursuant to the following loan agreements with the following borrowers:</FONT></P>
<P align=left><FONT face=sans-serif size=2>92</FONT></P>
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<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="45%"></TD>
     <TD width="26%"></TD>
     <TD width="27%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Borrower</FONT> </TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>Unfunded Commitments</FONT> </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Golden Nugget, Inc.</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 58,182</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Univision Communications, Inc.</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,047</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>MEG Energy Corp. (Canada)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>99,957</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Hub International, Ltd.</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>31,939</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Community Health Systems, Inc.</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>30,270</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>NRG Energy, Inc.</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>180,000</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<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 in connection with excessive short-term trading in Putnam funds. Payments from Putnam Management will be distributed to certain open-end Putnam funds and their shareholders. These allegations and related matters have served as the general basis for certain lawsuits, including purported class action lawsuits against Putnam Management and, in a limited number of cases, 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.</FONT></P>
<P align=left><FONT face=sans-serif size=2>In September 2007, Putnam Management consented to an order issue by the SEC and agreed to pay a monetary penalty to the SEC relating to the omission of required information from notices sent with distributions to shareholders of your fund prior to June 2002.</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 or expected to be taken by a filer in the filer&#146;s tax return. Upon adoption, the Interpretation did not have a material effect on the fund&#146;s financial statements. However, the conclusions regarding the Interpretation may be subject to review and adjustment at a later date based on factors including, but not limited to, further implementation guidance expected from the FASB, and on-going analysis of tax laws, regulations and interpretations thereof.</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 expands disclosures about fair value measurements. The Standard applies to fair value measurements already required or permitted by existing standards. The Standard is effective for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. Putnam Management does not believe the adoption of the Standard will impact the amounts reported in the financial statements; however, additional disclosures will be required about the inputs used to develop the measurements of fair value.</FONT></P>
<P align=left><FONT face=sans-serif size=2>In March 2008, FASB issued Statement of Financial Accounting Standards No. 161 (&#147;FAS 161&#148;) </FONT><I><FONT face=sans-serif size=2>Disclosures about Derivative Instruments and Hedging Activities </FONT></I><FONT face=sans-serif size=2>&#151;an amendment of FASB Statement No. 133 (&#147;FAS 133&#148;), which expands the disclosure requirements in FAS 133 about an entity&#146;s derivative instruments and hedging activities. FAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. Putnam Management is currently evaluating the impact the adoption of these accounting pronouncements will have on the Fund&#146;s financial statements and related disclosures.</FONT></P>
<P align=left><FONT face=sans-serif size=2>93</FONT></P>
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<P align=left><B><FONT face=sans-serif size=4>Shareholder meeting results (unaudited)</FONT></B></P>
<P align=left><B><FONT face=sans-serif>January 31, 2008 annual meeting</FONT></B></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=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="35%"></TD>
     <TD width="36%"></TD>
     <TD width="27%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>Votes for</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>Votes withheld</FONT> </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Jameson A. Baxter</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>73,616,877</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>2,332,146</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Charles B. Curtis</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>73,589,618</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>2,359,405</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Robert J. Darretta</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>73,523,937</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>2,425,086</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Myra R. Drucker</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>73,625,095</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>2,323,928</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>John A. Hill</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>73,605,460</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>2,343,563</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Paul L. Joskow</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>73,573,111</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>2,375,912</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Elizabeth T. Kennan</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>73,599,542</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>2,349,481</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Kenneth R. Leibler</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>73,593,242</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>2,355,781</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Robert E. Patterson</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>73,654,056</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>2,294,967</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>W. Thomas Stephens*</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>73,596,956</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>2,352,067</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Richard B. Worley</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>73,630,989</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>2,318,034</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Charles E. Haldeman, Jr.</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>73,618,165</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>2,330,858</FONT> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>George Putnam, III</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>73,651,256</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>2,297,767</FONT> </TD></TR>
<TR>
     <TD 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=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="25%"></TD>
     <TD width="25%"></TD>
     <TD width="25%"></TD>
     <TD width="25%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT face=sans-serif size=1>Votes for</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>Votes against</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>Abstentions</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>Broker non votes</FONT> </TD></TR>
<TR>
