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<SEC-DOCUMENT>0000928816-08-001152.txt : 20080828
<SEC-HEADER>0000928816-08-001152.hdr.sgml : 20080828
<ACCEPTANCE-DATETIME>20080828131141
ACCESSION NUMBER:		0000928816-08-001152
CONFORMED SUBMISSION TYPE:	N-Q
PUBLIC DOCUMENT COUNT:		2
CONFORMED PERIOD OF REPORT:	20080630
FILED AS OF DATE:		20080828
DATE AS OF CHANGE:		20080828
EFFECTIVENESS DATE:		20080828

FILER:

	COMPANY DATA:	
		COMPANY CONFORMED NAME:			PUTNAM MASTER INTERMEDIATE INCOME TRUST
		CENTRAL INDEX KEY:			0000830622
		IRS NUMBER:				046584465
		FISCAL YEAR END:			0930

	FILING VALUES:
		FORM TYPE:		N-Q
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-05498
		FILM NUMBER:		081044684

	BUSINESS ADDRESS:	
		STREET 1:		ONE POST OFFICE SQ
		CITY:			BOSTON
		STATE:			MA
		ZIP:			02109
		BUSINESS PHONE:		6172921562

	MAIL ADDRESS:	
		STREET 1:		ONE POST OFFICE SQ
		CITY:			BOSTON
		STATE:			MA
		ZIP:			02109
</SEC-HEADER>
<DOCUMENT>
<TYPE>N-Q
<SEQUENCE>1
<FILENAME>a_masintmedinc.htm
<DESCRIPTION>PUTNAM MASTER INTERMEDIATE INCOME TRUST
<TEXT>
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     <TD noWrap align=center colSpan=3><FONT face=sans-serif size=2>UNITED STATES</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center colSpan=3><FONT face=sans-serif size=2>SECURITIES AND EXCHANGE COMMISSION</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center colSpan=3><FONT face=sans-serif size=2>Washington, D.C. 20549</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=center colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center colSpan=3><B><FONT face=sans-serif size=2>FORM N-Q</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=center colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center colSpan=3><B><FONT face=sans-serif size=2>QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=center colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center colSpan=3><B><FONT face=sans-serif size=2>INVESTMENT COMPANY</FONT></B>&nbsp; </TD></TR>
<TR>
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<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Investment Company Act file number: (811- </FONT><FONT face=sans-serif size=2>05498</FONT><FONT face=sans-serif size=2>)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
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     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=2>Exact name of registrant as specified in charter:</FONT> <FONT face=sans-serif size=2>Putnam Master Intermediate Income Trust</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=2>Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Name and address of agent for service:</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Beth S. Mazor, Vice President</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>One Post Office Square</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Boston, Massachusetts 02109</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=center></TD>
     <TD noWrap align=left colSpan=2>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT face=sans-serif size=2>Copy to:</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>John W. Gerstmayr, Esq.</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Ropes &amp; Gray LLP</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>One International Place</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Boston, Massachusetts 02110</FONT>&nbsp; </TD></TR>
<TR>
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     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Registrant&#146;s telephone number, including area code:</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>(617) 292-1000</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Date of fiscal year end: </FONT><FONT face=sans-serif size=2>September 30, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Date of reporting period: June 30, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR></TABLE><BR>
<P align=left><U><FONT face=sans-serif size=2>Item 1. Schedule of Investments:</FONT></U></P>
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<P align=left><FONT face=sans-serif size=5>Putnam Master Intermediate Income Trust</FONT><BR>
<FONT face=sans-serif>The fund's portfolio</FONT><BR>
<FONT face=sans-serif size=2>6/30/08 (Unaudited)</FONT></P>
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<TR>
     <TD width="49%"></TD>
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     <TD width="10%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (99.9%)(a)</FONT></B>&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>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>U.S. Government Guaranteed Mortgage Obligations (0.4%)</FONT></B>&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=2>Government National Mortgage Association Pass-Through</FONT>&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=2>Certificates</FONT>&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=2>6 1/2s, with due dates from August 20, 2037 to</FONT>&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=2>October 20, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$1,854,811</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$1,917,846</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <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><B><FONT face=sans-serif size=2>1,917,846</FONT></B>&nbsp; </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><B><FONT face=sans-serif size=2>U.S. Government Agency Mortgage Obligations (99.5%)</FONT></B>&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=2>Federal Home Loan Mortgage Corporation Pass-Through</FONT>&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=2>Certificates 6s, July 1, 2021</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>50,830</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>52,113</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Federal National Mortgage Association Pass-Through</FONT>&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=2>Certificates</FONT>&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=2>6 1/2s, with due dates from March 1, 2036 to</FONT>&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=2>December 1, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,492,696</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,539,108</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>6s, with due dates from August 1, 2037 to</FONT>&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=2>September 1, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,377,423</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,429,785</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>6s, May 1, 2021</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,928,568</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,030,465</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>6s, TBA, July 1, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>8,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>8,069,375</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>5 1/2s, with due dates from May 1, 2037 to</FONT>&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=2>December 1, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>6,745,838</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>6,657,298</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>5 1/2s, with due dates from March 1, 2020 to</FONT>&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=2>January 1, 2021</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,463,211</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,479,531</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>5 1/2s, TBA, August 1, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,948,789</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>5 1/2s, TBA, July 1, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>206,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>202,974,375</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>5s, May 1, 2021</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>91,583</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>90,965</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>5s, TBA, August 1, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>70,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>66,926,566</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>5s, TBA, July 1, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>153,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>146,605,074</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>4 1/2s, with due dates from August 1, 2033 to</FONT>&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=2>June 1, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,550,711</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,370,303</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <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><B><FONT face=sans-serif size=2>448,173,747</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Total U.S. government and agency mortgage obligations (cost $450,126,638)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>$450,091,593</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>COLLATERALIZED MORTGAGE OBLIGATIONS (42.9%)(a)</FONT></B>&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>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Asset Backed Funding Certificates 144A FRB Ser.</FONT>&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=2>06-OPT3, Class B, 4.983s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$52,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$2,973</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Banc of America Alternative Loan Trust Ser. 06-7,</FONT>&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=2>Class A2, 5.707s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,981,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,756,074</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Banc of America Commercial Mortgage, Inc.</FONT>&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=2>Ser. 01-1, Class G, 7.324s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>325,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>324,894</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 07-3, Class A3, 5.838s, 2049</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>168,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>163,828</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 07-2, Class A2, 5.634s, 2049 (F)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>513,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>502,807</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 05-6, Class A2, 5.165s, 2047</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,131,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,116,446</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 07-5, Class XW, Interest Only (IO), 0.607s, 2051</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>113,099,166</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,792,851</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Banc of America Commercial Mortgage, Inc. 144A</FONT>&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=2>Ser. 01-1, Class J, 6 1/8s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>163,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>158,140</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 01-1, Class K, 6 1/8s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>367,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>289,832</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Banc of America Funding Corp. FRB Ser. 06-D,</FONT>&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=2>Class 6A1, 5.991s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,976,724</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,366,495</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Banc of America Large Loan 144A FRB Ser. 05-MIB1,</FONT>&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=2>Class K, 4.471s, 2022</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>645,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>528,900</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Bayview Commercial Asset Trust 144A</FONT>&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=2>Ser. 07-5A, IO, 1.55s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,430,548</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>180,392</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 07-1, Class S, IO, 1.211s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,943,378</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>385,662</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Bear Stearns Alternate Trust FRB Ser. 06-5, Class 2A2,</FONT>&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=2>6 1/4s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,242,637</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,733,839</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Bear Stearns Commercial Mortgage Securities, Inc.</FONT>&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=2>FRB Ser. 00-WF2, Class F, 8.448s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>410,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>383,054</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 07-PW17, Class A3, 5.736s, 2050</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,068,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,982,633</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Bear Stearns Commercial Mortgage Securities, Inc. 144A</FONT>&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=2>Ser. 07-PW18, Class X1, IO, 0.063s, 2050</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>62,700,721</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>522,504</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Broadgate Financing PLC sec. FRB Ser. D, 6.802s, 2023</FONT>&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=2>(United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>396,625</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>594,891</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Citigroup Mortgage Loan Trust, Inc.</FONT>&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=2>FRB Ser. 06-AR5, Class 2A5A, 6.208s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$1,489,346</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,081,969</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 06-AR7, Class 2A2A, 5.662s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>257,158</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>193,511</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-6, Class 2A5, IO, 4.168s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,829,221</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>132,199</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Citigroup/Deutsche Bank Commercial Mortgage Trust Ser.</FONT>&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=2>06-CD3, Class A4, 5.658s, 2048</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>106,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>104,372</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Citigroup/Deutsche Bank Commercial Mortgage Trust 144A</FONT>&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=2>Ser. 07-CD5, Class XS, IO, 0.067s, 2044</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>36,661,750</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>256,900</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Commercial Mortgage Pass-Through Certificates 144A FRB</FONT>&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=2>Ser. 05-F10A, Class A1, 2.571s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>253,745</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>246,821</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Countrywide Alternative Loan Trust</FONT>&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=2>Ser. 06-45T1, Class 2A2, 6s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>928,436</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>755,660</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 06-J8, Class A4, 6s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,311,388</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,883,781</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 07-HY5R, Class 2A1A, 5.544s, 2047 (F)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,837,023</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,658,646</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 04-2CB, Class 1A5, IO, 5.118s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,957,595</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>102,468</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Countrywide Home Loans</FONT>&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=2>FRB Ser. 05-HYB7, Class 6A1, 5.713s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>47,790</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>37,276</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 05-2, Class 2X, IO, 1.16s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,813,456</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>58,028</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Countrywide Home Loans 144A IFB Ser. 05-R1, Class 1AS,</FONT>&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=2>IO, 3.597s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,330,304</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>217,037</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Credit Suisse Mortgage Capital Certificates</FONT>&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=2>FRB Ser. 07-C4, Class A2, 6.005s, 2039</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>814,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>807,023</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 07-C5, Class A3, 5.694s, 2040</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>11,100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>10,685,459</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>CRESI Finance Limited Partnership 144A FRB Ser. 06-A,</FONT>&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></TABLE><BR>
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     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Class C, 3.083s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>251,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>234,685</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>CS First Boston Mortgage Securities Corp. 144A</FONT>&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=2>Ser. 98-C1, Class F, 6s, 2040</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>966,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>676,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 02-CP5, Class M, 5 1/4s, 2035 (F)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>354,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>108,111</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 05-TFLA, Class L, 4.321s, 2020</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>699,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>597,645</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 05-TFLA, Class K, 3.771s, 2020</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>388,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>325,920</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Deutsche Mortgage &amp; Asset Receiving Corp. Ser. 98-C1,</FONT>&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=2>Class X, IO, 0.771s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,178,299</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>96,835</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>DLJ Commercial Mortgage Corp. Ser. 98-CF2, Class B4,</FONT>&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=2>6.04s, 2031 (F)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>286,492</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>263,025</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>DLJ Commercial Mortgage Corp. 144A Ser. 98-CF2,</FONT>&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=2>Class B5, 5.95s, 2031 (F)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>915,958</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>744,483</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>European Loan Conduit 144A FRB Ser. 22A, Class D,</FONT>&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=2>6.728s, 2014 (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>507,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>789,140</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>European Prime Real Estate PLC 144A FRB Ser. 1-A,</FONT>&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=2>Class D, 6.721s, 2014 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>276,392</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>450,364</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Fannie Mae</FONT>&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=2>IFB Ser. 06-70, Class SM, 33.724s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$221,192</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>285,574</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-1, Class NR, 28.633s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>920,908</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,040,530</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-62, Class PS, 25.005s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>676,674</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>852,724</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-76, Class QB, 24.705s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,640,360</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,063,663</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-70, Class SJ, 24.705s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>112,314</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>141,510</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-63, Class SP, 24.405s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,795,454</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,230,574</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-W7, Class 1A4, 24.285s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>579,155</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>688,044</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-104, Class GS, 21.747s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>341,556</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>410,496</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-60, Class TK, 18.67s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>497,825</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>575,893</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 05-25, Class PS, 17.237s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>683,726</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>771,539</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 05-74, Class CP, 15.648s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>472,651</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>530,753</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 05-115, Class NQ, 15.628s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>268,258</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>288,216</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-27, Class SP, 15.464s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>762,423</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>848,918</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-8, Class HP, 15.464s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>797,596</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>886,194</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-8, Class WK, 15.464s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,277,262</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,408,166</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 05-106, Class US, 15.464s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,144,798</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,277,438</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 05-99, Class SA, 15.464s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>556,720</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>609,774</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-60, Class CS, 14.988s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>830,406</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>863,182</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 05-74, Class CS, 13.193s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>538,864</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>582,946</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 04-79, Class S, 12.973s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>787,607</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>822,579</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 05-114, Class SP, 12.753s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>335,255</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>347,597</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 05-95, Class OP, 12.687s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>339,383</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>346,916</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 05-95, Class CP, 12.496s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>82,161</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>88,624</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 05-83, Class QP, 10.94s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>193,149</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>192,214</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 90, IO, 8s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>81,261</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>14,285</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 04-T2, Class 1A4, 7 1/2s, 2043</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>251,209</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>268,860</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 02-T19, Class A3, 7 1/2s, 2042</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>209,568</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>223,516</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 02-14, Class A2, 7 1/2s, 2042</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,519</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,613</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 01-T10, Class A2, 7 1/2s, 2041</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>200,566</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>212,679</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 02-T4, Class A3, 7 1/2s, 2041</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>905</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>960</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 01-T3, Class A1, 7 1/2s, 2040</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>130,822</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>138,541</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 01-T1, Class A1, 7 1/2s, 2040</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>394,746</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>421,302</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 99-T2, Class A1, 7 1/2s, 2039</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>157,836</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>170,318</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 386, Class 26, IO, 7 1/2s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>123,352</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>21,191</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 386, Class 27, IO, 7 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>82,049</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>14,095</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 386, Class 28, IO, 7 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>84,672</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>14,546</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 88, IO, 7 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>130,308</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>24,494</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 89, IO, 7 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>101,742</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>19,206</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 87, IO, 7 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>162,180</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>31,590</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 00-T6, Class A1, 7 1/2s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>77,074</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>81,598</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 01-T4, Class A1, 7 1/2s, 2028</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>377,840</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>405,105</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 04-W12, Class 1A3, 7s, 2044</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>288,526</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>304,954</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 01-T10, Class A1, 7s, 2041</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>794,677</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>833,927</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 386, Class 24, IO, 7s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>102,923</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>19,116</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 386, Class 25, IO, 7s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>109,364</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>20,455</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 386, Class 22, IO, 7s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>141,590</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>27,191</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 386, Class 21, IO, 7s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>159,493</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>31,281</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 386, Class 23, IO, 7s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>156,117</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>29,199</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 84, IO, 7s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>146,277</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>31,014</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 85, IO, 7s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>93,006</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>19,468</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 86, IO, 7s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>84,369</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>17,660</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 79, IO, 7s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>150,703</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>32,779</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 80, IO, 7s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>325,896</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>72,190</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 81, IO, 7s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>180,865</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>37,751</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 82, IO, 7s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>177,637</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>36,240</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 83, IO, 7s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>148,545</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>31,197</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 386, Class 20, IO, 6 1/2s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>154,910</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>31,982</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 389, Class 7, IO, 6 1/2s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>166,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>35,296</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 386, Class 14, IO, 6 1/2s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,277,309</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>280,824</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 386, Class 12, IO, 6 1/2s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>835,605</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>176,859</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 386, Class 19, IO, 6 1/2s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>151,665</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>30,857</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 386, Class 15, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>211,521</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>44,282</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 386, Class 17, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>231,740</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>49,350</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 386, Class 18, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>171,050</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>36,118</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 386, Class 13, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>218,667</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>44,532</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 386, Class 16, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>158,627</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>33,749</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 60, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>738,660</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>170,734</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 62, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>203,056</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>46,040</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 69, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>115,914</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>26,282</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 63, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>159,366</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>35,305</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 64, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>296,198</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>67,693</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 67, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>155,257</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>35,079</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 68, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>91,692</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>20,781</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 58, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>345,238</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>77,760</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 59, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>215,964</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>47,801</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 61, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>172,258</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>38,265</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 65, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>203,116</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>46,826</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 66, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>207,598</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>47,714</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 72, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>826,592</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>191,711</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 77, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>123,771</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>28,223</FONT>&nbsp; </TD></TR></TABLE><BR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 78, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>126,706</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>28,816</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 73, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>281,640</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>63,799</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 76, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>168,329</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>39,259</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 70, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>435,087</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>98,646</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 74, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>232,032</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>52,445</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 71, IO, 6 1/2s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>183,553</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>41,286</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 75, IO, 6 1/2s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>147,850</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>34,084</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 371, Class 2, IO, 6 1/2s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>13,749,432</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,653,575</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 101, IO, 6 1/2s, 2022</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>77,969</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>12,269</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 389, Class 1, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>192,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>41,721</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 389, Class 6, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>216,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>41,004</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 386, Class 10, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>110,819</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>24,639</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 386, Class 11, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>94,174</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>21,381</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 386, Class 8, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>988,522</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>211,388</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 389, Class 3, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>339,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>78,306</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 40, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,414,694</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>325,119</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 41, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,242,176</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>285,224</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 42, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>897,686</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>207,199</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 43, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>811,475</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>187,868</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 44, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>741,373</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>171,120</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 45, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>570,383</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>133,305</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 46, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>496,040</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>115,881</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 47, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>439,669</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>102,712</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 48, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>394,597</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>92,459</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 52, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>159,703</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>37,420</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 389, Class 2, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>269,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>56,166</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 389, Class 5, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>401,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>88,983</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 389, Class 4, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>402,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>85,221</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 386, Class 9, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>708,669</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>157,139</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 28, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,480,627</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>343,837</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 29, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,331,642</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>310,038</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 30, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>983,110</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>230,561</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 31, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>867,274</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>203,395</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 32, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>672,135</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>158,907</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 33, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>576,047</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>136,189</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 37, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>222,918</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>53,103</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 386, Class 7, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>864,211</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>208,637</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 34, IO, 6s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>232,600</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>53,852</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 35, IO, 6s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>192,929</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>44,552</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 36, IO, 6s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>152,340</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>35,346</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 38, IO, 6s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>94,960</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>21,938</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 50, IO, 6s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>270,057</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>61,578</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 386, Class 6, IO, 6s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>416,035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>95,701</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 39, IO, 6s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>91,292</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>20,890</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 49, IO, 6s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>203,510</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>46,770</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 51, IO, 6s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>209,842</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>47,848</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 53, IO, 6s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>88,094</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>20,289</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 57, IO, 6s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>127,857</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>29,511</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 100, IO, 6s, 2022</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>82,040</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>12,884</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 98, IO, 6s, 2022</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>227,776</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>36,749</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 99, IO, 6s, 2022</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>100,408</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>15,738</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 17, IO, 5 1/2s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,163,913</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>268,919</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 18, IO, 5 1/2s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>776,386</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>180,311</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 19, IO, 5 1/2s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>708,701</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>164,591</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 25, IO, 5 1/2s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>121,510</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>27,190</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 386, Class 3, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>428,543</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>97,741</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 386, Class 4, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>174,904</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>40,607</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 386, Class 5, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>112,537</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>26,542</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 14, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>277,497</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>64,728</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 15, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>107,445</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>24,516</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 3, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,226,200</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>281,130</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 4, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,082,728</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>249,746</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 5, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>687,746</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>158,638</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 6, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>617,607</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>142,891</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 7, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>609,484</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>140,586</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 10, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>224,174</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>53,810</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 11, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>155,367</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>36,907</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 12, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>142,157</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>33,854</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 13, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>143,139</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>34,087</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 8, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>246,166</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>59,089</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 9, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>234,689</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>56,334</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 20, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>437,875</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>103,789</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 21, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>413,559</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>98,026</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 22, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>280,218</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>66,252</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 23, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>252,969</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>59,810</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 24, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>177,829</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>40,643</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 26, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>129,965</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>30,883</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 363, Class 2, IO, 5 1/2s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,324,140</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>346,692</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 95, IO, 5 1/2s, 2022</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>355,603</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>58,972</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 97, IO, 5 1/2s, 2022</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>150,661</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>24,058</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 94, IO, 5 1/2s, 2022</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>178,524</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>29,112</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 96, IO, 5 1/2s, 2022</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>195,218</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>30,358</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-W6, Class 6A2, IO, 5.318s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,049,865</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>111,537</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-90, Class SE, IO, 5.318s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,316,469</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>305,816</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 04-51, Class XP, IO, 5.218s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,198,500</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>248,619</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 03-66, Class SA, IO, 5.168s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>912,086</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>103,194</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 08-7, Class SA, IO, 5.068s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,582,473</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>575,192</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 2, IO, 5s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>115,248</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>27,730</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 1, IO, 5s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>249,617</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>58,597</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 389, Class 8, IO, 5s, 2023</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>149,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>19,962</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 92, IO, 5s, 2022</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>155,050</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>24,465</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 383, Class 93, IO, 5s, 2022</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>88,398</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>14,201</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-W6, Class 5A2, IO, 4.808s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,500,033</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>155,177</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-W2, Class 3A2, IO, 4.798s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,507,339</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>148,353</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-115, Class BI, IO, 4.778s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,253,662</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>95,940</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 05-113, Class AI, IO, 4.748s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>742,984</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>81,414</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 05-113, Class DI, IO, 4.748s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,865,086</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>461,119</FONT>&nbsp; </TD></TR></TABLE><BR>
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<TR>
     <TD width="49%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 08-36, Class YI, IO, 4.718s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,747,705</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>182,360</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-60, Class AX, IO, 4.668s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,209,820</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>443,370</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-60, Class SI, IO, 4.668s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,462,361</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>161,347</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-60, Class UI, IO, 4.668s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>589,633</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>65,780</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-W7, Class 3A2, IO, 4.648s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,750,780</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>163,445</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-60, Class DI, IO, 4.588s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,749,739</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>150,915</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 03-130, Class BS, IO, 4.568s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,347,088</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>227,158</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 03-34, Class WS, IO, 4.518s, 2029</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,259,089</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>195,917</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 08-10, Class LI, IO, 4.498s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,261,626</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>240,005</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-39, Class LI, IO, 4.288s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,217,495</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>117,649</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-23, Class SI, IO, 4.288s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>377,683</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>32,469</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-54, Class CI, IO, 4.278s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,124,377</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>110,228</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-39, Class PI, IO, 4.278s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>924,524</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>81,006</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-30, Class WI, IO, 4.278s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>5,313,224</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>437,124</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-28, Class SE, IO, 4.268s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>229,598</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>21,439</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-22, Class S, IO, 4.268s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>16,333,436</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,537,864</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-128, Class SH, IO, 4.268s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,012,669</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>83,272</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-56, Class SM, IO, 4.268s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,296,079</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>107,855</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 05-90, Class SP, IO, 4.268s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>644,497</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>54,517</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 05-12, Class SC, IO, 4.268s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>806,610</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>62,953</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-W5, Class 2A2, IO, 4.258s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>545,428</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>43,156</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-30, Class IE, IO, 4.258s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,747,339</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>296,705</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-123, Class CI, IO, 4.258s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,267,467</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>215,187</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-123, Class UI, IO, 4.258s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,171,613</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>202,793</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 05-45, Class EW, IO, 4.238s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>625,960</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>49,260</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-15, Class BI, IO, 4.218s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,671,225</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>337,559</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-126, Class CS, IO, 4.218s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,531,196</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>132,031</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-16, Class SM, IO, 4.218s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,263,255</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>208,218</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 05-95, Class CI, IO, 4.218s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,240,284</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>118,560</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 05-84, Class SG, IO, 4.218s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,030,393</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>195,468</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 05-57, Class NI, IO, 4.218s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>514,335</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>45,866</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 05-29, Class SX, IO, 4.218s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>845,768</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>75,607</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 04-92, Class S, IO, 4.218s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,955,708</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>247,097</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-104, Class EI, IO, 4.208s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,156,819</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>101,158</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 05-83, Class QI, IO, 4.208s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>333,834</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>34,378</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-128, Class GS, IO, 4.198s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,262,773</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>119,784</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 06-116, Class ES, IO, 4.168s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>186,856</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>15,153</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-114, Class IS, IO, 4.168s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,133,892</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>97,677</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 04-92, Class SQ, IO, 4.167s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,236,777</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>117,885</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-115, Class IE, IO, 4.158s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>885,831</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>79,729</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-117, Class SA, IO, 4.158s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,316,113</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>113,553</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-121, Class SD, IO, 4.158s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>144,993</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>12,624</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-109, Class SG, IO, 4.148s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>339,797</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>29,884</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-104, Class SY, IO, 4.138s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>305,231</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>24,867</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-109, Class SH, IO, 4.138s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,064,025</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>103,865</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-111, Class SA, IO, 4.138s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>7,072,680</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>663,111</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-W6, Class 4A2, IO, 4.118s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>6,126,743</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>529,182</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-128, Class SC, IO, 4.118s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,359,070</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>118,348</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-43, Class SI, IO, 4.118s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,336,879</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>196,338</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-8, Class JH, IO, 4.118s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,306,716</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>410,538</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 05-122, Class SG, IO, 4.118s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,031,300</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>92,867</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 05-95, Class OI, IO, 4.108s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>186,776</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>17,808</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-92, Class LI, IO, 4.098s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,294,692</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>113,865</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-99, Class AS, IO, 4.098s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>360,439</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>32,167</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-98, Class SQ, IO, 4.088s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>11,695,934</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,018,432</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-85, Class TS, IO, 4.078s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,861,732</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>230,740</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-75, Class PI, IO, 4.058s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,396,119</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>113,815</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-88, Class MI, IO, 4.038s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>517,557</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>37,868</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-103, Class AI, IO, 4.018s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>6,088,864</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>514,579</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-15, Class NI, IO, 4.018s, 2022</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,134,493</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>164,841</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-106, Class SM, IO, 3.978s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,284,582</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>251,934</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 08-3, Class SC, IO, 3.968s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,470,745</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>194,861</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-109, Class XI, IO, 3.968s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>879,705</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>73,089</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-109, Class YI, IO, 3.968s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,376,650</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>104,191</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-W8, Class 2A2, IO, 3.968s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,275,327</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>182,705</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-88, Class JI, IO, 3.968s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,624,052</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>136,130</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-79, Class SH, IO, 3.968s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,016,475</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>180,126</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-54, Class KI, IO, 3.958s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>700,312</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>51,608</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-30, Class JS, IO, 3.958s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,498,748</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>209,211</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-30, Class LI, IO, 3.958s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,440,312</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>210,205</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-W2, Class 1A2, IO, 3.948s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>999,845</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>82,886</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-106, Class SN, IO, 3.928s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,343,864</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>100,803</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-54, Class IA, IO, 3.928s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,240,670</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>105,479</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-54, Class IB, IO, 3.928s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,240,670</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>105,479</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-54, Class IC, IO, 3.928s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,240,670</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>105,479</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-54, Class ID, IO, 3.928s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,240,670</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>105,479</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-54, Class IE, IO, 3.928s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,240,670</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>105,479</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-54, Class IF, IO, 3.928s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,979,185</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>167,220</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-54, Class NI, IO, 3.928s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,072,982</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>87,238</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-54, Class UI, IO, 3.928s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,814,988</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>161,479</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-91, Class AS, IO, 3.918s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>914,319</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>69,489</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-91, Class HS, IO, 3.918s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>974,532</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>71,263</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-15, Class CI, IO, 3.898s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,213,867</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>353,812</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-123, Class BI, IO, 3.898s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>5,509,664</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>452,048</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-115, Class JI, IO, 3.898s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,058,759</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>256,960</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-109, Class PI, IO, 3.868s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,472,460</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>112,637</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-123, Class LI, IO, 3.838s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,041,383</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>163,649</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 08-1, Class NI, IO, 3.768s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,694,698</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>183,765</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 08-10, Class GI, IO, 3.748s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,601,841</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>113,827</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 08-13, Class SA, IO, 3.738s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>6,498,221</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>465,240</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-39, Class AI, IO, 3.638s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,300,097</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>165,608</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-32, Class SD, IO, 3.628s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,462,849</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>101,999</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-30, Class UI, IO, 3.618s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,212,088</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>91,491</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-32, Class SC, IO, 3.618s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,074,111</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>151,622</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-1, Class CI, IO, 3.618s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,402,844</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>103,825</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 05-74, Class SE, IO, 3.618s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,661,062</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>100,961</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 05-14, Class SE, IO, 3.568s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,042,661</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>65,005</FONT>&nbsp; </TD></TR></TABLE><BR>
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<TR>
     <TD width="49%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 08-1, Class BI, IO, 3.428s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,168,404</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>234,006</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-75, Class ID, IO, 3.388s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,412,941</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>95,770</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 03-W17, Class 12, IO, 1.15s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,119,147</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>76,813</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 03-W10, Class 3A, IO, 0.741s, 2043</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,520,405</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>61,846</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 03-W10, Class 1A, IO, 0.7s, 2043</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,915,153</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>42,584</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 02-T18, IO, 0.514s, 2042</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>5,871,074</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>94,537</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 06-117, Class OA, Principal Only (PO), zero %,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>80,942</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>58,171</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 06-56, Class XF, zero %, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>87,400</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>81,387</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 04-38, Class AO, PO, zero %, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>300,226</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>215,824</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 04-61, Class CO, PO, zero %, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>477,966</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>398,663</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 99-51, Class N, PO, zero %, 2029</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>57,207</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>48,384</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 07-31, Class TS, IO, zero %, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,005,035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>28,893</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 07-15, Class IM, IO, zero %, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,214,439</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>10,718</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 07-16, Class TS, IO, zero %, 2009 (F)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,930,325</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>35,845</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 05-91, Class EF, zero %, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>80,902</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>70,404</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 06-54, Class CF, zero %, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>128,444</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>114,782</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Federal Home Loan Mortgage Corp. Structured</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>Pass-Through Securities</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>Ser. T-58, Class 4A, 7 1/2s, 2043</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,982</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>5,320</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. T-60, Class 1A2, 7s, 2044</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,468,647</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,551,300</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. T-56, Class 2ASI, IO, 5.618s, 2043</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>710,753</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>80,173</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. T-57, Class 1AX, IO, 0.45s, 2043</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,911,959</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>24,473</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FFCA Secured Lending Corp. 144A Ser. 00-1, Class X,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>IO, 1.33s, 2020</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,915,653</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>250,245</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>First Chicago Lennar Trust 144A Ser. 97-CHL1, Class E,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>7.979s, 2039</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>426,909</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>426,909</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Freddie Mac</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>IFB Ser. 3153, Class JS, 20.744s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>595,258</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>699,529</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3182, Class PS, 18.715s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>182,052</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>216,907</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3182, Class SP, 18.715s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>420,751</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>460,293</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3393, Class JS, 18.138s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>607,998</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>616,125</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3081, Class DC, 18.039s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>455,139</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>509,446</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3211, Class SI, IO, 17.275s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>330,057</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>131,767</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3114, Class GK, 16.515s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>318,590</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>351,448</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 2979, Class AS, 15.212s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>202,060</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>213,950</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3149, Class SU, 12.867s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>380,493</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>387,705</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3065, Class DC, 12.446s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>740,320</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>749,840</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3226, Class TY, 11.584s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,017,527</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,057,184</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3012, Class FS, 10.697s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>517,086</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>513,109</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3184, Class SP, IO, 4.879s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,769,141</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>165,532</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 2882, Class LS, IO, 4.729s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>790,434</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>83,993</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3203, Class SH, IO, 4.669s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>999,974</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>112,773</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 2594, Class SE, IO, 4.579s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>366,052</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>26,127</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 2828, Class TI, IO, 4.579s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>634,733</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>56,385</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3397, Class GS, IO, 4.529s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>885,517</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>72,089</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3297, Class BI, IO, 4.289s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,971,736</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>383,433</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3287, Class SD, IO, 4.279s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,341,460</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>117,716</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3281, Class BI, IO, 4.279s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>711,281</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>66,330</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3281, Class CI, IO, 4.279s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>771,680</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>63,443</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3249, Class SI, IO, 4.279s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>641,727</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>62,581</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3028, Class ES, IO, 4.279s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,372,604</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>315,617</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3042, Class SP, IO, 4.279s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,032,578</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>95,280</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3045, Class DI, IO, 4.259s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>7,801,405</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>616,627</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3236, Class ES, IO, 4.229s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>110,322</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>9,031</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3136, Class NS, IO, 4.229s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>840,504</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>69,519</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3107, Class DC, IO, 4.229s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,675,422</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>353,374</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 2950, Class SM, IO, 4.229s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>527,974</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>42,801</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3256, Class S, IO, 4.219s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,924,660</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>183,642</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3031, Class BI, IO, 4.219s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>658,417</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>68,642</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3370, Class TS, IO, 4.199s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,753,370</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>287,221</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3244, Class SB, IO, 4.189s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,027,995</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>92,883</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3244, Class SG, IO, 4.189s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,196,624</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>111,196</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3236, Class IS, IO, 4.179s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,003,470</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>175,913</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3033, Class SG, IO, 4.179s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>854,875</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>74,475</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3114, Class TS, IO, 4.179s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,959,535</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>288,632</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3128, Class JI, IO, 4.159s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>369,074</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>34,459</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3240, Class S, IO, 4.149s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,561,924</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>319,764</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3229, Class BI, IO, 4.149s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>116,553</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>9,459</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3153, Class JI, IO, 4.149s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,577,021</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>124,188</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3065, Class DI, IO, 4.149s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>510,913</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>52,240</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3145, Class GI, IO, 4.129s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>302,620</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>29,601</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3218, Class AS, IO, 4.109s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,133,448</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>95,972</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3221, Class SI, IO, 4.109s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,618,868</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>138,114</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3153, Class UI, IO, 4.099s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,088,381</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>112,350</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3424, Class XI, IO, 4.099s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,955,693</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>171,666</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3202, Class PI, IO, 4.069s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,451,638</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>385,509</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3355, Class MI, IO, 4.029s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>976,112</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>78,343</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3201, Class SG, IO, 4.029s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,046,256</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>176,401</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3203, Class SE, IO, 4.029s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,845,610</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>156,037</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3238, Class LI, IO, 4.019s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,003,822</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>85,115</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3171, Class PS, IO, 4.014s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,458,130</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>120,490</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3152, Class SY, IO, 4.009s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,245,004</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>301,093</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3366, Class SA, IO, 3.979s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,848,641</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>154,184</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3284, Class BI, IO, 3.979s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,175,883</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>95,722</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3260, Class SA, IO, 3.979s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,044,980</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>74,759</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3199, Class S, IO, 3.979s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,877,354</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>244,825</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3284, Class LI, IO, 3.969s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,330,890</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>280,299</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3281, Class AI, IO, 3.959s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,295,851</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>366,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3311, Class EI, IO, 3.939s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,212,194</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>96,236</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3311, Class IA, IO, 3.939s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,884,653</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>164,328</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3311, Class IB, IO, 3.939s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,884,653</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>164,328</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3311, Class IC, IO, 3.939s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,884,653</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>164,328</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3311, Class ID, IO, 3.939s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,884,653</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>164,328</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3311, Class IE, IO, 3.939s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,844,606</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>248,029</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3311, Class PI, IO, 3.939s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,299,085</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>122,192</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3375, Class MS, IO, 3.929s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>6,043,874</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>465,971</FONT>&nbsp; </TD></TR></TABLE><BR>
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<TR>
     <TD width="49%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3240, Class GS, IO, 3.909s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,132,326</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>176,523</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3416, Class BI, IO, 3.779s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,877,779</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>311,035</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3339, Class TI, IO, 3.669s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,189,900</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>167,791</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3284, Class CI, IO, 3.649s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>5,418,944</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>406,797</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3016, Class SQ, IO, 3.639s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,398,840</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>81,874</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 3424, Class UI, IO, 3.289s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,370,321</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>89,034</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 246, PO, zero %, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>596,616</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>451,763</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 3292, Class DO, PO, zero %, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>97,959</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>70,523</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 3292, Class OA, PO, zero %, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>134,794</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>95,967</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 3300, PO, zero %, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>768,759</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>588,996</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 3139, Class CO, PO, zero %, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>169,474</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>122,658</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 2587, Class CO, PO, zero %, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>496,975</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>392,733</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 3345, Class TY, zero %, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>207,712</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>171,363</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 3326, Class XF, zero %, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>178,753</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>163,687</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 3273, Class HF, zero %, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>80,650</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>79,998</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 3235, Class TP, zero %, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>65,721</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>57,837</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 3283, Class KF, zero %, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>70,917</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>73,302</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 3226, Class YW, zero %, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>325,120</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>292,544</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 3332, Class UA, zero %, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>71,284</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>67,773</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 3251, Class TC, zero %, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>784,613</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>786,150</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 3130, Class JF, zero %, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>294,177</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>281,629</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 3326, Class WF, zero %, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>168,691</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>150,765</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 3030, Class EF, zero %, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>88,840</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>77,669</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 3412, Class UF, zero %, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>429,145</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>358,327</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 2980, Class TY, zero %, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>56,066</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>45,252</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>GE Capital Commercial Mortgage Corp. 144A</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>Ser. 00-1, Class F, 7.787s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>170,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>173,342</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 00-1, Class G, 6.131s, 2033 (F)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>596,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>430,596</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>GMAC Commercial Mortgage Securities, Inc. 144A Ser.</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>99-C3, Class G, 6.974s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>529,968</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>518,756</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Government National Mortgage Association</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>FRB Ser. 07-41, Class SA, 25.309s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>122,526</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>150,417</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-51, Class SP, 24.589s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>95,204</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>111,558</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 05-66, Class SP, 12.596s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>443,784</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>443,561</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 07-17, Class CI, IO, 7 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>596,343</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>149,718</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 08-29, Class SA, IO, 5.298s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>7,412,241</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>704,741</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 08-42, Class AI, IO, 5.219s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>8,232,320</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,202,739</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 07-2, Class SA, IO, 4.898s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>183,249</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>16,318</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-69, Class SI, IO, 4.898s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,212,839</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>119,507</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-61, Class SM, IO, 4.898s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,400,776</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>186,444</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-62, Class SI, IO, 4.898s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,354,568</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>115,557</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-1, Class SL, IO, 4.878s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>652,589</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>57,711</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-1, Class SM, IO, 4.868s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>652,589</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>57,534</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-62, Class SA, IO, 4.858s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,690,598</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>144,178</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-64, Class SB, IO, 4.858s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,681,961</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>154,678</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 05-68, Class PU, IO, 4.818s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,019,718</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>103,789</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 04-59, Class SC, IO, 4.729s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>720,531</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>72,653</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 04-26, Class IS, IO, 4.729s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>768,583</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>49,393</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-47, Class SA, IO, 4.629s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,187,897</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>117,286</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-49, Class NY, IO, 4.618s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,041,681</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>354,252</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-35, Class NY, IO, 4.429s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,079,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>165,580</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-26, Class SG, IO, 4.368s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,978,529</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>168,010</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-9, Class BI, IO, 4.338s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,790,441</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>288,387</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-26, Class SD, IO, 4.329s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,079,838</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>160,988</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-31, Class CI, IO, 4.328s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,072,165</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>77,524</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-25, Class SA, IO, 4.318s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,403,241</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>101,198</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-25, Class SB, IO, 4.318s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,830,584</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>213,644</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-22, Class S, IO, 4.318s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,097,599</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>102,501</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-11, Class SA, IO, 4.318s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>923,454</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>75,480</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-14, Class SB, IO, 4.318s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>874,663</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>71,626</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-69, Class SA, IO, 4.318s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,336,471</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>193,059</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 05-84, Class AS, IO, 4.318s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,248,534</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>269,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 07-40, Class SC, IO, 4.268s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>150,418</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>10,622</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 07-40, Class SD, IO, 4.268s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>150,418</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>10,622</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 07-40, Class SE, IO, 4.268s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>150,418</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>10,622</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 07-42, Class SC, IO, 4.268s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>292,168</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>21,717</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-40, Class SB, IO, 4.268s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,373,443</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>176,044</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-51, Class SJ, IO, 4.268s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,136,882</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>101,094</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-53, Class SY, IO, 4.253s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,987,811</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>184,735</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 07-41, Class SM, IO, 4.218s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>422,833</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>34,574</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 07-41, Class SN, IO, 4.218s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>430,842</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>35,229</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-58, Class PS, IO, 4.218s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>998,617</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>79,565</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 04-88, Class S, IO, 4.218s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,750,031</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>106,642</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 07-40, Class SG, IO, 4.198s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>332,549</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>23,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-59, Class PS, IO, 4.188s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>890,087</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>68,841</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-59, Class SP, IO, 4.188s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>195,527</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>15,458</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-48, Class SB, IO, 4.179s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,441,443</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>95,901</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-38, Class SG, IO, 4.168s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,230,351</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>289,846</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 07-45, Class QA, IO, 4.158s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>291,702</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>20,699</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 07-45, Class QB, IO, 4.118s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>291,702</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>20,396</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-53, Class SG, IO, 4.118s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>682,488</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>45,487</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-74, Class SI, IO, 4.099s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,066,250</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>78,636</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-51, Class SG, IO, 4.098s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>6,139,859</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>426,545</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-17, Class AI, IO, 4.079s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,573,156</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>362,682</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 08-3, Class SA, IO, 4.068s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,500,325</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>155,072</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-79, Class SY, IO, 4.068s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,210,753</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>258,471</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-64, Class AI, IO, 4.068s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,203,385</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>148,734</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-53, Class ES, IO, 4.068s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,027,290</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>57,453</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-78, Class SA, IO, 4.059s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>6,862,845</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>465,980</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 08-2, Class SB, IO, 4.038s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>6,251,464</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>385,303</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-10, Class SB, IO, 4.038s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>6,444,218</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>485,908</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 08-4, Class SA, IO, 4.034s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>12,263,373</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>751,067</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 08-2, Class SM, IO, 4.029s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,575,092</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>184,892</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-9, Class AI, IO, 4.029s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,351,211</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>174,915</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-9, Class DI, IO, 4.028s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,925,737</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>131,586</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 07-59, Class SC, IO, 4.018s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>404,009</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>27,225</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-57, Class QA, IO, 4.018s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,455,538</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>147,542</FONT>&nbsp; </TD></TR></TABLE><BR>
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<TR>
     <TD width="49%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-58, Class SA, IO, 4.018s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,629,013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>101,808</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-58, Class SC, IO, 4.018s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,891,047</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>100,810</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-59, Class SA, IO, 4.018s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>7,415,400</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>443,130</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-61, Class SA, IO, 4.018s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,271,796</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>83,434</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-53, Class SC, IO, 4.018s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,093,457</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>61,887</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-53, Class SE, IO, 4.018s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>243,746</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>15,656</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-26, Class S, IO, 4.018s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>5,578,704</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>440,481</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 08-15, Class CI, IO, 4.008s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>10,092,560</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>609,376</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-58, Class SD, IO, 4.008s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,772,353</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>93,165</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 08-9, Class SK, IO, 3.998s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,280,698</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>261,772</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 08-6, Class SC, IO, 3.993s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>10,211,230</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>618,668</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-59, Class SD, IO, 3.988s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>326,993</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>19,939</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-49, Class SA, IO, 3.978s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,777,067</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>188,459</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 08-40, Class SA, IO, 3.929s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>10,859,461</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>781,295</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 05-71, Class SA, IO, 3.889s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,784,142</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>270,990</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 05-65, Class SI, IO, 3.868s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,463,474</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>110,842</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-7, Class SB, IO, 3.838s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>346,617</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>22,662</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-16, Class SX, IO, 3.808s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,954,917</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>140,864</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-17, Class IB, IO, 3.768s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>860,039</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>56,726</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-14, Class S, IO, 3.768s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,388,252</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>95,187</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 05-57, Class PS, IO, 3.768s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,502,961</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>105,041</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-11, Class ST, IO, 3.758s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>874,883</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>58,860</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-25, Class KS, IO, 3.729s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,128,995</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>162,700</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-21, Class S, IO, 3.729s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>81,630</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,992</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-27, Class SD, IO, 3.718s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,010,214</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>58,418</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-19, Class SJ, IO, 3.718s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,783,388</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>103,934</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-23, Class ST, IO, 3.718s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,959,307</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>109,798</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-9, Class CI, IO, 3.718s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,510,697</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>148,537</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-7, Class EI, IO, 3.718s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,110,621</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>64,644</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-7, Class JI, IO, 3.718s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,547,054</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>168,235</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-1, Class S, IO, 3.718s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,328,446</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>136,137</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-3, Class SA, IO, 3.718s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,226,455</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>129,749</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-31, Class AI, IO, 3.709s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,147,517</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>105,481</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 05-17, Class S, IO, 3.698s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>993,437</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>70,165</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-62, Class S, IO, 3.679s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,204,936</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>74,179</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-43, Class SC, IO, 3.629s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,590,419</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>93,264</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 05-3, Class SN, IO, 3.618s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,621,837</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>292,295</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 04-41, Class SG, IO, 3.518s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,819,424</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>114,715</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 07-71, Class TA, zero %, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>397,074</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>442,361</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 07-71, Class UC, zero %, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>75,474</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>88,596</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 07-61, Class YC, zero %, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>548,690</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>545,577</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 07-33, Class TB, zero %, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>523,352</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>466,647</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 07-6, Class TD, zero %, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>505,617</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>452,448</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 98-2, Class EA, PO, zero %, 2028</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>57,222</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>47,748</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>GS Mortgage Securities Corp. II</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>FRB Ser. 07-GG10, Class A3, 5.993s, 2045</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>334,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>324,123</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 06-GG6, Class A2, 5.506s, 2038 (F)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,282,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,279,440</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>HASCO NIM Trust 144A Ser. 05-OP1A, Class A, 6 1/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>2035 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>91,637</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>9,164</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>HSI Asset Loan Obligation FRB Ser. 07-AR1, Class 2A1,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>6.135s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,625,807</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,991,291</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IMPAC Secured Assets Corp. FRB Ser. 07-2, Class 1A1A,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>2.593s, 2037 (F)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>371,039</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>319,921</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IndyMac Indx Mortgage Loan Trust</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>FRB Ser. 07-AR15, Class 1A1, 6.248s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,026,781</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>811,157</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 07-AR11, Class 1A1, 5.65s, 2037 (F)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,302,331</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>873,264</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 07-AR9, Class 2A1, 6.077s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,020,768</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>806,406</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 06-AR25, Class 5A1, 6.333s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>802,130</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>640,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 05-AR31, Class 3A1, 5.643s, 2036 (F)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,947,841</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,211,354</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>JPMorgan Alternative Loan Trust</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>FRB Ser. 06-A1, Class 5A1, 5.894s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>717,626</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>574,101</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 06-A6, Class 1A1, 2.553s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,293,269</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>946,880</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>JPMorgan Chase Commercial Mortgage Securities Corp.</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>FRB Ser. 07-LD12, Class AM, 6.261s, 2051</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>617,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>571,688</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 07-LD12, Class A3, 6.189s, 2051</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,956,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,866,847</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 07-LD11, Class A3, 6.007s, 2049 (F)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>417,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>402,213</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 07-CB20, Class A3, 5.863s, 2051</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>834,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>801,424</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 07-CB20, Class A4, 5.794s, 2051</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>541,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>517,245</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 08-C2, Class X, IO, 0.647s, 2051</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>30,123,768</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>821,344</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>JPMorgan Chase Commercial Mortgage Securities Corp.</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>144A Ser. 07-CB20, Class X1, IO, 0.067s, 2051</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>63,691,441</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>726,719</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>LB Commercial Conduit Mortgage Trust 144A Ser. 99-C1,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>Class G, 6.41s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>253,101</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>183,443</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>LB-UBS Commercial Mortgage Trust</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>Ser. 07-C6, Class A2, 5.845s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>921,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>913,082</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 07-C7, Class XW, IO, 0.526s, 2045</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>61,463,446</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,440,027</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>LB-UBS Commercial Mortgage Trust 144A Ser. 07-C7,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>Class XCL, IO, 0.087s, 2045</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>25,946,590</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>257,338</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Lehman Mortgage Trust</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>IFB Ser. 07-5, Class 4A3, 25.185s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>754,627</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>849,689</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-5, Class 8A2, IO, 5.238s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,343,809</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>112,595</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-4, Class 3A2, IO, 4.718s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,065,552</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>88,255</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-5, Class 2A2, IO, 4.668s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,858,996</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>145,958</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-2, Class 2A13, IO, 4.208s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,054,233</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>167,683</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-7, Class 2A5, IO, 4.183s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,826,923</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>296,208</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-9, Class 2A2, IO, 4.138s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,406,354</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>201,402</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-7, Class 2A4, IO, 4.068s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,111,040</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>281,054</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-6, Class 1A2, IO, 4.018s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,593,798</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>104,613</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 06-6, Class 1A3, IO, 4.018s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,303,267</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>159,878</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Local Insight Media Finance, LLC Ser. 07-1W, Class A1,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>5.53s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,726,236</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,614,721</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Mach One Commercial Mortgage Trust 144A</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>Ser. 04-1A, Class J, 5.45s, 2040 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>594,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>219,780</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 04-1A, Class K, 5.45s, 2040 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>212,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>67,840</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 04-1A, Class L, 5.45s, 2040 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>96,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>28,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>MASTR Alternative Loans Trust Ser. 06-3, Class 1A1,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>6 1/4s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>632,682</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>474,511</FONT>&nbsp; </TD></TR></TABLE><BR>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Merrill Lynch Capital Funding Corp. Ser. 06-4,</FONT>&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=2>Class XC, IO, 0.099s, 2049</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>56,623,880</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>678,336</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2,</FONT>&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=2>Class JS, IO, 2.263s, 2028</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,356,051</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>88,428</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Merrill Lynch Mortgage Trust FRB Ser. 07-C1, Class A3,</FONT>&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=2>6.023s, 2050</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>222,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>215,651</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Merrill Lynch/Countrywide Commercial Mortgage Trust</FONT>&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=2>FRB Ser. 07-8, Class A2, 6.119s, 2049</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>402,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>395,179</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Mezz Cap Commercial Mortgage Trust Ser. 07-C5,</FONT>&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=2>Class X, 4.867s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,501,548</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>599,645</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Mezz Cap Commercial Mortgage Trust 144A Ser. 04-C1,</FONT>&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=2>Class X, IO, 8.008s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>977,524</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>234,102</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Morgan Stanley Capital I</FONT>&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=2>Ser. 98-CF1, Class E, 7.35s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,252,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,272,316</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 08-T29, Class A3, 6.458s, 2043</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>712,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>731,103</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 07-IQ14, Class AM, 5.877s, 2049</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>247,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>221,977</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Morgan Stanley Capital I 144A</FONT>&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=2>FRB Ser. 04-RR, Class F7, 6s, 2039</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,730,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>968,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 07-HQ13, Class X1, IO, 0.823s, 2044</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>56,883,266</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,775,896</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Morgan Stanley Mortgage Loan Trust Ser. 05-5AR,</FONT>&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=2>Class 2A1, 5.275s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,186,863</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>871,751</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Mortgage Capital Funding, Inc.</FONT>&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=2>FRB Ser. 98-MC2, Class E, 7.198s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>327,112</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>336,268</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 97-MC2, Class X, IO, 1.988s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,159</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Permanent Financing PLC 144A FRB Ser. 9A, Class 3A,</FONT>&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=2>2.796s, 2033 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,839,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,768,025</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Permanent Master Issuer PLC FRB Ser. 07-1, Class 4A,</FONT>&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=2>2.793s, 2033 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,443,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,313,888</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>PNC Mortgage Acceptance Corp. 144A Ser. 00-C1,</FONT>&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=2>Class J, 6 5/8s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>123,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>88,594</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Residential Asset Securitization Trust</FONT>&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=2>Ser. 07-A5, Class 2A3, 6s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>922,378</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>825,528</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IFB Ser. 07-A3, Class 2A2, IO, 4.208s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,700,236</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>396,071</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Residential Mortgage Securities 144A FRB Ser. 20A,</FONT>&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=2>Class B1A, 6.491s, 2038 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>120,840</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>144,515</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>SBA CMBS Trust 144A Ser. 05-1A, Class E, 6.706s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$303,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>281,457</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>STRIPS 144A</FONT>&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=2>Ser. 03-1A, Class M, 5s, 2018 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>162,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>123,120</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>193,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>138,960</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 04-1A, Class M, 5s, 2018 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>174,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>121,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 04-1A, Class N, 5s, 2018 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>167,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>105,210</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Structured Adjustable Rate Mortgage Loan Trust FRB</FONT>&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=2>Ser. 06-9, Class 1A1, 5.694s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,015,745</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>797,665</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Structured Asset Securities Corp.</FONT>&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=2>IFB Ser. 07-4, Class 1A3, IO, 3.768s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,690,531</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>227,587</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 07-4, Class 1A4, IO, 1s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,027,489</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>108,470</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Structured Asset Securities Corp. 144A</FONT>&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=2>IFB Ser. 08-01, Class 1A2, IO, 3.588s, 2045 (acquired</FONT>&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=2>3/04/08, cost $559,381) (RES)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>8,278,992</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>475,587</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 07-RF1, Class 1A, IO, 3.399s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,826,887</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>217,461</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Titan Europe PLC 144A</FONT>&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=2>FRB Ser. 05-CT2A, Class E, 7.095s, 2014 (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>226,682</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>416,867</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 05-CT1A, Class D, 7.095s, 2014 (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>444,023</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>707,740</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>URSUS EPC 144A FRB Ser. 1-A, Class D, 6.938s, 2012</FONT>&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=2>(Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>239,749</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>432,134</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Wachovia Bank Commercial Mortgage Trust</FONT>&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=2>Ser. 07-C30, Class A3, 5.246s, 2043</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$5,030,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,911,415</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 07-C34, IO, 0.52s, 2046</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>16,942,599</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>365,960</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Wachovia Bank Commercial Mortgage Trust 144A FRB Ser.</FONT>&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=2>05-WL5A, Class L, 5.771s, 2018</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>477,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>381,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Wells Fargo Mortgage Backed Securities Trust Ser.</FONT>&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=2>05-AR13, Class 1A4, IO, 0.742s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>10,284,961</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>66,852</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Total collateralized mortgage obligations (cost $187,252,555)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>$193,386,057</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>CORPORATE BONDS AND NOTES (20.8%)(a)</FONT></B>&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>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Basic Materials (1.5%)</FONT></B>&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=2>Algoma Acquisition Corp. 144A unsec. notes 9 7/8s,</FONT>&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=2>2015 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$86,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$81,700</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Builders FirstSource, Inc. company guaranty sr. sec.</FONT>&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=2>notes FRN 6.926s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>270,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>183,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Compass Minerals International, Inc. sr. disc. notes</FONT>&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=2>Ser. B, 12s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>174,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>183,135</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Domtar Corp. company guaranty Ser. *, 7 7/8s, 2011</FONT>&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=2>(Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>145,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>145,725</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Freeport-McMoRan Copper &amp; Gold, Inc. sr. unsec. notes</FONT>&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=2>8 3/8s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>841,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>889,358</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Freeport-McMoRan Copper &amp; Gold, Inc. sr. unsec. notes</FONT>&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=2>8 1/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>422,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>435,715</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Freeport-McMoRan Copper &amp; Gold, Inc. sr. unsec. notes</FONT>&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=2>FRN 5.883s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>150,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>150,035</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Georgia-Pacific Corp. debs. 9 1/2s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>49,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>49,796</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Georgia-Pacific Corp. notes 8 1/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>55,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>54,313</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Gerdau Ameristeel Corp. sr. notes 10 3/8s, 2011</FONT>&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=2>(Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>358,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>371,873</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Hexion U.S. Finance Corp./Hexion Nova Scotia Finance,</FONT>&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=2>ULC company guaranty 9 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>90,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>81,450</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Huntsman International, LLC company guaranty sr.</FONT>&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=2>unsec. sub. notes 7 7/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>921,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>842,715</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Momentive Performance Materials, Inc. company guaranty</FONT>&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=2>sr. unsec. notes 9 3/4s, 2014 (S)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>262,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>224,010</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Mosaic Co. (The) 144A sr. unsec. unsub. notes 7 5/8s,</FONT>&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=2>2016</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>224,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>238,560</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Mosaic Co. (The) 144A sr. unsec. unsub. notes 7 3/8s,</FONT>&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=2>2014</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>136,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>142,120</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>NewPage Corp. company guaranty 10s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>376,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>380,700</FONT>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