     <TD noWrap align=center colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT face=sans-serif size=2>9,828,086</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>32,444,988</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>935,234</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>32,740,715</FONT> </TD></TR>
<TR>
     <TD 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><I><FONT face=sans-serif size=1>* Mr. Stephens retired from the Board of Trustees of the Putnam funds on March 14, 2008.</FONT></I></P>
<P align=left><FONT face=sans-serif size=2>94</FONT></P>
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<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 over 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=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="33%"></TD>
     <TD width="33%"></TD>
     <TD width="33%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2><B>Investment Manager</B></FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Robert J. Darretta</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Susan G. Malloy</FONT> </TD></TR>
<TR>
     <TD><FONT face=sans-serif size=2>Putnam Investment</FONT> </TD>
     <TD><FONT face=sans-serif size=2>Myra R. Drucker</FONT> </TD>
     <TD><I><FONT face=sans-serif size=2>Vice President and</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Management, LLC</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Charles E. Haldeman, Jr.</FONT> </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Assistant Treasurer</FONT></I> </TD></TR>
<TR>
     <TD><FONT face=sans-serif size=2>One Post Office Square</FONT> </TD>
     <TD><FONT face=sans-serif size=2>Paul L. Joskow</FONT> </TD>
     <TD>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Boston, MA 02109</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Elizabeth T. Kennan</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Beth S. Mazor</FONT> </TD></TR>
<TR>
     <TD>&nbsp; </TD>
     <TD><FONT face=sans-serif size=2>Kenneth R. Leibler</FONT> </TD>
     <TD><I><FONT face=sans-serif size=2>Vice President</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2><B>Marketing Services</B></FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Robert E. Patterson</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Retail Management</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>George Putnam, III</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>James P. Pappas</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>One Post Office Square</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Richard B. Worley</FONT> </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Vice President</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Boston, MA 02109</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2><B>Officers</B></FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Francis J. McNamara, III</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2><B>Investment Sub-Manager</B></FONT> </TD>
     <TD noWrap align=left>Charles E. Haldeman, Jr.</TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Vice President and</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Investments Limited</FONT> </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>President</FONT></I> </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Chief Legal Officer</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>57&#150;59 St James&#146;s Street</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>London, England SW1A 1LD</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Charles E. Porter</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Robert R. Leveille</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Executive Vice President,</FONT></I> </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Vice President and</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2><B>Marketing Services</B></FONT> </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Principal Executive Officer,</FONT></I> </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Chief Compliance Officer</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Retail Management</FONT> </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Associate Treasurer and</FONT></I> </TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD><FONT face=sans-serif size=2>One Post Office Square</FONT> </TD>
     <TD>&nbsp;</TD>
     <TD><FONT face=sans-serif size=2>Mark C. Trenchard</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Boston, MA 02109</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Jonathan S. Horwitz</FONT> </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Vice President and</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Senior Vice President</FONT></I> </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>BSA Compliance Officer</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2><B>Custodian</B></FONT> </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>and Treasurer</FONT></I> </TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>State Street Bank and Trust</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Judith Cohen</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Company&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Steven D. Krichmar</FONT> </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Vice President, Clerk and</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Vice President and</FONT></I> </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Assistant Treasurer</FONT></I> </TD></TR>
<TR>
     <TD><FONT face=sans-serif size=2><B>Legal Counsel</B></FONT> </TD>
     <TD><I><FONT face=sans-serif size=2>Principal Financial Officer</FONT></I> </TD>
     <TD>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ropes &amp; Gray LLP</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Wanda M. McManus</FONT> </TD></TR>
<TR>
     <TD>&nbsp; </TD>
     <TD><FONT face=sans-serif size=2>Janet C. Smith</FONT> </TD>
     <TD><I><FONT face=sans-serif size=2>Vice President, Senior Associate</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2><B>Trustees</B></FONT> </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Vice President, Principal</FONT></I> </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Treasurer and Assistant Clerk</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>John A. Hill, </FONT><I><FONT face=sans-serif size=2>Chairman</FONT></I> </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Accounting Officer and</FONT></I> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Jameson Adkins Baxter,</FONT></TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Assistant Treasurer</FONT></I> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Nancy E. Florek</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><EM><FONT face=Arial size=2>Vice Chairman</FONT></EM> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Vice President, Assistant Clerk,</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=Arial size=2>Charles B. Curtis</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Assistant Treasurer and</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Proxy Manager</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>95</FONT></P>
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<P align=left><FONT face=sans-serif size=2><B>Call 1-800-225-1581 weekdays between 8:30 a.m. and 8:00 p.m. or on Saturday between 9:00 a. 5:00 p.m. Eastern Time, or visit our Web site (www.putnam.com) anytime for up-to-date about the fund&#146;s NAV.</B></FONT></P>
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<IMG src="masterintermedx99x1.jpg" border=0>
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<P align=left><U><FONT face=sans-serif size=2>Item 2. Code of Ethics:</FONT></U><BR>
<BR>
<FONT face=sans-serif size=2>Not Applicable</FONT><BR>
<BR>