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<TR>
     <TD width="49%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>NewPage Holding Corp. sr. notes FRN 9.986s, 2013 (PIK)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>78,868</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>76,108</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Norske Skog Canada, Ltd. company guaranty Ser. D,</FONT>&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=2>8 5/8s, 2011 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>15,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>12,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Novelis, Inc. company guaranty 7 1/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>113,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>106,785</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Rhodia SA sr. unsec. FRN 7.497s, 2013 (France)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>375,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>525,918</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Rockwood Specialties Group, Inc. company guaranty</FONT>&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=2>7 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>250,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>357,896</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Steel Dynamics, Inc. company guaranty sr. unsec.</FONT>&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=2>unsub. notes 6 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$830,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>794,725</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Steel Dynamics, Inc. 144A sr. notes 7 3/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>164,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>163,180</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Stone Container Corp. sr. notes 8 3/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>240,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>210,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <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><B><FONT face=sans-serif size=2>6,702,767</FONT></B>&nbsp; </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><B><FONT face=sans-serif size=2>Capital Goods (1.3%)</FONT></B>&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=2>Alliant Techsystems, Inc. sr. sub. notes 6 3/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>104,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>100,880</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Berry Plastics Corp. company guaranty sr. sec. notes</FONT>&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=2>FRN 7.568s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>680,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>651,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Bombardier, Inc. 144A sr. unsec. notes FRN 7.981s,</FONT>&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=2>2013 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>170,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>267,412</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Bombardier, Inc. 144A unsec. notes 6 3/4s, 2012</FONT>&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=2>(Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$1,625,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,588,438</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Crown Americas, LLC/Crown Americas Capital Corp. sr.</FONT>&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=2>notes 7 5/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>516,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>514,710</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>General Cable Corp. company guaranty sr. unsec. notes</FONT>&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=2>FRN 5.073s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>190,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>168,625</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Hawker Beechcraft Acquisition Co., LLC sr. sub. notes</FONT>&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=2>9 3/4s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>227,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>227,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Hexcel Corp. sr. sub. notes 6 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>67,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>65,158</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>L-3 Communications Corp. company guaranty sr. unsec.</FONT>&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=2>sub. notes 6 1/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>607,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>569,063</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>L-3 Communications Corp. sr. sub. notes 5 7/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>574,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>529,515</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>RBS Global, Inc. / Rexnord Corp. company guaranty</FONT>&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=2>9 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>588,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>567,420</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ryerson Tull, Inc. 144A sec. notes 12s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>409,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>405,933</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Tekni-Plex, Inc. sec. notes 10 7/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>135,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>137,025</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Terex Corp. company guaranty 7 3/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>305,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>300,425</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <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><B><FONT face=sans-serif size=2>6,092,704</FONT></B>&nbsp; </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><B><FONT face=sans-serif size=2>Communication Services (1.6%)</FONT></B>&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=2>American Tower Corp. 144A sr. notes 7s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>390,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>386,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Cincinnati Bell, Inc. company guaranty 7s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>578,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>538,985</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Cricket Communications, Inc. company guaranty sr.</FONT>&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=2>unsec. notes Ser. *, 9 3/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>435,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>418,688</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Cricket Communications, Inc. 144A company guaranty sr.</FONT>&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=2>notes 10s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>354,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>346,920</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Digicel Group, Ltd. 144A sr. unsec. notes 8 7/8s, 2015</FONT>&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=2>(Jamaica)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>245,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>231,219</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Digicel, Ltd. 144A sr. unsec. unsub. notes 9 1/4s,</FONT>&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=2>2012 (Jamaica)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>170,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>174,888</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Inmarsat Finance PLC company guaranty stepped-coupon</FONT>&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=2>zero % (10 3/8s, 11/15/08), 2012 (United Kingdom) (STP)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>768,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>775,680</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>iPCS, Inc. company guaranty sr. sec. notes FRN 4.998s,</FONT>&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=2>2013</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>140,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>126,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>MetroPCS Wireless, Inc. company guaranty sr. unsec.</FONT>&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=2>notes 9 1/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>90,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>86,625</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>PAETEC Holding Corp. company guaranty sr. unsec.</FONT>&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=2>unsub. notes 9 1/2s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>150,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>138,375</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Qwest Communications International, Inc. company</FONT>&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=2>guaranty 7 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>353,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>335,350</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Qwest Corp. sr. unsec. notes 7 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>72,188</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Qwest Corp. sr. unsec. unsub. notes 8 7/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,501,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,531,020</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Rural Cellular Corp. sr. unsec. sub. notes FRN 5.682s,</FONT>&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=2>2013</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>195,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>197,438</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>West Corp. company guaranty 9 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>129,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>116,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Wind Aquisition Fin. SA notes 9 3/4s, 2015</FONT>&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=2>(Netherlands)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,190,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,883,502</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <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><B><FONT face=sans-serif size=2>7,359,078</FONT></B>&nbsp; </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><B><FONT face=sans-serif size=2>Consumer Cyclicals (3.1%)</FONT></B>&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=2>Allison Transmission 144A company guaranty 11s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>67,125</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Bon-Ton Stores, Inc. (The) company guaranty 10 1/4s,</FONT>&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=2>2014</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>160,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>105,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Boyd Gaming Corp. sr. sub. notes 6 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>134,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>103,180</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>CanWest Media, Inc. company guaranty 8s, 2012 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>337,021</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>299,949</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Cenveo Corp. 144A company guaranty sr. unsec. notes</FONT>&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=2>10 1/2s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>232,650</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>D.R. Horton, Inc. company guaranty 8s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>183,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>182,543</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>D.R. Horton, Inc. company guaranty sr. unsub. notes</FONT>&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=2>5s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>253,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>248,256</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>D.R. Horton, Inc. sr. notes 7 7/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>765,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>734,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FelCor Lodging LP company guaranty 8 1/2s, 2011 (R)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>515,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>503,413</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ford Motor Credit Co., LLC sr. notes 9 7/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>621,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>521,693</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ford Motor Credit Co., LLC sr. unsec. notes 9 3/4s,</FONT>&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=2>2010</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>444,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>383,234</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ford Motor Credit Co., LLC unsec. notes 7 3/8s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>195,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>177,602</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Hanesbrands, Inc. company guaranty sr. unsec. notes</FONT>&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=2>FRN Ser. B, 6.508s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>310,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>288,300</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Host Marriott LP sr. notes Ser. M, 7s, 2012 (R)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>725,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>685,125</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Jostens IH Corp. company guaranty 7 5/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>600,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>589,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Lamar Media Corp. sr. unsec. sub. notes Ser. C,</FONT>&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=2>6 5/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>165,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>150,150</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Levi Strauss &amp; Co. sr. unsec. notes 8 7/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>285,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>277,163</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Levi Strauss &amp; Co. sr. unsec. unsub. notes 9 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>651,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>654,255</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Mashantucket Western Pequot Tribe 144A bonds 8 1/2s,</FONT>&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=2>2015</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>390,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>344,175</FONT>&nbsp; </TD></TR></TABLE><BR>
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     <TD width="15%"></TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Meritage Homes Corp. company guaranty 6 1/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>163,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>130,808</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Meritage Homes Corp. sr. notes 7s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>45,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>36,450</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Meritor Automotive, Inc. notes 6.8s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>330,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>324,638</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>MGM Mirage, Inc. company guaranty 8 1/2s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>468,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>462,150</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>MGM Mirage, Inc. company guaranty 6s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,009,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>992,604</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>NTK Holdings, Inc. sr. disc. notes zero %, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>104,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>47,320</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Oxford Industries, Inc. sr. notes 8 7/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>460,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>443,900</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Pinnacle Entertainment, Inc. company guaranty sr.</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>unsec. sub. notes 7 1/2s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>320,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>244,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>337,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>331,103</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Pulte Homes, Inc. company guaranty 7 7/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>730,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>719,050</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Quebecor Media, Inc. sr. unsec. notes Ser. *, 7 3/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>2016 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>69,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Realogy Corp. company guaranty sr. unsec. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>10 1/2s, 2014 (R)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>695,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>483,025</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>61,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Station Casinos, Inc. sr. notes 6s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>318,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>252,810</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Tenneco Automotive, Inc. company guaranty 8 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>40,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>35,300</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Tenneco, Inc. 144A sr. unsec. notes 8 1/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>375,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>339,375</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Texas Industries, Inc. sr. unsec. notes 7 1/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>361,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>359,195</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sub.</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>notes 8 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>255,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>163,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>THL Buildco, Inc. (Nortek Holdings, Inc.) 144A sr.</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>sec. notes 10s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>115,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>109,825</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Toll Brothers, Inc. company guaranty sr. unsec. sub.</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>notes 8 1/4s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>625,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>606,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Tropicana Entertainment, LLC sr. sub. notes 9 5/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>2014 (In default) (NON)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>260,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>123,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Trump Entertainment Resorts, Inc. sec. notes 8 1/2s,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>2015</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>288,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>179,280</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Vertis, Inc. company guaranty Ser. B, 10 7/8s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>(In default) (NON)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>661,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>290,840</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Vertis, Inc. 144A unsec. sub. notes 13 1/2s, 2009 (In</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>default) (NON)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>170,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>5,950</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 1st</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>mtge. 6 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>555,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>507,825</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>13,868,161</FONT></B>&nbsp; </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><B><FONT face=sans-serif size=2>Consumer Staples (2.4%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left></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=2>Affinity Group, Inc. sr. sub. notes 9s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>545,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>479,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>AMC Entertainment, Inc. company guaranty 11s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>251,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>248,490</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>AMC Entertainment, Inc. sr. sub. notes 8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>205,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>181,938</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Archibald Candy Corp. company guaranty 10s, 2008 (In</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>default) (F)(NON)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>90,153</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,324</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Avis Budget Car Rental, LLC company guaranty 7 3/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>2016</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>285,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>218,738</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Cablevision Systems Corp. sr. notes Ser. B, 8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>167,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>157,815</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>CCH I Holdings, LLC company guaranty 12 1/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>8,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,820</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>CCH II, LLC sr. unsec. notes 10 1/4s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>238,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>230,265</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>CCH II, LLC sr. unsec. notes Ser. B, 10 1/4s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,099,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,060,535</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Church &amp; Dwight Co., Inc. company guaranty 6s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>444,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>426,240</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Cinemark, Inc. sr. disc. notes stepped-coupon zero %</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>(9 3/4s, 3/15/09), 2014 (STP)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>500,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>475,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Clear Channel Communications, Inc. sr. unsec. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>5 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>58,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>34,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>CSC Holdings, Inc. sr. notes 6 3/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>543,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>510,420</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Dean Foods Co. company guaranty 7s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>134,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>116,245</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Del Monte Corp. company guaranty 6 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>320,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>304,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Del Monte Corp. sr. sub. notes 8 5/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>560,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>568,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>DirecTV Holdings, LLC company guaranty 6 3/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>892,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>836,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>DirecTV Holdings, LLC 144A sr. notes 7 5/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>117,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>115,245</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Echostar DBS Corp. company guaranty 6 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,119,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,960,075</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Grupo Televisa SA 144A sr. unsec. notes 6s, 2018</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>(Mexico)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>685,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>665,799</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Liberty Media, LLC sr. notes 5.7s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>138,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>123,672</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Liberty Media, LLC sr. unsec. notes 7 7/8s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>169,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>170,645</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Nielsen Finance LLC/Nielsen Finance Co. company</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>guaranty 10s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,015</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Nielsen Finance LLC/Nielsen Finance Co. company</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>guaranty stepped-coupon zero % (12 1/2s, 8/1/11), 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>(STP)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>360,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>247,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Nielsen Finance LLC/Nielsen Finance Co. 144A company</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>guaranty sr. unsec. notes 10s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>184,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>189,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Prestige Brands, Inc. sr. sub. notes 9 1/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>371,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>371,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Rainbow National Services, LLC 144A sr. notes 8 3/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>383,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>388,745</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Rite Aid Corp. company guaranty 9 3/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>277,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>185,590</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Rite Aid Corp. sec. notes 7 1/2s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>315,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>254,363</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sara Lee Corp. sr. unsec. unsub. notes 6 1/4s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>300,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>307,143</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>United Rentals NA, Inc. company guaranty 6 1/2s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>31,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>27,900</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Young Broadcasting, Inc. company guaranty 10s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>239,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>133,840</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Young Broadcasting, Inc. sr. sub. notes 8 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>83,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>46,480</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>11,045,442</FONT></B>&nbsp; </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><B><FONT face=sans-serif size=2>Energy (2.8%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left></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=2>Arch Western Finance, LLC sr. notes 6 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,347,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,320,060</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Chaparral Energy, Inc. company guaranty sr. unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>notes 8 7/8s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>320,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>277,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>CHC Helicopter Corp. sr. sub. notes 7 3/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>(Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>772,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>800,950</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Chesapeake Energy Corp. company guaranty 7 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>269,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>279,088</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Chesapeake Energy Corp. sr. notes 7 1/2s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,031,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,031,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Chesapeake Energy Corp. sr. notes 7s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>279,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>273,420</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Complete Production Services, Inc. company guaranty</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>515,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>514,356</FONT>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
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<TR>
     <TD width="49%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Comstock Resources, Inc. sr. notes 6 7/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>510,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>501,075</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Connacher Oil and Gas, Ltd. 144A sec. notes 10 1/4s,</FONT>&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=2>2015 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>210,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>221,550</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Denbury Resources, Inc. sr. sub. notes 7 1/2s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>315,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>313,425</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>EXCO Resources, Inc. company guaranty 7 1/4s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>425,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>417,563</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Forest Oil Corp. sr. notes 8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>540,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>556,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Gaz Capital SA 144A company guaranty sr. unsec. bond</FONT>&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=2>8.146s, 2018 (Luxembourg)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>176,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>184,135</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Gaz Capital SA 144A company guaranty sr. unsec. bond</FONT>&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=2>7.343s, 2013 (Luxembourg)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>166,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>171,103</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Harvest Operations Corp. sr. notes 7 7/8s, 2011</FONT>&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=2>(Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>584,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>554,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Helix Energy Solutions Group, Inc. 144A sr. unsec.</FONT>&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=2>notes 9 1/2s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>390,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>399,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Hornbeck Offshore Services, Inc. sr. notes Ser. B,</FONT>&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=2>6 1/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>517,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>496,320</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Key Energy Services, Inc. 144A sr. notes 8 3/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>180,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>183,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Lukoil International Finance 144A company guaranty</FONT>&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=2>6.356s, 2017 (Netherlands)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>420,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>395,325</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Massey Energy Co. sr. notes 6 5/8s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>273,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>273,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Newfield Exploration Co. sr. sub. notes 6 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>348,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>327,120</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Offshore Logistics, Inc. company guaranty 6 1/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>295,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>283,938</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Oslo Seismic Services, Inc. 1st mtge. 8.28s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>314,176</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>327,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Pacific Energy Partners/Pacific Energy Finance Corp.</FONT>&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=2>sr. notes 7 1/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>355,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>357,989</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>PetroHawk Energy Corp. company guaranty 9 1/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>309,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>316,725</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Petroleum Development Corp. company guaranty sr.</FONT>&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=2>unsec. notes 12s, 2018</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>215,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>227,363</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Petroplus Finance, Ltd. company guaranty 6 3/4s, 2014</FONT>&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=2>(Bermuda)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>355,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>321,275</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Plains Exploration &amp; Production Co. company guaranty</FONT>&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=2>7 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>70,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>70,525</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Plains Exploration &amp; Production Co. company guaranty</FONT>&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=2>7s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>80,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>76,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Pride International, Inc. sr. unsec. notes 7 3/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>451,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>449,873</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>SandRidge Energy, Inc. sr. notes 8s, 2018 (S)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>310,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>311,550</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Williams Cos., Inc. (The) sr. unsec. notes 8 1/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>150,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>157,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <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><B><FONT face=sans-serif size=2>12,392,853</FONT></B>&nbsp; </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><B><FONT face=sans-serif size=2>Financial (4.0%)</FONT></B>&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=2>Banco Do Brasil 144A sr. unsec. 5.98s, 2017 (Cayman</FONT>&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=2>Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>BRL</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>536,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>273,581</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Bear Stearns Cos., Inc. (The) notes Ser. MTN, 6.95s,</FONT>&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=2>2012</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$1,205,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,252,925</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Bosphorus Financial Services, Ltd. 144A sec. sr. notes</FONT>&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=2>FRN 4.476s, 2012 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,354,688</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,306,751</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>GMAC, LLC sr. unsec. unsub. notes 6 7/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>85,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>61,079</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>GMAC, LLC sr. unsec. unsub. notes 7 3/4s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>90,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>76,962</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>GMAC, LLC sr. unsec. unsub. notes 7s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>40,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>27,941</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>GMAC, LLC sr. unsec. unsub. notes 6 7/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>637,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>436,203</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>GMAC, LLC sr. unsec. unsub. notes 6 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,139,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>752,247</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>GMAC, LLC sr. unsec. unsub. notes 6 5/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>810,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>549,263</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>GMAC, LLC sr. unsec. unsub. notes FRN 4.882s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>64,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>42,070</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>HUB International Holdings, Inc. 144A sr. sub. notes</FONT>&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=2>10 1/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>95,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>77,900</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>HUB International Holdings, Inc. 144A sr. unsec.</FONT>&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=2>unsub. notes 9s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>65,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>58,825</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>iStar Financial, Inc. sr. unsec. notes Ser. B, 4 7/8s,</FONT>&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=2>2009 (R)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>96,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>JPMorgan Chase &amp; Co. 144A sr. unsec. notes 6.364s ,</FONT>&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=2>2011</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>RUB</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>32,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,372,160</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>JPMorgan Chase &amp; Co. 144A sr. unsec. FRN 6.46s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$1,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>992,700</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>JPMorgan Chase &amp; Co. 144A unsec. unsub. notes 0.189s,</FONT>&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=2>2012</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>INR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>19,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>424,430</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Lender Processing Services, Inc. 144A sr. unsec. notes</FONT>&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=2>8 1/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$481,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>481,601</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Leucadia National Corp. sr. unsec. notes 8 1/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>100,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Leucadia National Corp. sr. unsec. notes 7 1/8s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>252,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>240,660</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Merrill Lynch &amp; Co., Inc. notes 5.45s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>840,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>788,340</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Merrill Lynch &amp; Co., Inc. notes FRN Ser. MTN, 3.12s,</FONT>&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=2>2011</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>365,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>332,966</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Morgan Stanley sr. unsec. bonds 6.188s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>BRL</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,850,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>875,826</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Nuveen Investments, Inc. 144A sr. notes 10 1/2s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$194,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>178,965</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>RSHB Capital SA for OJSC Russian Agricultural Bank</FONT>&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=2>notes 6.299s, 2017 (Luxembourg)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>675,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>622,789</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>RSHB Capital SA for OJSC Russian Agricultural Bank</FONT>&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=2>sub. bonds FRB 6.97s, 2016 (Luxembourg)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>250,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>241,370</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>UBS Luxembourg SA for Sberbank unsec. sub. notes</FONT>&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=2>stepped-coupon 6.23s (7.429s, 2/11/10), 2015</FONT>&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=2>(Luxembourg) (STP)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,400,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,388,226</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>USI Holdings Corp. 144A sr. unsec. notes FRN 6.551s,</FONT>&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=2>2014</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>60,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>50,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>VTB Capital unsec. sub. notes FRN 6.315s, 2015</FONT>&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=2>(Luxembourg)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,090,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,078,664</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>VTB Capital SA 144A notes 7 1/2s, 2011 (Luxembourg)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,010,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,058,762</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>VTB Capital SA 144A sec. notes 6.609s, 2012</FONT>&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=2>(Luxembourg)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>940,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>917,995</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <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><B><FONT face=sans-serif size=2>18,157,801</FONT></B>&nbsp; </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><B><FONT face=sans-serif size=2>Government (0.1%)</FONT></B>&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=2>Pemex Finance, Ltd. bonds 9.69s, 2009 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>253,750</FONT>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>258,930</FONT></B>&nbsp; </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><B><FONT face=sans-serif size=2>Health Care (1.6%)</FONT></B>&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=2>Community Health Systems, Inc. company guaranty</FONT>&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=2>8 7/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>665,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>669,156</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>DaVita, Inc. company guaranty 6 5/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>153,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>146,880</FONT>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

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<TR>
     <TD width="49%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Elan Finance PLC/Elan Finance Corp. company guaranty</FONT>&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=2>7 3/4s, 2011 (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>205,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>201,669</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>HCA, Inc. company guaranty sr. sec. notes 9 5/8s, 2016</FONT>&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=2>(PIK)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>550,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>566,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>HCA, Inc. sr. sec. notes 9 1/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>645,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>664,350</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>HCA, Inc. sr. unsec. notes 6 3/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>212,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>175,960</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>HCA, Inc. sr. unsec. notes 5 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>260,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>216,450</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Omnicare, Inc. company guaranty 6 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>195,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>183,300</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Omnicare, Inc. sr. sub. notes 6 1/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>545,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>498,675</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Service Corporation International sr. notes 7s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>170,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>162,350</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Stewart Enterprises, Inc. sr. notes 6 1/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>724,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>687,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Surgical Care Affiliates, Inc. 144A sr. sub. notes</FONT>&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=2>10s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>300,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>234,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Surgical Care Affiliates, Inc. 144A sr. unsec. notes</FONT>&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=2>8 7/8s, 2015 (PIK)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>87,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Tenet Healthcare Corp. notes 7 3/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>390,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>366,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Tenet Healthcare Corp. sr. unsec. unsub. notes 6 3/8s,</FONT>&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=2>2011</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>571,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>546,733</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>US Oncology, Inc. company guaranty 9s, 2012 (S)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>485,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>481,363</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Vanguard Health Holding Co. II, LLC sr. sub. notes 9s,</FONT>&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=2>2014</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>491,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>486,090</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ventas Realty LP/Capital Corp. company guaranty 9s,</FONT>&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=2>2012 (R)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>305,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>319,488</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ventas Realty LP/Capital Corp. company guaranty</FONT>&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=2>6 3/4s, 2010 (R)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>201,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>199,995</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ventas Realty LP/Capital Corp. sr. notes 6 5/8s, 2014</FONT>&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=2>(R)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>173,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>166,080</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <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><B><FONT face=sans-serif size=2>7,060,939</FONT></B>&nbsp; </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><B><FONT face=sans-serif size=2>Technology (1.1%)</FONT></B>&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=2>Advanced Micro Devices, Inc. sr. notes 7 3/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>334,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>288,075</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ceridian Corp. 144A sr. unsec. notes 11 1/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>275,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>249,563</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Compucom Systems, Inc. sr. sub. notes 12 1/2s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>155,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>141,825</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Freescale Semiconductor, Inc. company guaranty sr.</FONT>&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=2>unsec. notes 8 7/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>552,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>448,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Freescale Semiconductor, Inc. company guaranty sr.</FONT>&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=2>unsec. sub. notes 9 1/8s, 2014 (PIK)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>383,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>297,783</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Freescale Semiconductor, Inc. company guaranty sr.</FONT>&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=2>unsec. sub. notes 10 1/8s, 2016 (S)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>384,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>292,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Iron Mountain, Inc. company guaranty 8 5/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>700,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>704,375</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Iron Mountain, Inc. company guaranty sr. unsec. sub.</FONT>&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=2>notes 8s, 2020</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>470,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>462,363</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>New ASAT Finance, Ltd. company guaranty 9 1/4s, 2011</FONT>&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=2>(Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>13,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>8,320</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Nortel Networks, Ltd. 144A company guaranty sr. unsec.</FONT>&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=2>notes 10 3/4s, 2016 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>157,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>155,430</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Nortel Networks, Ltd. company guaranty sr. unsec.</FONT>&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=2>notes 10 3/4s, 2016 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>215,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>212,850</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Nortel Networks, Ltd. company guaranty sr. unsec.</FONT>&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=2>notes FRN 6.963s, 2011 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>222,075</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sanmina Corp. company guaranty sr. unsec. sub. notes</FONT>&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=2>6 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>239,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>214,503</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sanmina Corp. sr. unsec. sub. notes 8 1/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>372,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>334,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>SunGard Data Systems, Inc. company guaranty 9 1/8s,</FONT>&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=2>2013</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>340,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>343,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Travelport LLC company guaranty 9 7/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>166,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>147,325</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Unisys Corp. sr. unsec. unsub. notes 12 1/2s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>219,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>219,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Xerox Corp. sr. notes 9 3/4s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>140,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>224,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <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><B><FONT face=sans-serif size=2>4,967,237</FONT></B>&nbsp; </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><B><FONT face=sans-serif size=2>Utilities &amp; Power (1.3%)</FONT></B>&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=2>AES Corp. (The) sr. unsec. unsub. notes 8s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>130,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>127,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>AES Corp. (The) 144A sec. notes 8 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>244,106</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>CMS Energy Corp. sr. notes 7 3/4s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>180,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>187,853</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Edison Mission Energy sr. unsec. notes 7 3/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>151,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>150,245</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Edison Mission Energy sr. unsec. notes 7 1/2s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>172,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>170,710</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Edison Mission Energy sr. unsec. notes 7.2s, 2019 (S)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>275,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>256,438</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Edison Mission Energy sr. unsec. notes 7s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>195,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>182,325</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ferrellgas LP/Finance sr. notes 6 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>520,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>474,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Florida Power Corp. 1st mtge. sec. bond 5.65s, 2018</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>75,691</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ipalco Enterprises, Inc. 144A sr. sec. notes 7 1/4s,</FONT>&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=2>2016</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>115,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>113,275</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Kinder Morgan, Inc. sr. notes 6 1/2s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,589,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,563,179</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>NRG Energy, Inc. sr. notes 7 3/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>221,194</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Orion Power Holdings, Inc. sr. unsec. notes 12s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>655,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>707,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>PNM Resources, Inc. unsec. unsub. notes 9 1/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>516,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>532,770</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Teco Finance, Inc. company guaranty sr. unsec. unsub.</FONT>&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=2>notes 7.2s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>185,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>192,279</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Teco Finance, Inc. company guaranty sr. unsec. unsub.</FONT>&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=2>notes 7s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>280,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>291,979</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Teco Finance, Inc. company guaranty sr. unsec. unsub.</FONT>&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=2>notes 6 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>32,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>32,208</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Utilicorp United, Inc. sr. unsec. notes 9.95s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>18,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>18,499</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Williams Partners LP/ Williams Partners Finance Corp.</FONT>&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=2>sr. unsec. notes 7 1/4s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>145,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>145,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <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><B><FONT face=sans-serif size=2>5,687,051</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Total corporate bonds and notes (cost $99,048,678)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>$93,592,963</FONT></B>&nbsp; </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><B><FONT face=sans-serif size=2>ASSET-BACKED SECURITIES (13.2%)(a)</FONT></B>&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>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Accredited Mortgage Loan Trust</FONT>&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=2>FRB Ser. 05-1, Class M2, 3.173s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$160,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$80,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 05-4, Class A2C, 2.693s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>34,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>30,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ace Securities Corp.</FONT>&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=2>FRB Ser. 06-OP2, Class A2C, 2.633s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>107,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>62,060</FONT>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