<U><FONT face=sans-serif size=2>Item 3. Audit Committee Financial Expert:</FONT></U><BR>
<BR>
<FONT face=sans-serif size=2>Not Applicable</FONT><BR>
<BR>
<U><FONT face=sans-serif size=2>Item 4. Principal Accountant Fees and Services:</FONT></U><BR>
<BR>
<FONT face=sans-serif size=2>Not Applicable</FONT><BR>
<BR>
<U><FONT face=sans-serif size=2>Item 5. Audit Committee</FONT></U><BR>
<BR>
<FONT face=sans-serif size=2>Not Applicable</FONT><BR>
<BR>
<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 Investment Companies:</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 8. Portfolio Managers of Closed - End Management Investment Companies</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>(a) Not applicable</FONT></P>
<P align=left><FONT face=sans-serif size=2>(b) </FONT><FONT face=sans-serif size=2>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 size=2>www.putnam.com</FONT></U><FONT face=sans-serif size=2>.</FONT></P>
<P align=left><FONT face=sans-serif size=2>During the period, Michael Atkin was named a Portfolio Member following the departure of Portfolio Member Jeffrey Kaufman.</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="20%"></TD>
     <TD width="13%"></TD>
     <TD width="22%"></TD>
     <TD width="43%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif>Portfolio</FONT></B> </TD>
     <TD noWrap align=center><B><FONT face=sans-serif>Joined</FONT></B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif>Members</FONT></B> </TD>
     <TD noWrap align=center><B><FONT face=sans-serif>Fund</FONT></B> </TD>
     <TD noWrap align=left><B><FONT face=sans-serif>Employer</FONT></B> </TD>
     <TD noWrap align=left><B><FONT face=sans-serif>Positions Over Past Five Years</FONT></B> </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif>Michael Atkin</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif>2007</FONT> </TD>
     <TD noWrap align=left><B><FONT face=sans-serif>Putnam</FONT></B> </TD>
     <TD noWrap align=left><FONT face=sans-serif>Senior Economist</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><B><FONT face=sans-serif>Management</FONT></B> </TD>
     <TD noWrap align=left><FONT face=sans-serif>Previously, Team Leader</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif>1997 &#150; Present</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif>Country Analysis</FONT> </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</FONT></P>
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<P align=left><FONT face=sans-serif>investment accounts) that were managed as of the end of the fund&#146;s fiscal period by the 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=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD align=center width="13%"></TD>
     <TD align=center width="11%"></TD>
     <TD align=center width="18%"></TD>
     <TD align=center width="10%"></TD>
     <TD align=center width="17%"></TD>
     <TD align=center width="11%"></TD>
     <TD align=center width="16%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center colSpan=2></TD></TR>
<TR>
     <TD align=center colSpan=7><FONT face=sans-serif size=2>&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center colSpan=2><FONT face=sans-serif size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD align=center colSpan=7><FONT face=sans-serif size=2>&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center colSpan=2></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center colSpan=2></TD>
     <TD noWrap align=center colSpan=2><STRONG><FONT face=sans-serif size=2>Other accounts (including</FONT></STRONG> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center></TD>
     <TD noWrap align=center colSpan=2></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center colSpan=2><STRONG><FONT face=sans-serif size=2>separate accounts, managed</FONT></STRONG><FONT face=sans-serif size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT><STRONG><FONT face=sans-serif size=2>Portfolio</FONT></STRONG> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center colSpan=2><STRONG><FONT face=sans-serif size=2>Other accounts that pool</FONT></STRONG> </TD>
     <TD noWrap align=center colSpan=2><STRONG><FONT face=sans-serif size=2>account programs and single-</FONT></STRONG> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><B><FONT face=sans-serif size=2>Leader or</FONT></B> </TD>
     <TD noWrap align=center colSpan=2><STRONG><FONT face=sans-serif size=2>Other SEC-registered open-</FONT></STRONG> </TD>
     <TD noWrap align=center colSpan=2><STRONG><FONT face=sans-serif size=2>assets from more than one</FONT></STRONG> </TD>
     <TD noWrap align=center colSpan=2><STRONG><FONT face=sans-serif size=2>sponsor defined contribution</FONT></STRONG><FONT face=sans-serif size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT><STRONG><FONT face=sans-serif size=2>Member</FONT></STRONG> </TD>
     <TD noWrap align=center colSpan=2><STRONG><FONT face=sans-serif size=2>end and closed-end funds</FONT></STRONG> </TD>
     <TD noWrap align=center colSpan=2><B><FONT face=sans-serif size=2>client</FONT></B> </TD>
     <TD noWrap align=center colSpan=2><STRONG><FONT face=sans-serif size=2>plan offerings)</FONT></STRONG></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD></TR>
<TR>
     <TD align=center colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=center colSpan=7><FONT face=sans-serif size=2>&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>Number</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>Assets</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>Number</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>Assets</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>Number</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>Assets</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>of</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>of</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>of</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>accounts</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>accounts</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>accounts</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>&nbsp; </FONT></TD></TR>
<TR>
     <TD align=center colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=center colSpan=7><FONT face=sans-serif size=2>&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT face=sans-serif size=2>Michael Atkin</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>6</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>$3,984,600,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>3</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>$458,300,000</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>3</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>$1,295,100,000</FONT> </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>
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<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 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 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 (except that pilot accounts do not participate in initial public offerings).</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</FONT></P>
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<P align="left">