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<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="49%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 06-HE3, Class A2C, 2.633s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>115,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>90,267</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ameriquest Mortgage Securities, Inc. FRB Ser. 03-8,</FONT>&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=2>Class M2, 4.233s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>224,650</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>49,423</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Arcap REIT, Inc. 144A</FONT>&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=2>Ser. 03-1A, Class E, 7.11s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>383,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>317,344</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 04-1A, Class E, 6.42s, 2039</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>361,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>263,163</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Argent Securities, Inc.</FONT>&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=2>FRB Ser. 03-W3, Class M3, 4.753s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>25,089</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,512</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 06-W4, Class A2C, 2.643s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>204,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>143,820</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Asset Backed Funding Certificates FRB Ser. 04-OPT2,</FONT>&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=2>Class M2, 3.483s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>251,495</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>130,777</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Asset Backed Securities Corp. Home Equity Loan Trust</FONT>&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=2>FRB Ser. 06-HE2, Class A3, 2.673s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>44,889</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>39,012</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 06-HE4, Class A5, 2.643s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>148,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>111,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Asset Backed Securities Corp. Home Equity Loan Trust</FONT>&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=2>144A FRB Ser. 06-HE2, Class M10, 4.983s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>509,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>25</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Aviation Capital Group Trust 144A FRB Ser. 03-2A,</FONT>&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=2>Class G1, 3.182s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>249,051</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>221,656</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Bear Stearns Asset Backed Securities, Inc.</FONT>&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=2>FRB Ser. 04-FR3, Class M6, 5.733s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>286,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>201,212</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 06-PC1, Class M9, 4.233s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>185,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>13,931</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 05-HE1, Class M3, 3.413s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>223,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>73,590</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Bear Stearns Asset Backed Securities, Inc. 144A FRB</FONT>&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=2>Ser. 06-HE2, Class M10, 4.733s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>270,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>20,864</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Bombardier Capital Mortgage Securitization Corp.</FONT>&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=2>Ser. 00-A, Class A4, 8.29s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>498,683</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>323,895</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 00-A, Class A2, 7.575s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,326,030</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>779,971</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 99-B, Class A4, 7.3s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>656,231</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>346,621</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 99-B, Class A3, 7.18s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,104,372</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>662,844</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 00-A, Class A1, 2.631s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>143,444</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>61,064</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Capital Auto Receivables Asset Trust 144A Ser. 06-1,</FONT>&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=2>Class D, 7.16s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>500,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>491,426</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Chase Credit Card Master Trust FRB Ser. 03-3, Class C,</FONT>&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=2>3.551s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>350,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>349,775</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Citigroup Mortgage Loan Trust, Inc.</FONT>&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=2>FRB Ser. 05-HE4, Class M11, 4.983s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>304,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>30,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 05-HE4, Class M12, 4.533s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>449,101</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>22,455</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 05-OPT1, Class M1, 2.903s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>47,073</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>31,011</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Conseco Finance Securitizations Corp.</FONT>&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=2>Ser. 00-2, Class A5, 8.85s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,410,688</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,127,421</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 00-4, Class A6, 8.31s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,301,805</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,777,643</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 00-5, Class A7, 8.2s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>476,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>369,947</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 00-1, Class A5, 8.06s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>958,451</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>766,761</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 00-4, Class A5, 7.97s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>190,066</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>140,592</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 00-5, Class A6, 7.96s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>702,259</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>555,838</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 01-3, Class M2, 7.44s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>66,491</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,497</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 01-4, Class A4, 7.36s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>206,786</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>194,296</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 00-6, Class A5, 7.27s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>75,760</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>68,957</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 01-1, Class A5, 6.99s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,472,157</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,131,741</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 01-3, Class A4, 6.91s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,930,881</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,755,907</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 02-1, Class A, 6.681s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>897,894</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>882,743</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 02-1, Class M1A, 4.521s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,196,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,888,560</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 01-4, Class M1, 4.221s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>295,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>127,263</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Countrywide Asset Backed Certificates</FONT>&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=2>FRB Ser. 05-BC3, Class M1, 3.003s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>47,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>31,020</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 05-14, Class 3A2, 2.723s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>28,955</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>25,770</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038</FONT>&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=2>(Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>431,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>301,700</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>DB Master Finance, LLC 144A Ser. 06-1, Class M1,</FONT>&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=2>8.285s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>277,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>239,408</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Equifirst Mortgage Loan Trust FRB Ser. 05-1, Class M5,</FONT>&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=2>3.153s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>92,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>23,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>First Franklin Mortgage Loan Asset Backed Certificates</FONT>&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=2>FRB Ser. 06-FF7, Class 2A3, 2.633s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>173,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>146,570</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Fremont Home Loan Trust</FONT>&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=2>FRB Ser. 05-E, Class 2A4, 2.813s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>244,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>168,409</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 06-2, Class 2A3, 2.653s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>353,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>270,045</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Gears Auto Owner Trust 144A Ser. 05-AA, Class E1,</FONT>&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=2>8.22s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>687,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>642,198</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Granite Mortgages PLC</FONT>&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=2>FRB Ser. 03-2, Class 3C, 7.589s, 2043 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>803,030</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,515,288</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 03-2, Class 2C1, 5.2s, 2043 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,430,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,124,413</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Green Tree Financial Corp.</FONT>&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=2>Ser. 94-6, Class B2, 9s, 2020</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$861,059</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>819,987</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 94-4, Class B2, 8.6s, 2019</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>369,777</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>232,405</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 93-1, Class B, 8.45s, 2018</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>401,565</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>342,695</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 99-5, Class A5, 7.86s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,987,450</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,393,320</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 96-8, Class M1, 7.85s, 2027</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>387,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>319,507</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 95-8, Class B1, 7.3s, 2026</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>362,579</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>304,929</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 95-4, Class B1, 7.3s, 2025</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>371,800</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>342,094</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 97-6, Class M1, 7.21s, 2029</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>982,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>717,940</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 98-2, Class A6, 6.81s, 2027</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>416,626</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>386,879</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 99-3, Class A7, 6.74s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>733,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>680,957</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRN 6.53s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>190,914</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>165,083</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 98-4, Class A5, 6.18s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>481,732</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>431,535</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 99-1, Class A5, 6.11s, 2023</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>276,831</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>267,281</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Greenpoint Manufactured Housing</FONT>&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=2>Ser. 00-3, Class IA, 8.45s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,659,486</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,410,563</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 99-5, Class M1A, 8.3s, 2026</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>157,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>141,426</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 99-5, Class A4, 7.59s, 2028</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>48,694</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>47,720</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>GS Auto Loan Trust 144A Ser. 04-1, Class D, 5s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>365,777</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>365,375</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>GSAMP Trust FRB Ser. 06-HE5, Class A2C, 2.633s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>526,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>337,935</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Guggenheim Structured Real Estate Funding, Ltd. 144A</FONT>&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=2>FRB Ser. 05-2A, Class E, 4.483s, 2030 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>379,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>195,678</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 05-1A, Class E, 4.283s, 2030 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>83,828</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>56,165</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Home Equity Asset Trust FRB Ser. 06-1, Class 2A4,</FONT>&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=2>2.813s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>122,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>79,300</FONT>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

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<TR>
     <TD width="49%"></TD>
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     <TD width="10%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>JPMorgan Mortgage Acquisition Corp. FRB Ser. 06-FRE1,</FONT>&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=2>Class A4, 2.773s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>103,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>70,555</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Lehman ABS Manufactured Housing Contract Ser. 01-B,</FONT>&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=2>Class A4, 5.27s, 2018</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,235,914</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,085,256</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Lehman XS Trust FRB Ser. 07-6, Class 2A1, 2.693s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,246,789</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>899,808</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>LNR CDO, Ltd. 144A FRB Ser. 02-1A, Class FFL, 5.231s,</FONT>&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=2>2037 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,260,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>592,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Long Beach Mortgage Loan Trust</FONT>&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=2>FRB Ser. 05-2, Class M4, 3.103s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>255,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>107,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 06-4, Class 2A4, 2.743s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>117,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>58,111</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 06-1, Class 2A3, 2.673s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>161,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>136,045</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Lothian Mortgages PLC 144A FRB Ser. 3A, Class D,</FONT>&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=2>6.684s, 2039 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>900,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,657,097</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Madison Avenue Manufactured Housing Contract FRB Ser.</FONT>&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=2>02-A, Class B1, 5.733s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$1,046,356</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>753,376</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>MASTR Asset Backed Securities Trust FRB Ser. 06-FRE2,</FONT>&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=2>Class A4, 2.633s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>61,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>43,244</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Mid-State Trust Ser. 11, Class B, 8.221s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>114,177</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>95,374</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Morgan Stanley ABS Capital I</FONT>&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=2>FRB Ser. 04-HE8, Class B3, 5.683s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>118,893</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>41,613</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 05-HE2, Class M5, 3.163s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>160,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>48,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 05-HE1, Class M3, 3.003s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>160,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>72,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 06-NC4, Class M2, 2.783s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>223,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>22,300</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Navistar Financial Corp. Owner Trust</FONT>&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=2>Ser. 05-A, Class C, 4.84s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>86,973</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>78,476</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 04-B, Class C, 3.93s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>48,749</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>44,222</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>New Century Home Equity Loan Trust FRB Ser. 03-4,</FONT>&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=2>Class M3, 4.533s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>13,997</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,120</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Novastar Home Equity Loan</FONT>&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=2>FRB Ser. 06-1, Class A2C, 2.643s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>146,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>127,297</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 06-2, Class A2C, 2.633s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>146,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>110,186</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Oakwood Mortgage Investors, Inc.</FONT>&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=2>Ser. 96-C, Class B1, 7.96s, 2027</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,011,995</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>586,350</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 99-D, Class A1, 7.84s, 2029</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>909,424</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>735,997</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 00-A, Class A2, 7.765s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>130,988</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>100,048</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 95-B, Class B1, 7.55s, 2021</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>364,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>203,840</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 00-D, Class A4, 7.4s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,022,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>664,300</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 02-B, Class A4, 7.09s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>379,670</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>353,966</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 99-B, Class A4, 6.99s, 2026</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>958,367</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>853,905</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 00-D, Class A3, 6.99s, 2022</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>338,149</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>325,164</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 01-D, Class A4, 6.93s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>699,632</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>474,630</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 01-E, Class A4, 6.81s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>873,170</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>686,312</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 99-B, Class A3, 6.45s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>228,478</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>192,264</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 01-C, Class A2, 5.92s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>928,385</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>365,134</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 02-C, Class A1, 5.41s, 2032 (F)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,161,191</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>976,755</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 01-D, Class A2, 5.26s, 2019</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>139,848</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>87,223</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 01-E, Class A2, 5.05s, 2019</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>966,584</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>666,943</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 02-A, Class A2, 5.01s, 2020</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>246,120</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>198,249</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Oakwood Mortgage Investors, Inc. 144A</FONT>&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=2>Ser. 01-B, Class A4, 7.21s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>183,593</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>150,033</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 01-B, Class A2, 2.846s, 2018</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>49,567</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>37,601</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ocean Star PLC 144A</FONT>&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=2>FRB Ser. 04-A, Class E, 9.216s, 2018 (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>885,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>778,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 05-A, Class E, 7.316s, 2012 (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>238,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>191,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Option One Mortgage Loan Trust FRB Ser. 05-4,</FONT>&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=2>Class M11, 4.983s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>509,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>55,990</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Park Place Securities, Inc.</FONT>&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=2>FRB Ser. 05-WCH1, Class M4, 3.313s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>104,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>29,120</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 04-MCW1, Class A2, 2.863s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>109,631</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>102,156</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>People's Financial Realty Mortgage Securities Trust</FONT>&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=2>FRB Ser. 06-1, Class 1A2, 2.613s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>225,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>180,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Permanent Financing PLC</FONT>&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=2>FRB Ser. 6, Class 3C, 7.576s, 2042 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>887,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,746,222</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 3, Class 3C, 3.846s, 2042 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$350,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>346,728</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Residential Asset Mortgage Products, Inc.</FONT>&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=2>FRB Ser. 06-NC3, Class A2, 2.673s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>170,480</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>147,074</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 07-RZ1, Class A2, 2.643s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>176,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>129,378</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Residential Asset Securities Corp.</FONT>&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=2>FRB Ser. 05-EMX1, Class M2, 3.213s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>362,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>144,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ser. 01-KS3, Class AII, 2.943s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,482,241</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,371,073</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Residential Asset Securities Corp. 144A FRB Ser.</FONT>&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=2>05-KS10, Class B, 5.233s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>395,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>7,900</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>SAIL Net Interest Margin Notes 144A Ser. 03-3,</FONT>&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=2>Class A, 7 3/4s, 2033 (Cayman Islands) (In default)</FONT>&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=2>(NON)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>17,341</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>7</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Securitized Asset Backed Receivables, LLC</FONT>&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=2>FRB Ser. 05-HE1, Class M2, 3.133s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>160,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>48,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 07-NC2, Class A2B, 2.623s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>165,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>111,375</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>SG Mortgage Securities Trust FRB Ser. 06-OPT2,</FONT>&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=2>Class A3D, PO, 2.693s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>246,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>115,743</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Soundview Home Equity Loan Trust</FONT>&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=2>FRB Ser. 06-OPT3, Class 2A3, 2.653s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>117,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>90,675</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRB Ser. 06-3, Class A3, 2.643s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>529,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>418,324</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Soundview Home Equity Loan Trust 144A FRB Ser. 05-4,</FONT>&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=2>Class M10, 4.983s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>392,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>11,760</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>South Coast Funding 144A FRB Ser. 3A, Class A2,</FONT>&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=2>3.916s, 2038 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>140,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>700</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Structured Asset Investment Loan Trust FRB Ser.</FONT>&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=2>06-BNC2, Class A6, 2.743s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>117,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>56,642</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Structured Asset Investment Loan Trust 144A FRB Ser.</FONT>&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=2>05-HE3, Class M11, 4.983s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>436,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>9,258</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Structured Asset Receivables Trust 144A FRB Ser. 05-1,</FONT>&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=2>3.318s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,760,296</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,638,726</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s,</FONT>&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=2>2038</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>467,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>258,807</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>TIAA Real Estate CDO, Ltd. 144A Ser. 02-1A, Class IV,</FONT>&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=2>6.84s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>390,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>313,638</FONT>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

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<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="49%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Whinstone Capital Management, Ltd. 144A FRB Ser. 1A,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>Class B3, 3.82s, 2044 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>256,909</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>185,360</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Total asset-backed securities (cost $69,601,026)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>$59,461,229</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>SENIOR LOANS (12.5%)(a)(c)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left></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>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Basic Materials (1.3%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left></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=2>Aleris International, Inc. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>4.563s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$411,890</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$355,770</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Domtar Corp. bank term loan FRN 3.779s, 2014 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>320,500</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>308,782</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Georgia-Pacific, LLC bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>4.449s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,037,679</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>978,337</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Georgia-Pacific, LLC bank term loan FRN Ser. B2,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>4.465s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>296,250</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>279,308</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Graphic Packaging Corp. bank term loan FRN Ser. C,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>5.587s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>328,350</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>316,379</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Hexion Specialty Chemicals, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>Ser. C, 5.063s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>19,800</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>17,756</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Huntsman International, LLC bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>4.233s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,420,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,314,092</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Momentive Performance Materials, Inc. bank term loan</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>FRN 4 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>402,625</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>367,597</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>NewPage Holding Corp. bank term loan FRN 6.563s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>338,300</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>335,509</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Novelis, Inc. bank term loan FRN Ser. B, 4.7s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>231,066</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>219,706</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Novelis, Inc. bank term loan FRN Ser. B, 4.7s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>508,346</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>483,352</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Rockwood Specialties Group, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>Ser. E, 4.399s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>869,155</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>835,631</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>5,812,219</FONT></B>&nbsp; </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><B><FONT face=sans-serif size=2>Capital Goods (0.8%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left></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=2>Allied Waste Industries, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>6.82s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>80,728</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>79,674</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Allied Waste Industries, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>4.268s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>134,272</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>132,519</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Berry Plastics Holding Corp. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>4.784s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>148,500</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>134,074</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Graham Packaging Co., LP bank term loan FRN 4.982s,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>2011</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>98,750</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>94,553</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Hawker Beechcraft Acquisition Co., LLC bank term loan</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>FRN 2.1s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>51,780</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>48,511</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Hawker Beechcraft Acquisition Co., LLC bank term loan</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>FRN Ser. B, 4.801s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>977,239</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>915,551</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Hexcel Corp. bank term loan FRN Ser. B, 4.879s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>259,418</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>254,230</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Mueller Water Products, Inc. bank term loan FRN Ser.</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>B, 4.564s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>355,154</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>335,916</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Polypore, Inc. bank term loan FRN Ser. B, 4.74s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>312,895</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>299,597</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sensata Technologies BV bank term loan FRN 4.663s,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>2013 (Netherlands)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>123,846</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>114,454</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sequa Corp. bank term loan FRN 6.025s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>506,316</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>481,317</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Transdigm, Inc. bank term loan FRN 4.801s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>435,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>421,542</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Wesco Aircraft Hardware Corp. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>5.06s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>210,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>203,306</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>3,515,244</FONT></B>&nbsp; </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><B><FONT face=sans-serif size=2>Communication Services (1.1%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left></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=2>Alltel Communications, Inc. bank term loan FRN Ser.</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>B2, 5.564s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>626,422</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>621,881</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Alltel Communications, Inc. bank term loan FRN Ser.</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>B3, 5.232s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>653,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>648,266</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Cricket Communications, Inc. bank term loan FRN Ser.</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>B, 6 1/2s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>34,822</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>34,261</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Crown Castle International Corp. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>4.301s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>104,471</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>99,356</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Fairpoint Communications, Inc. bank term loan FRN Ser.</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>B, 5 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>480,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>428,657</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Intelsat Corp. bank term loan FRN Ser. B2, 5.184s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>266,796</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>252,900</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Intelsat Corp. bank term loan FRN Ser. B2-A, 5.184s,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>266,876</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>252,977</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Intelsat Corp. bank term loan FRN Ser. B2-C, 5.184s,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>266,796</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>252,900</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Intelsat, Ltd. bank term loan FRN 5.688s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>(Bermuda)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>575,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>506,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Intelsat, Ltd. bank term loan FRN Ser. B, 5.184s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>(Bermuda)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>591,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>574,009</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Level 3 Communications, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>4.893s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>210,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>193,673</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>MetroPCS Wireless, Inc. bank term loan FRN 4.989s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>454,562</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>433,893</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>PAETEC Holding Corp. bank term loan FRN 5.363s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>69,825</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>66,683</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>PAETEC Holding Corp. bank term loan FRN Ser. B1,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>4.983s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>204,787</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>195,572</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Time Warner Telecom, Inc. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>4.49s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>317,578</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>303,684</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>West Corp. bank term loan FRN 5.092s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>209,470</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>191,515</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>5,056,227</FONT></B>&nbsp; </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><B><FONT face=sans-serif size=2>Consumer Cyclicals (2.8%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left></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=2>Allison Transmission bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>5.333s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>447,147</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>398,054</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Aramark Corp. bank term loan FRN 4.83s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>12,544</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>11,827</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Aramark Corp. bank term loan FRN Ser. B, 4.676s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>197,456</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>186,169</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>CCM Merger, Inc. bank term loan FRN Ser. B, 4.764s,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>107,996</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>101,516</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Cenveo, Inc. bank term loan FRN Ser. C, 4.551s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>238,999</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>224,061</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Cenveo, Inc. bank term loan FRN Ser. DD, 4.551s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>7,964</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>7,466</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Claire's Stores, Inc. bank term loan FRN 5.445s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>370,181</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>267,687</FONT>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

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<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="49%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Cooper-Standard Automotive, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>Ser. B, 5.313s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>222,330</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>206,211</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Cooper-Standard Automotive, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>Ser. C, 5.313s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>555,559</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>515,281</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Dana Corp. bank term loan FRN 6 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>492,525</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>449,019</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Dex Media West, LLC/Dex Media Finance Co. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>loan FRN Ser. B, 6.814s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>360,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>351,150</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>GateHouse Media, Inc. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>4.93s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>220,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>154,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>GateHouse Media, Inc. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>4.65s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>513,424</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>360,253</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>GateHouse Media, Inc. bank term loan FRN Ser. DD,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>4.714s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>191,576</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>134,423</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Golden Nugget, Inc. bank term loan FRN Ser. B, 4.49s,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>101,818</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>92,655</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Golden Nugget, Inc. bank term loan FRN Ser. DD,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>1 3/4s, 2014 (U)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>58,182</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>52,945</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Goodman Global Holdings, Inc. bank term loan FRN Ser.</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>B, 7.502s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>403,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>397,207</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Goodyear Tire &amp; Rubber Co. (The) bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>4.54s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,760,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,591,700</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Harrah's Operating Co., Inc. bank term loan FRN Ser.</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>B2, 5.919s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>209,475</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>191,001</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Isle of Capri Casinos, Inc. bank term loan FRN 4.551s,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>207,706</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>183,993</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Isle of Capri Casinos, Inc. bank term loan FRN Ser. A,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>4.551s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>62,626</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>55,477</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Isle of Capri Casinos, Inc. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>4.551s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>83,082</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>73,597</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Landsource Communities/NWHL Investment bank term loan</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>FRN 6 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>392,230</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>287,799</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Lear Corp bank term loan FRN 5.133s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>986,256</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>899,137</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Michaels Stores, Inc. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>4.872s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>326,683</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>270,943</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>National Bedding Co. bank term loan FRN 4.605s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>90,770</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>72,616</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Navistar Financial Corp. bank term loan FRN 5.754s,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>218,667</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>206,367</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Navistar International Corp. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>6.234s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>601,333</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>567,508</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Neiman Marcus Group, Inc. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>4.422s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>464,285</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>441,651</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Reader's Digest Association, Inc. (The) bank term loan</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>FRN Ser. B, 4.601s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>419,688</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>364,341</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Realogy Corp. bank term loan FRN 5.32s, 2013 (R)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>213,150</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>180,569</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Realogy Corp. bank term loan FRN Ser. B, 5.475s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>(R)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>791,700</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>670,683</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Standard-Pacific Corp. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>4.469s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>190,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>157,542</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Tribune Co. bank term loan FRN Ser. B, 5.482s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>952,800</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>715,791</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>TRW Automotive, Inc. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>4.218s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>183,613</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>177,301</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>United Components, Inc. bank term loan FRN Ser. D,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>4.698s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>388,444</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>370,964</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Visant Holding Corp. bank term loan FRN Ser. C,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>5.171s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>363,793</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>357,427</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Visteon Corp. bank term loan FRN Ser. B, 7.2s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,005,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>805,571</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Yankee Candle Co., Inc. bank term loan FRN 4.805s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>124,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>112,608</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>12,664,510</FONT></B>&nbsp; </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><B><FONT face=sans-serif size=2>Consumer Staples (3.4%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left></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=2>Affinion Group, Inc. bank term loan FRN Ser. B, 5.17s,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>902,719</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>869,619</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Cablevision Systems Corp. bank term loan FRN 4.225s,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,284,181</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,217,971</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Cebridge Connections, Inc. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>4.724s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>693,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>648,128</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Charter Communications Operating, LLC bank term loan</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>FRN 8 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>229,425</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>227,991</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Charter Communications, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>5.301s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>200,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>165,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Charter Communications, Inc. bank term loan FRN 4.9s,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,195,836</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,923,851</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Cinemark USA, Inc. bank term loan FRN 4.482s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>516,463</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>490,963</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Citadel Communications bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>4.284s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>425,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>367,625</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Dean Foods Co. bank term loan FRN Ser. B, 4.305s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>742,500</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>701,106</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>DirecTV Holdings, LLC bank term loan FRN 5 1/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>280,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>277,970</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Idearc, Inc. bank term loan FRN Ser. B, 4.787s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,420,274</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,132,273</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Insight Midwest, LP bank term loan FRN Ser. B, 4.69s,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>130,326</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>124,968</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Jarden Corp. bank term loan FRN Ser. B1, 4.551s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>271,484</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>258,363</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Jarden Corp. bank term loan FRN Ser. B2, 4.551s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>123,410</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>117,445</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Mediacom Communications Corp. bank term loan FRN Ser.</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>C, 4.227s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>818,470</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>748,389</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Mediacom Communications Corp. bank term loan FRN Ser.</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>D2, 4.227s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>118,200</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>108,153</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>MGM Studios, Inc. bank term loan FRN Ser. B, 5.946s,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>2011</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>882,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>720,090</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Paxson Communications Corp. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>5.963s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>350,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>280,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Pinnacle Foods Holding Corp. bank term loan FRN Ser.</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>B, 5.37s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>505,945</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>470,402</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>R.H. Donnelley, Inc. bank term loan FRN 6.583s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>531,249</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>520,541</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>R.H. Donnelley, Inc. bank term loan FRN Ser. D1,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>6.628s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>296,525</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>290,533</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Rental Service Corp. bank term loan FRN 6.23s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>445,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>374,078</FONT>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