<FONT face="sans-serif">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 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&#146;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 accounts 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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<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 federal 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">&middot; </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">&middot; </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></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 experience. 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">The following table shows the dollar ranges of shares of the fund owned as of September 30, 2005 and September 30, 2006 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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<P align=left><U><FONT face=sans-serif size=2>Item 9. Purchases of Equity Securities by Closed - End Management Investment Companies and Affiliated Purchasers:</FONT></U></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD align=left width="20%"></TD>
     <TD align=center width="20%"></TD>
     <TD align=center width="20%"></TD>
     <TD align=center width="20%"></TD>
     <TD align=center width="20%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=2>Registrant Purchase of Equity Securities</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>Maximum</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>Total Number</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>Number (or</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>of Shares</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>Approximate</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>Purchased</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>Dollar Value )</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>as Part</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>of Shares</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>of Publicly</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>that May Yet Be</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>Total Number</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>Average</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>Announced</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>Purchased</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>of Shares</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>Price Paid</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>Plans or</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>under the Plans</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><U><FONT face=sans-serif size=2>Period</FONT></U> </TD>
     <TD noWrap align=center><U><FONT face=sans-serif size=2>Purchased</FONT></U> </TD>
     <TD noWrap align=center><U><FONT face=sans-serif size=2>per Share</FONT></U> </TD>
     <TD noWrap align=center><U><FONT face=sans-serif size=2>Programs*</FONT></U> </TD>
     <TD noWrap align=center><U><FONT face=sans-serif size=2>or Programs**</FONT></U> </TD></TR>
<TR>
     <TD align=left colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>October 1 -</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>October 5,</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2007</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>-</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>-</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>-</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>-</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>October 6 -</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>October 31,</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2007</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>-</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>-</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>-</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>8,113,703</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>November 1 -</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>November 30,</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2007</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>215,098</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>$6.31</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>215,098</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>7,898,605</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>December 1 -</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>December 31,</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2007</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>51,487</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>$6.36</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>51,487</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>7,847,118</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>January 1 -</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>January 31,</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2008</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>-</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>-</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>-</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>7,847,118</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>February 1 -</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>February 28,</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2008</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>-</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>-</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>-</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>7,847,118</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>March 1 -</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>March 31,</FONT> </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2008</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>-</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>-</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>-</FONT> </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>7,847,118</FONT> </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 October 6, 2006. 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. </FONT><FONT face=sans-serif size=2>In September 2007, the Trustees announced </FONT><FONT face=sans-serif size=2>that the repurchase program was increased to allow repurchases up to a total 8,113,703 shares through October 7, 2008.</FONT></P>
<P align=left><FONT face=sans-serif size=2>**Information prior to October 6, 2007 is based on the total number of shares eligible for repurchase under the program, as amended through September 15, 2006. Information from October 6, 2007</FONT></P>
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<P align=left><FONT face=sans-serif size=2>forward is based on the total number of shares eligible for repurchase under the program, as amended through September 2007.</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: Not applicable </FONT></P>
<P align=left><U><FONT face=sans-serif size=2>Item 12. Exhibits: </FONT></U></P>
<P align=left><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></P>
<P align=left><FONT face=sans-serif size=2>By (Signature and Title):</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>/s/Janet C. Smith</FONT></U><BR>
<FONT face=sans-serif size=2>Janet C. Smith</FONT><BR>
<FONT face=sans-serif size=2>Principal Accounting Officer</FONT><BR>
<BR>
<FONT face=sans-serif size=2>Date: May 30, 2008</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></P>
<P align=left><U><FONT face=sans-serif size=2>/s/Charles E. Porter</FONT></U><BR>
<FONT face=sans-serif size=2>Charles E. Porter</FONT></P>
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<P align="left">
<FONT size=2 face="sans-serif">Principal Executive Officer</FONT><BR>
<BR>
<FONT size=2 face="sans-serif">Date: May 30, 2008</FONT><BR>
<FONT size=2 face="sans-serif">By (Signature and Title):</FONT><BR>
<BR>
<U><FONT size=2 face="sans-serif">/s/Steven D. Krichmar</FONT></U><BR>
<FONT size=2 face="sans-serif">Steven D. Krichmar</FONT><BR>
<FONT size=2 face="sans-serif">Principal Financial Officer</FONT><BR>
<BR>
<FONT size=2 face="sans-serif">Date: May 30, 2008</FONT></P>