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<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="49%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Rite-Aid Corp. bank term loan FRN Ser. B, 4.227s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>99,750</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>89,526</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Six Flags Theme Parks bank term loan FRN 4.873s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>646,118</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>568,382</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Spanish Broadcasting Systems, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>4.56s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>436,466</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>351,355</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Spectrum Brands, Inc. bank term loan FRN 2.309s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>30,543</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>28,874</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Spectrum Brands, Inc. bank term loan FRN Ser. B1,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>6.633s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>532,537</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>505,022</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Universal City Development Partners bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>Ser. B, 4.411s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>969,872</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>940,776</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Univision Communications, Inc. bank term loan FRN Ser.</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>B, 5.124s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>285,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>233,629</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>VNU Group BV bank term loan FRN Ser. B, 4.734s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>(Netherlands)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>209,469</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>194,993</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Warner Music Group bank term loan FRN Ser. B, 4.646s,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>2011</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>151,203</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>143,013</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Young Broadcasting, Inc. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>5.189s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>263,187</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>236,868</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>15,328,397</FONT></B>&nbsp; </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><B><FONT face=sans-serif size=2>Energy (0.4%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left></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=2>CR Gas Storage bank term loan FRN 4.232s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>20,727</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>19,880</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>CR Gas Storage bank term loan FRN 4.198s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>50,177</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>48,128</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>CR Gas Storage bank term loan FRN Ser. B, 4.534s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>309,979</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>297,321</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>CR Gas Storage bank term loan FRN Ser. DD, 4.227s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>33,989</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>32,601</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Enterprise GP Holdings, LP bank term loan FRN 4.853s,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>220,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>216,563</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>EPCO Holding, Inc. bank term loan FRN Ser. A, 3.858s,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>220,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>212,850</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Hercules Offshore, Inc. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>4.45s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>64,513</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>62,362</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>MEG Energy Corp. bank term loan FRN 4.8s, 2013 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>97,500</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>93,052</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>MEG Energy Corp. bank term loan FRN Ser. DD, 4.8s,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>2013 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>99,875</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>95,464</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Petroleum Geo-Services ASA bank term loan FRN 4.55s,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>2015 (Norway)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>143,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>137,518</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Targa Resources, Inc. bank term loan FRN 4.654s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>272,634</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>264,682</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Targa Resources, Inc. bank term loan FRN 2.571s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>153,871</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>149,383</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>1,629,804</FONT></B>&nbsp; </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><B><FONT face=sans-serif size=2>Financial (0.1%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left></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=2>General Growth Properties, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>Ser. A, 3.6s, 2010 (R)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>89,354</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Hub International, Ltd. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>5.196s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>141,902</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>131,436</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Hub International, Ltd. bank term loan FRN Ser. DD,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>5.196s, 2014 (U)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>31,876</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>29,525</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Nuveen Investments, Inc. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>5.483s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>359,100</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>334,502</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>584,817</FONT></B>&nbsp; </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><B><FONT face=sans-serif size=2>Health Care (0.8%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left></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=2>Community Health Systems, Inc. bank term loan FRN Ser.</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>B, 4.859s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>585,226</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>550,900</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Community Health Systems, Inc. bank term loan FRN Ser.</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>DD, 1/2s, 2014 (U)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>30,270</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>28,494</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Davita, Inc. bank term loan FRN Ser. B, 4.084s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>300,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>287,813</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Health Management Associates, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>4.551s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,329,433</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,233,714</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Healthsouth Corp. bank term loan FRN Ser. B, 5.29s,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>366,345</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>345,542</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IASIS Healthcare, LLC/IASIS Capital Corp. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>loan FRN 8.163s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>359,531</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>314,590</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IASIS Healthcare, LLC/IASIS Capital Corp. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>loan FRN 7.62s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>32,503</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>30,742</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IASIS Healthcare, LLC/IASIS Capital Corp. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>loan FRN Ser. B, 4.483s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>352,258</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>333,177</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IASIS Healthcare, LLC/IASIS Capital Corp. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>loan FRN Ser. DD, 4.483s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>121,885</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>115,283</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>LifePoint, Inc. bank term loan FRN Ser. B, 4.274s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>232,437</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>226,045</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Mylan, Inc. bank term loan FRN Ser. B, 5 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>144,275</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>142,674</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sun Healthcare Group, Inc. bank term loan FRN 2.596s,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>35,012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>32,561</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sun Healthcare Group, Inc. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>4.789s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>108,913</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>101,289</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sun Healthcare Group, Inc. bank term loan FRN Ser. DD,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>4.912s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>21,633</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>20,118</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>3,762,942</FONT></B>&nbsp; </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><B><FONT face=sans-serif size=2>Technology (0.7%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left></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=2>Activant Solutions Holdings, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>Ser. B, 4.748s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>180,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>159,075</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Affiliated Computer Services, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>Ser. B2, 4.465s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>49,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>47,392</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Compucom Systems, Inc. bank term loan FRN 5.99s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>203,463</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>188,203</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>First Data Corp. bank term loan FRN Ser. B1, 5.261s,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>391,565</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>358,918</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>First Data Corp. bank term loan FRN Ser. B3, 5.552s,</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>293,613</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>269,512</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Flextronics International, Ltd. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>Ser. B, 4.963s, 2014 (Singapore)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>173,909</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>158,330</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Flextronics International, Ltd. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>Ser. B, 4.947s, 2014 (Singapore)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>605,203</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>550,988</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Freescale Semiconductor, Inc. bank term loan FRN Ser.</FONT>&nbsp; </TD>
     <TD noWrap align=left></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=2>B, 4.209s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>138,298</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>124,849</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>JDA Software Group, Inc. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

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<A name="page_18"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="49%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>5.072s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>26,833</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>25,558</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sabre Holdings Corp. bank term loan FRN 4.691s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>291,542</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>239,169</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>SunGard Data Systems, Inc. bank term loan FRN 4.508s,</FONT>&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=2>2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>801,970</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>758,162</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Travelport bank term loan FRN 5.196s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>6,335</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>5,680</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Travelport bank term loan FRN Ser. B, 4.733s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>115,464</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>103,532</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Travelport bank term loan FRN Ser. DD, 4.733s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>125,474</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>112,676</FONT>&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><B><FONT face=sans-serif size=2>3,102,044</FONT></B>&nbsp; </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><B><FONT face=sans-serif size=2>Transportation (0.3%)</FONT></B>&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=2>Ceva Group PLC bank term loan FRN 7.38s, 2015</FONT>&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=2>(Netherlands)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,810,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,303,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Delta Airlines, Inc. bank term loan FRN 4.897s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,250</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,847</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>UAL Corp. bank term loan FRN Ser. B, 4.779s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>129,778</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>96,252</FONT>&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><B><FONT face=sans-serif size=2>1,401,299</FONT></B>&nbsp; </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><B><FONT face=sans-serif size=2>Utilities &amp; Power (0.8%)</FONT></B>&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=2>Dynegy Holdings, Inc. bank term loan FRN 3.983s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>765,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>717,953</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Energy Future Holdings Corp. bank term loan FRN Ser.</FONT>&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=2>B2, 6.235s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>692,049</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>639,953</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Energy Future Holdings Corp. bank term loan FRN Ser.</FONT>&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=2>B3, 6.262s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>641,775</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>593,041</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>NRG Energy, Inc. bank term loan FRN 7.84s, 2014 (U)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>180,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>171,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>NRG Energy, Inc. bank term loan FRN 4.346s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>287,427</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>273,255</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>NRG Energy, Inc. bank term loan FRN 4.301s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>586,780</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>557,849</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Reliant Energy, Inc. bank term loan FRN 2.339s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>450,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>426,375</FONT>&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><B><FONT face=sans-serif size=2>3,379,426</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Total senior loans (cost $59,794,121)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>$56,236,929</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>FOREIGN GOVERNMENT BONDS AND NOTES (12.5%)(a)</FONT></B>&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>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Argentina (Republic of) bonds 7s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$47,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$36,308</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Argentina (Republic of) bonds Ser. $ V, 10 1/2s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>ARS</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,154,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>678,110</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Argentina (Republic of) bonds FRB zero %, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$1,431,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>681,156</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Argentina (Republic of) sr. unsec. unsub. bonds 7s,</FONT>&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=2>2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>653,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>456,284</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Argentina (Republic of) sr. unsec. unsub. bonds FRB</FONT>&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=2>3.092s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>6,761,875</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>5,691,594</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Austria (Republic of) 144A notes Ser. EMTN, 3.8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,390,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,089,485</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Brazil (Federal Republic of) 10s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>BRL</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>65,700</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>378,552</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Brazil (Federal Republic of) bonds 6s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$790,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>805,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Brazil (Federal Republic of) notes zero %, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>BRL</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>339,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,654,884</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Colombia (Republic of) notes 10s, 2012 (S)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$3,497,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,052,149</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ecuador (Republic of) bonds Ser. REGS, 12s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,645,056</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,677,957</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ecuador (Republic of) 144A unsec. bonds 12s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>465,120</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>474,422</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ecuador (Republic of) regs notes 9 3/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>125,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>128,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ghana (Republic of) bonds 8 1/2s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>285,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>292,296</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Indonesia (Republic of) sr. unsec. unsub. bonds Ser.</FONT>&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=2>JUN, 6 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,590,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,591,988</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Indonesia (Republic of) bonds 14.275s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>IDR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,541,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>286,087</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Indonesia (Republic of) bonds 14 1/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>IDR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>7,546,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>854,886</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Japan (Government of) CPI Linked bonds Ser. 12, 1.2s,</FONT>&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=2>2017</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>375,619,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,562,393</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Japan (Government of) CPI Linked bonds Ser. 8, 1s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,763,386,200</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>16,590,999</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Mexican (Government of) bonds Ser. M 10, 8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>MXN</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>17,460,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,593,965</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Spain (Government of) bonds 5.4s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,598,004</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sweden (Government of) debs. Ser. 1041, 6 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>SEK</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>30,690,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>5,633,962</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ukraine (Government of) 144A bonds 6 3/4s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$795,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>707,550</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ukraine (Government of) 144A sr. unsub. 6.58s, 2016 (S)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>600,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>552,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Venezuela (Republic of) notes 10 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,485,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,584,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Venezuela (Republic of) unsec. note FRN Ser. REGS,</FONT>&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=2>3.908s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>770,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>693,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Venezuela (Republic of) unsub. bonds 5 3/8s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>945,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>894,206</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Total foreign government bonds and notes (cost $52,951,206)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>$56,241,187</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>PURCHASED OPTIONS OUTSTANDING (1.7%)(a)</FONT></B>&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>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Expiration date/</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Contract</FONT>&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=2>strike price</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Option on an interest rate swap with Lehman Brothers</FONT>&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=2>Special Financing, Inc. for the right to receive</FONT>&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=2>a fixed rate of 5.37% versus the three month</FONT>&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=2>USD-LIBOR-BBA maturing November 12, 2019.</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Nov-09/5.37</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$18,927,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$1,052,909</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Option on an interest rate swap with JPMorgan Chase</FONT>&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=2>Bank, N.A. for the right to receive a fixed rate</FONT>&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=2>of 5.355% versus the three month USD-LIBOR-BBA maturing</FONT>&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=2>on November 12, 2019.</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Nov-09/5.355</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>18,927,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,039,849</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Option on an interest rate swap with Goldman Sachs</FONT>&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=2>International for the right to receive a fixed rate</FONT>&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=2>of 5.355% versus the three month USD-LIBOR-BBA maturing</FONT>&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=2>November 12, 2019.</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Nov-09/5.355</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>18,927,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,039,849</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Option on an interest rate swap with Goldman Sachs</FONT>&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=2>International for the right to pay a fixed rate</FONT>&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=2>of 5.355% versus the three month USD-LIBOR-BBA maturing</FONT>&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=2>on November 12, 2019.</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Nov-09/5.355</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>18,927,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>531,281</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Option on an interest rate swap with Lehman Brothers</FONT>&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=2>Special Financing, Inc. for the right to pay a fixed</FONT>&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=2>rate of 5.37% versus the three month USD-LIBOR-BBA</FONT>&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=2>maturing November 12, 2019.</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Nov-09/5.37</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>18,927,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>522,953</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Option on an interest rate swap with JPMorgan Chase</FONT>&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=2>Bank, N.A. for the right to pay a fixed rate of 5.355%</FONT>&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=2>versus the three month USD-LIBOR-BBA maturing</FONT>&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=2>November 12, 2019.</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Nov-09/5.355</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>18,927,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>531,281</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Option on an interest rate swap with JPMorgan Chase</FONT>&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=2>Bank, N.A. for the right to pay a fixed rate of 5.03%</FONT>&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></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_19"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="49%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>versus the three month USD-LIBOR-BBA maturing on</FONT>&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=2>February 16, 2020.</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Feb-10/5.03</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>32,120,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,376,021</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Option on an interest rate swap with JPMorgan Chase</FONT>&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=2>Bank, N.A. for the right to receive a fixed rate</FONT>&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=2>of 5.03% versus the three month USD-LIBOR-BBA maturing</FONT>&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=2>on February 16, 2020.</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Feb-10/5.03</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>32,120,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,364,458</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Option on an interest rate swap with JPMorgan Chase</FONT>&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=2>Bank, N.A. for the right to pay a fixed rate of 4.41%</FONT>&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=2>versus the three month USD-LIBOR-BBA maturing on</FONT>&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=2>August 5, 2018.</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Aug-08/4.41</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>8,061,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>222,081</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Option on an interest rate swap with JPMorgan Chase</FONT>&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=2>Bank, N.A. for the right to receive a fixed rate</FONT>&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=2>of 4.41% versus the three month USD-LIBOR-BBA maturing</FONT>&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=2>on August 5, 2018.</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Aug-08/4.41</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>8,061,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>31,438</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Total purchased options outstanding (cost $7,550,562)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>$7,712,120</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>CONVERTIBLE PREFERRED STOCKS (0.1%)(a)</FONT></B>&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>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Shares</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Emmis Communications Corp. Ser. A, $3.125 cum. cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,393</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$58,629</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Lehman Brothers Holdings, Inc. Ser. P, 7.25% cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>667</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>536,555</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Total convertible preferred stocks (cost $738,520)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>$595,184</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>COMMON STOCKS (--%)(a)</FONT></B>&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>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Shares</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>AboveNet, Inc. (NON)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>240</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$14,640</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Bohai Bay Litigation, LLC (Units) (F)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>991</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>14,017</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>VFB LLC (acquired 10/27/00, cost $594,553)</FONT>&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=2>(F)(RES)(NON)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>948,004</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>19,610</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>XCL Warranty Escrow (F)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>991</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>70,698</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Total common stocks (cost $688,065)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>$118,965</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>WARRANTS (--%)(a)(NON)</FONT></B>&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>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Expiration date</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Strike Price</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Warrants</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>AboveNet, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>9/08/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$20.00</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>101</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$4,042</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>AboveNet, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>9/08/10</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>24.00</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>118</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,012</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>New ASAT Finance, Ltd. (Cayman Islands) (F)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>2/01/11</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>.01</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,380</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>19</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Dayton Superior Corp. 144A (F)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>6/15/09</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>.01</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,020</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,418</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Smurfit Kappa Group PLC 144A (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>10/01/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>EUR .001</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>508</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>21,815</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Total warrants (cost $38,587)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>$33,306</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>SHORT-TERM INVESTMENTS (4.3%)(a)</FONT></B>&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>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Principal</FONT>&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><FONT face=sans-serif size=2>amount/shares</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Short-term investments held as collateral for loaned</FONT>&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=2>securities with yields ranging from 2.00% to 3.75% and</FONT>&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=2>due dates ranging from July 1, 2008 to August 19, 2008</FONT>&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=2>(d)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$4,855,731</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$4,850,220</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>U.S. Treasury Bills for effective yields ranging from</FONT>&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=2>1.18% to 2.00%, maturity date September 18, 2008 (SEG)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>12,402,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>12,364,447</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Egypt Treasury Bills for an effective yield of 10.58%,</FONT>&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=2>maturity date December 2, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>EGP</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,500,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>808,724</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Egypt Treasury Bills for an effective yield of 9.78%,</FONT>&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=2>maturity date September 2, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>EGP</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>7,875,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,453,486</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Total short-term investments (cost $19,476,877)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>$19,476,877</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>TOTAL INVESTMENTS</FONT></B>&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=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Total investments (cost $947,266,835) (b)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>$936,946,410</FONT></B>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_20"></A>
<P align=left><B><FONT face=sans-serif size=2>FORWARD CURRENCY CONTRACTS TO BUY at 6/30/08 (aggregate face value $73,551,973) (Unaudited)</FONT></B></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="47%"></TD>
     <TD width="15%"></TD>
     <TD width="13%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></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=2>Unrealized</FONT>&nbsp; </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=2>Aggregate</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Delivery</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>appreciation/</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>face value</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>date</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(depreciation)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=6>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Australian Dollar</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$17,155,838</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$16,487,493</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>7/16/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$668,345</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>British Pound</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>9,549,424</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>9,397,827</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>9/17/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>151,597</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Canadian Dollar</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>657,831</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>660,301</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>7/16/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(2,470)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Danish Krone</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>283,166</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>277,619</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>9/17/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>5,547</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Euro</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>7,481,604</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>7,443,994</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>9/17/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>37,610</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Japanese Yen</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,173,604</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,154,787</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>8/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>18,817</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Malaysian Ringgit</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,892,476</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,944,840</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>8/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(52,364)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Mexican Peso</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>639,409</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>620,833</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>7/16/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>18,576</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Norwegian Krone</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>23,486,217</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>23,323,883</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>9/17/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>162,334</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Polish Zloty</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>5,047,980</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,890,581</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>9/17/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>157,399</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Swiss Franc</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>6,429,313</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>6,349,815</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>9/17/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>79,498</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=6>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Total</FONT></B>&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><B><FONT face=sans-serif size=2>$1,244,889</FONT></B>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_21"></A>
<P align=left><B><FONT face=sans-serif size=2>FORWARD CURRENCY CONTRACTS TO SELL at 6/30/08 (aggregate face value $73,372,785) (Unaudited)</FONT></B></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="47%"></TD>
     <TD width="15%"></TD>
     <TD width="13%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></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=2>Unrealized</FONT>&nbsp; </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=2>Aggregate</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Delivery</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>appreciation/</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>face value</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>date</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(depreciation)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=6>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Australian Dollar</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$12,149</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$12,102</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>7/16/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$(47)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>British Pound</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,615,295</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,604,317</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>9/17/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(10,978)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Canadian Dollar</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>14,633,393</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>14,642,123</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>7/16/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>8,730</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Euro</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>20,163,908</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>19,927,742</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>9/17/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(236,166)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Hungarian Forint</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,066,280</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,857,041</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>9/17/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(209,239)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Japanese Yen</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,239,786</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,267,501</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>8/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>27,715</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Norwegian Krone</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,734,287</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,724,569</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>9/17/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(9,718)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>South African Rand</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,262,954</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,236,414</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>7/16/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(26,540)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Swedish Krona</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>17,381,907</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>17,321,962</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>9/17/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(59,945)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Swiss Franc</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>6,953,081</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>6,779,014</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>9/17/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(174,067)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=6>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Total</FONT></B>&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><B><FONT face=sans-serif size=2>$(690,255)</FONT></B>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

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<A name="page_22"></A>
<P align=left><B><FONT face=sans-serif size=2>FUTURES CONTRACTS OUTSTANDING at 6/30/08 (Unaudited)</FONT></B></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="47%"></TD>
     <TD width="15%"></TD>
     <TD width="13%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></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=2>Unrealized</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Number of</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Expiration</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>appreciation/</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>contracts</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>date</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(depreciation)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=6>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Australian Government Treasury Bond 10 yr (Short)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>106</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$71,293,239</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sep-08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$(213,841)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Canadian Government Bond 10 yr (Long)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>9</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,039,149</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sep-08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(6,320)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Euro-Bobl 5 yr (Long)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>192</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>31,985,841</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sep-08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(454,102)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Euro-Bund 10 yr (Long)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>187</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>32,563,562</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sep-08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(411,077)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Euro-Dollar 90 day (Short)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>125</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>30,146,875</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Jun-09</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>218,073</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Euro-Dollar 90 day (Short)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>227</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>54,602,013</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sep-09</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>428,771</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Euro-Dollar 90 day (Short)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>617</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>147,979,738</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Dec-09</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,308,960</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Euro-Dollar 90 day (Short)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>21</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>5,026,613</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Mar-10</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>30,206</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Euro-Schatz 2 yr (Short)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>153</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>24,656,201</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sep-08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(60,739)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Japanese Government Bond 10 yr (Long)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>74</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>94,541,596</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sep-08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>717,852</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sterling Interest Rate 90 day (Long)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>36</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>8,411,055</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Dec-08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(91,140)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sterling Interest Rate 90 day (Long)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>317</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>74,119,297</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Jun-09</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(922,974)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sterling Interest Rate 90 day (Long)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>214</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>50,041,703</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sep-09</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(568,745)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sterling Interest Rate 90 day (Long)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>61</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>14,257,385</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Mar-09</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(173,416)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>U.K. Gilt 10 yr (Long)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>8</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,664,561</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sep-08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(32,072)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>U.S. Treasury Bond 20 yr (Long)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1770</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>204,600,938</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sep-08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,174,337</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>U.S. Treasury Note 2 yr (Short)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>5194</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,096,989,031</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sep-08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(2,650,443)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>U.S. Treasury Note 5 yr (Short)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1853</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>204,857,836</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sep-08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>329,432</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>U.S. Treasury Note 10 yr (Long)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>63</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>7,177,078</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sep-08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>5,788</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=6>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Total</FONT></B>&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><B><FONT face=sans-serif size=2>$(371,450)</FONT></B>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