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<DOCUMENT>
<TYPE>EX-99.CERT
<SEQUENCE>2
<FILENAME>b_masterintcert.htm
<DESCRIPTION>EX-99.CERT
<TEXT>

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<A name="page_1"></A>

<P align="left">
<U><FONT size=2 face="sans-serif">Certifications</FONT></U></P>
<P align="left">
<FONT size=2 face="sans-serif">I, Charles E. Porter, the Principal Executive Officer of the funds listed on Attachment A, certify that:</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">1. I have reviewed each report on Form N-CSR of the funds listed on Attachment A:</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such
statements were made, not misleading with respect to the period covered by each report;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">3. Based on my knowledge, the 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 size=2 face="sans-serif">4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal
control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its
consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of
financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">c) evaluated the effectiveness of the registrant'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 size=2 face="sans-serif">d) disclosed in this report any change in the registrant&#146;s internal control over financial reporting that occurred during the registrant&#146;s most recent fiscal quarter that has materially affected, or is
reasonably likely to materially affect, the registrant&#146;s internal control over financial reporting; and</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">5. The registrant'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 size=2 face="sans-serif">a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant's ability to record,
process, summarize, and report financial information; and</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant's internal control over financial reporting.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">Date: May 28, 2008</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">/s/ Charles E. Porter</FONT><BR>
<FONT size=2 face="sans-serif">_______________________</FONT><BR>
<FONT size=2 face="sans-serif">Charles E. Porter</FONT><BR>
<FONT size=2 face="sans-serif">Principal Executive Officer</FONT></P>

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<!--$$/page=-->
<A name="page_2"></A>

<P align="left">
<U><FONT size=2 face="sans-serif">Certifications</FONT></U></P>
<P align="left">
<FONT size=2 face="sans-serif">I, Steven D. Krichmar, the Principal Financial Officer of the funds listed on Attachment A, certify that:</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">1. I have reviewed each report on Form N-CSR of the funds listed on Attachment A:</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such
statements were made, not misleading with respect to the period covered by each report;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">3. Based on my knowledge, the 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 size=2 face="sans-serif">4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal
control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its
consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of
financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">c) evaluated the effectiveness of the registrant'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 size=2 face="sans-serif">d) disclosed in this report any change in the registrant&#146;s internal control over financial reporting that occurred during the registrant&#146;s most recent fiscal quarter that has materially affected, or is
reasonably likely to materially affect, the registrant&#146;s internal control over financial reporting; and</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">5. The registrant'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 size=2 face="sans-serif">a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant's ability to record,
process, summarize, and report financial information; and</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant's internal control over financial reporting.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">Date: May 28, 2008</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">/s/ Steven D. Krichmar</FONT><BR>
<FONT size=2 face="sans-serif">_______________________</FONT><BR>
<FONT size=2 face="sans-serif">Steven D. Krichmar</FONT><BR>
<FONT size=2 face="sans-serif">Principal Financial Officer</FONT></P>

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<A name="page_3"></A>
<P align=center><FONT face=sans-serif size=2>Attachment A</FONT><BR>
<FONT face=sans-serif size=2>N-CSR</FONT><BR>
<FONT face=sans-serif size=2>Period (s) ended March 31, 2008</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="6%"></TD>
     <TD width="93%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>074</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Master Intermediate Income Trust</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>027</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam California Tax Exempt Income Fund</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>033</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam American Government Income Fund</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>011</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Tax Exempt Income Fund</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>539</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam International New Opportunities Fund</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>032</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam U. S. Government Income Trust</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>010</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Money Market Fund</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>062</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Tax Exempt Money Market Fund</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>23T</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Prime Money Market Fund</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>075</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Diversified Income Trust</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>259</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Asset Allocation: Balanced Portfolio</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>250</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Asset Allocation: Growth Portfolio</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>264</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Asset Allocation: Conservative Portfolio</FONT> </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

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</DOCUMENT>
<DOCUMENT>
<TYPE>EX-99.906 CERT
<SEQUENCE>3
<FILENAME>c_masterintcertnos.htm
<DESCRIPTION>EX-99.906 CERT
<TEXT>

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<P align="left">
<U><FONT size=2 face="sans-serif">Section 906 Certifications</FONT></U></P>
<P align="left">
<FONT size=2 face="sans-serif">I, Charles E. Porter, the Principal Executive Officer of the Funds listed on Attachment A, certify that, to my knowledge:</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">1. The form N-CSR of the Funds listed on Attachment A for the period ended March 31, 2008 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 size=2 face="sans-serif">2. The information contained in the Form N-CSR of the Funds listed on Attachment A for the period ended March 31, 2008 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 size=2 face="sans-serif">Date: May 28, 2008</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">/s/ Charles E. Porter</FONT><BR>
<FONT size=2 face="sans-serif">______________________</FONT><BR>
<FONT size=2 face="sans-serif">Charles E. Porter</FONT><BR>
<FONT size=2 face="sans-serif">Principal Executive Officer</FONT></P>

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<!--$$/page=-->
<A name="page_2"></A>

<P align="left">
<U><FONT size=2 face="sans-serif">Section 906 Certifications</FONT></U></P>
<P align="left">
<FONT size=2 face="sans-serif">I, Steven D. Krichmar, the Principal Financial Officer of the Funds listed on Attachment A, certify that, to my knowledge:</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">1. The form N-CSR of the Funds listed on Attachment A for the period ended March 31, 2008 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 size=2 face="sans-serif">2. The information contained in the Form N-CSR of the Funds listed on Attachment A for the period ended March 31, 2008 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 size=2 face="sans-serif">Date: May 28, 2008</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">/s/ Steven D. Krichmar</FONT><BR>
<FONT size=2 face="sans-serif">______________________</FONT><BR>
<FONT size=2 face="sans-serif">Steven D. Krichmar</FONT><BR>
<FONT size=2 face="sans-serif">Principal Financial Officer</FONT></P>

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<A name="page_3"></A>
<P align=left><FONT face=sans-serif size=2>Attachment A</FONT><BR>
<FONT face=sans-serif size=2>N-CSR</FONT><BR>
<FONT face=sans-serif size=2>Period (s) ended March 31, 2008</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="6%"></TD>
     <TD width="93%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif>074</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif>Putnam Master Intermediate Income Trust</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif>027</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif>Putnam California Tax Exempt Income Fund</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif>033</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif>Putnam American Government Income Fund</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif>011</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif>Putnam Tax Exempt Income Fund</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif>539</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif>Putnam International New Opportunities Fund</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif>032</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif>Putnam U. S. Government Income Trust</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif>010</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif>Putnam Money Market Fund</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif>062</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif>Putnam Tax Exempt Money Market Fund</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif>23T</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif>Putnam Prime Money Market Fund</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif>075</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif>Putnam Diversified Income Trust</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif>259</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif>Putnam Asset Allocation: Balanced Portfolio</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif>250</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif>Putnam Asset Allocation: Growth Portfolio</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif>264</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif>Putnam Asset Allocation: Conservative Portfolio</FONT> </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

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