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<A name="page_23"></A>
<P align=left><B><FONT face=sans-serif size=2>WRITTEN OPTIONS OUTSTANDING at 6/30/08 (premiums received $3,433,881) (Unaudited)</FONT></B></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="62%"></TD>
     <TD width="13%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Contract</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Expiration date/</FONT>&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=2>amount</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>strike price</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation</FONT>&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=2>to pay a fixed rate of 5.00% versus the three month USD-LIBOR-BBA maturing on</FONT>&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=2>December 19, 2018.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$1,060,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Dec-08/5.00</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$36,199</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation</FONT>&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=2>to receive a fixed rate of 5.00% versus the three month USD-LIBOR-BBA maturing on</FONT>&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=2>December 19, 2018.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,060,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Dec-08/5.00</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>20,172</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation</FONT>&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=2>to pay a fixed rate of 5.51% versus the three month USD-LIBOR-BBA maturing on</FONT>&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=2>May 14, 2022.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>25,011,500</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>May-12/5.51</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,584,228</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation</FONT>&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=2>to receive a fixed rate of 5.51% versus the three month USD-LIBOR-BBA maturing on</FONT>&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=2>May 14, 2022.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>25,011,500</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>May-12/5.51</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,093,753</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for</FONT>&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=2>the obligation to pay a fixed rate of 5.515% versus the three month USD-LIBOR-BBA</FONT>&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=2>maturing on May 14, 2022.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>12,505,500</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>May-12/5.515</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>795,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for</FONT>&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=2>the obligation to receive a fixed rate of 5.515% versus the three month</FONT>&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=2>USD-LIBOR-BBA maturing on May 14, 2022.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>12,505,500</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>May-12/5.515</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>545,365</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for</FONT>&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=2>the obligation to pay a fixed rate of 5.52% versus the three month USD-LIBOR-BBA</FONT>&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=2>maturing on May 14, 2022.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>5,002,500</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>May-12/5.52</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>318,659</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for</FONT>&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=2>the obligation to receive a fixed rate of 5.52% versus the three month</FONT>&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=2>USD-LIBOR-BBA maturing on May 14, 2022.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>5,002,500</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>May-12/5.52</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>217,259</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Total</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>$4,611,235</FONT></B>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_24"></A>
<P align=left><B><FONT face=sans-serif size=2>TBA SALE COMMITMENTS OUTSTANDING at 6/30/08 (proceeds receivable $283,440,820) (Unaudited)</FONT></B></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="62%"></TD>
     <TD width="13%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Settlement</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Agency</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>amount</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>date</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FNMA, 5 1/2s, July 1, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$215,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>7-14-08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$211,842,188</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FNMA, 5s, July 1, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>76,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>7-14-08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>72,823,438</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Total</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>$284,665,626</FONT></B>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_25"></A>
<P align=left><B><FONT face=sans-serif size=1>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/08 (Unaudited)</FONT></B></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="5%"></TD>
     <TD width="15%"></TD>
     <TD align=center width="3%"></TD>
     <TD width="8%"></TD>
     <TD width="5%"></TD>
     <TD width="12%"></TD>
     <TD width="21%"></TD>
     <TD width="19%"></TD>
     <TD width="11%"></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>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp; </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>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Termination</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>made by</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received by</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT>&nbsp; </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=sans-serif size=1>received (paid)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=4><B><FONT face=sans-serif size=1>Bank of America, N.A.</FONT></B></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>$4,400,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/27/14</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.35%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$(60,543)</FONT>&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>16,800,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/30/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.075%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(134,318)</FONT>&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>32,178,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/23/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.155%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(185,593)</FONT>&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>17,529,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/6/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.6675%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(17,106)</FONT>&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>55,642,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/24/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.7375%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,679,750</FONT>&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>10,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/1/15</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.53%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>155,179</FONT>&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>11,889,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/8/28</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.95%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(69,803)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=4><B><FONT face=sans-serif size=1>Citibank, N.A.</FONT></B></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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,134,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/11/16</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1.8675%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month JPY-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(134,410)</FONT>&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>$42,130,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/29/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.078%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,083,255)</FONT>&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>24,650,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/27/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.504%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,055,124)</FONT>&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>54,651,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/26/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.6275%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,132,387)</FONT>&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>14,112,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/9/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.387%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(239,356)</FONT>&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>14,501,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/9/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.0825%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(533,866)</FONT>&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>37,608,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/23/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.885%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(783,315)</FONT>&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>AUD</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,550,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/11/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month AUD-BBR-BBSW</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7.04%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(287,488)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=5><B><FONT face=sans-serif size=1>Citibank, N.A., London</FONT></B></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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,300,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2/10/16</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month JPY-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1.755%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>92,529</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=5><B><FONT face=sans-serif size=1>Credit Suisse First Boston International</FONT></B></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>$5,699,500</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/9/14</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.945%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(266,783)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=5><B><FONT face=sans-serif size=1>Credit Suisse International</FONT></B></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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,730,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/13/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month CHF-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.3175%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(166,986)</FONT>&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>CHF</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>20,910,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/15/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.59%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month CHF-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>267,409</FONT>&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>CHF</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>20,910,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/15/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.6625%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month CHF-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>238,413</FONT>&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>CHF</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,730,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/14/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month CHF-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.3%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(173,802)</FONT>&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>$563,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/29/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.04556%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(27,691)</FONT>&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>1,009,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/16/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.297%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>55,724</FONT>&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>7,647,900</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/6/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.97021%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(215,552)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=5><B><FONT face=sans-serif size=1>Deutsche Bank AG</FONT></B></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>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,690,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/26/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-EURIBOR-Reuters</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.065%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>55,540</FONT>&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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>43,380,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/30/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-EURIBOR-Reuters</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.31%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(919,576)</FONT>&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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>37,070,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/30/15</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.475%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-EURIBOR-Reuters</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,077,723</FONT>&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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,380,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/30/20</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-EURIBOR-Reuters</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.7975%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(252,078)</FONT>&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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>15,855,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/26/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month GBP-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.18%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(30,919)</FONT>&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>ZAR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,120,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/6/11</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month ZAR-JIBAR-SAFEX</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9.16%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(132,826)</FONT>&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>$2,307,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/16/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.297%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>127,409</FONT>&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>1,590,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/7/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.056%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>55,319</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=5><B><FONT face=sans-serif size=1>Goldman Sachs International</FONT></B></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=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>SEK</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>88,030,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/2/11</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month SEK-STIBOR-SIDE</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.2475%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(340,101)</FONT>&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>SEK</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>21,090,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/4/19</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.80%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month SEK-STIBOR-SIDE</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>130,783</FONT>&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>$24,463,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/11/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.029%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(552,650)</FONT>&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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>23,940,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/26/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-EURIBOR-Reuters</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.129%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(783,266)</FONT>&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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,950,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/29/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month GBP-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.25%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(699,094)</FONT>&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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,830,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/27/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.0675%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month GBP-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>448,202</FONT>&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>$12,358,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/2/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.076%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>531,809</FONT>&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>30,676,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/3/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.19%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,036,929)</FONT>&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>CHF</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>31,980,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/5/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.89%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month CHF-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>275,438</FONT>&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>CHF</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,290,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/3/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month CHF-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.42%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(202,757)</FONT>&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>$120,229,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/8/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.64%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,709,356)</FONT>&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>CHF</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,190,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/1/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.9%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month CHF-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>84,184</FONT>&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>CHF</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,310,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/2/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month CHF-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.44%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(60,345)</FONT>&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>$13,189,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/23/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.43%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>209,083</FONT>&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>17,383,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/19/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.525%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>166,325</FONT>&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>73,300,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/10/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.779%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,605,287)</FONT>&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>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,156,260,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/7/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month JPY-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1.09125%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(41,316)</FONT>&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>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>694,380,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/7/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.205%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month JPY-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,313</FONT>&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>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>743,800,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/10/16</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1.953%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month JPY-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(129,458)</FONT>&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>$80,600,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/8/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.99%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>482,794</FONT>&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>2,068,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/14/14</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.906%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(83,475)</FONT>&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>1,009,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/14/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.0625%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(46,535)</FONT>&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>48,973,100</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/19/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.763%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,511,257</FONT>&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>93,857,600</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/21/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.60%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,630,281</FONT>&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>26,170,900</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/21/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.149%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,355,343)</FONT>&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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,990,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/25/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.41%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month GBP-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(113,322)</FONT>&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>CHF</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,820,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2/4/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month CHF-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.8125%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(642,610)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_26"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="5%"></TD>
     <TD width="15%"></TD>
     <TD align=center width="3%"></TD>
     <TD width="8%"></TD>
     <TD width="5%"></TD>
     <TD width="12%"></TD>
     <TD width="21%"></TD>
     <TD width="19%"></TD>
     <TD width="11%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,200,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2/4/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.0525%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-EURIBOR-Reuters</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>882,418</FONT>&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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,990,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/7/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.33625%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month GBP-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(89,127)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=6><B><FONT face=sans-serif size=1>JPMorgan Chase Bank, N.A.</FONT></B></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>$112,807,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/27/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.034%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,197,674)</FONT>&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>4,665,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/7/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.45%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>17,933</FONT>&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>17,121,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/12/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.4525%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(72,489)</FONT>&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>15,289,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/11/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.0025%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(281,016)</FONT>&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>84,261,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/14/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.775%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,845,787)</FONT>&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>35,403,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.145%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,352,849)</FONT>&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>69,999,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/26/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.33375%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(896,105)</FONT>&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>8,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/6/16</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.176%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>459,832</FONT>&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>26,533,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/8/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.58406%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(690,843)</FONT>&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>53,631,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/23/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.16%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(303,681)</FONT>&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>18,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/13/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.47%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(187,037)</FONT>&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>12,060,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/10/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.054%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(490,103)</FONT>&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>16,780,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/10/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.09%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(714,991)</FONT>&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>2,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/27/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.8305%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>24,849</FONT>&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>30,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/17/15</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.5505%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>164,262</FONT>&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>8,700,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/13/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.2%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>489,886</FONT>&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>3,583,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/29/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.2925%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(233,904)</FONT>&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>1,255,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/29/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.263%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(79,255)</FONT>&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>19,633,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/11/27</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.27%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,144,165)</FONT>&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>22,964,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/4/16</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.62375%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,748,033)</FONT>&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>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,460,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/6/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1.83%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month JPY-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,176,871)</FONT>&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>$93,857,600</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/21/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.6125%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,647,488</FONT>&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>26,170,900</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/21/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.15%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,357,245)</FONT>&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>1,540,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/27/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.2335%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(89,910)</FONT>&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>58,733,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/30/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.68375%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,353,971)</FONT>&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>890,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/7/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.05771%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>31,083</FONT>&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>14,112,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/9/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.3975%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(241,546)</FONT>&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>14,501,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/9/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.0895%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(541,698)</FONT>&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>84,001,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/30/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.705%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(537,314)</FONT>&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>33,996,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/11/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.65%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>49,636</FONT>&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>31,100,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/4/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.40%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>623,827</FONT>&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>16,700,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/4/16</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.5195%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,394,896</FONT>&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>25,100,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/2/15</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.4505%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>260,220</FONT>&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>78,868,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/31/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.25%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,477,749)</FONT>&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>22,238,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2/5/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.28%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(364,781)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=6><B><FONT face=sans-serif size=1>Lehman Brothers Special Financing, Inc.</FONT></B></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>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>25,106</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/14/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.35%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>484,121</FONT>&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>65,768,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/19/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.0675%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,744,170)</FONT>&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>54,578,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.215%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,911,674)</FONT>&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>46,110,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/26/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.3525%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(573,710)</FONT>&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>46,110,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/26/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.395%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(535,801)</FONT>&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>4,595,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/26/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.05%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>85,191</FONT>&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>35,403,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.07%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,473,942)</FONT>&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>9,190,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/22/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.29%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(276)</FONT>&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>95,264,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.155%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(3,597,625)</FONT>&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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,120,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/22/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-EURIBOR-Reuters</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.864%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(25,445)</FONT>&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>$112,755,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/25/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.345%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,414,406)</FONT>&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>19,400,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/25/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.2292%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(671,554)</FONT>&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>6,600,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/25/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.583%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>325,288</FONT>&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>112,755,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/25/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.268%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,581,885)</FONT>&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>70,019,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/25/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.275%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(973,315)</FONT>&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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>15,960,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/22/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month GBP-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.075%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(663,033)</FONT>&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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,500,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.99%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month GBP-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>471,791</FONT>&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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,040,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/29/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-EURIBOR-Reuters</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.9625%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>32,767</FONT>&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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>43,570,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/12/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-EURIBOR-Reuters</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.10%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,178,864)</FONT>&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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>37,070,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/13/15</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.31%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-EURIBOR-Reuters</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,468,880</FONT>&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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,350,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/13/20</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-EURIBOR-Reuters</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.6575%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(413,210)</FONT>&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>$58,864,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/16/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.405%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,012,543</FONT>&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>10,854,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/21/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.945%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,768</FONT>&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>4,035,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/26/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.3325%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(13,840)</FONT>&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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>17,282,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/3/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-EURIBOR-Reuters</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.912%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(28,306)</FONT>&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>$25,643,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/3/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.28%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(68,210)</FONT>&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>3,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/30/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.362%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,134</FONT>&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>60,180,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/2/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.19%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_27"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="5%"></TD>
     <TD width="15%"></TD>
     <TD align=center width="3%"></TD>
     <TD align=right width="8%"></TD>
     <TD width="5%"></TD>
     <TD width="12%"></TD>
     <TD width="21%"></TD>
     <TD width="19%"></TD>
     <TD width="11%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>40,910,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/2/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-EURIBOR-Reuters</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.9425%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&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>$68,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/10/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.127%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(317,902)</FONT>&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>17,230,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/10/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.1275%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(439,341)</FONT>&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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,770,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/11/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.52%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-EURIBOR-Reuters</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>432,368</FONT>&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>$14,660,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/11/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.54%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>284,697</FONT>&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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,140,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/12/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.7625%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-EURIBOR-Reuters</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>92,831</FONT>&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>$9,220,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/12/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.4175%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>92,661</FONT>&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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>17,282,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/12/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.7225%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-EURIBOR-Reuters</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>204,675</FONT>&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>$25,643,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/12/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.1575%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(44,875)</FONT>&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>56,254,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.0575%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,769,189)</FONT>&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>75,656,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/12/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.717%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,239,864</FONT>&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>45,378,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/14/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.8725%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,251,923</FONT>&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>79,881,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/3/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.425%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,612,065</FONT>&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>10,091,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/3/11</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.445%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>624,355</FONT>&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>2,218,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/3/16</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.5675%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(192,839)</FONT>&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>32,665,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/15/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.9298%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(863,495)</FONT>&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>85,683,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/31/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.89%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,882,947</FONT>&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>18,098,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/31/27</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.4925%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,587,529)</FONT>&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>18,098,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/4/27</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.4475%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,476,203)</FONT>&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>85,683,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/4/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.836%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,793,250</FONT>&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>92,947,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/11/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.6525%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,758,744</FONT>&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>2,582,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/11/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.0525%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(117,773)</FONT>&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>32,648,700</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/19/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.755%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,003,499</FONT>&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>93,857,600</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/24/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.695%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,774,918</FONT>&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>26,170,900</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/24/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.285%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,634,857)</FONT>&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>54,651,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/26/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.61375%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,101,014)</FONT>&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>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,347,600,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/10/16</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1.7775%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month JPY-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(66,898)</FONT>&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>$460,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/7/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.05521%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>15,976</FONT>&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>14,112,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/9/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.403%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(242,646)</FONT>&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>14,501,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/9/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.067%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(516,430)</FONT>&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>55,604,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/11/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.839%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>890,398</FONT>&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>26,924,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/16/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.375%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>194,833</FONT>&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>3,287,252</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2/8/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.441%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>75,139</FONT>&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>52,310,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2/14/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.563%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>909,234</FONT>&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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,060,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/26/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-EURIBOR-Reuters</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.74%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(58,505)</FONT>&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>$46,110,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/26/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.325%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(598,267)</FONT>&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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>23,940,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/29/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-EURIBOR-Reuters</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.25%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(712,982)</FONT>&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>$6,060,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(E)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/29/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.31%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(9,878)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=6><B><FONT face=sans-serif size=1>Merrill Lynch Capital Services, Inc.</FONT></B></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>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/26/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.6165%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,107,289)</FONT>&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>18,938,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/19/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.2925%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>59,392</FONT>&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>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>743,800,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/10/16</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1.99625%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month JPY-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(152,221)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=6><B><FONT face=sans-serif size=1>Merrill Lynch Derivative Products AG</FONT></B></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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>371,900,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/11/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.05625%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month JPY-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(80,136)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=6><B><FONT face=sans-serif size=1>Morgan Stanley Capital Services, Inc.</FONT></B></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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,660,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/28/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.065%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month GBP-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>713,553</FONT>&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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>31,830,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/29/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month GBP-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.21%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,162,413)</FONT>&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>$448,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>-- </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/29/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.26021%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(28,187)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>Total</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=1>$(21,781,301)</FONT></B>&nbsp; </TD></TR></TABLE><BR>
<P align=left><B><I><FONT face=sans-serif size=1>(E) See Total return swap contracts note and/or Interest rate swap contracts note(s) regarding extended effective dates.</FONT></I></B></P>
<P align=left><B><I><FONT face=sans-serif size=1>(F) Is valued at fair value following procedures approved by the Trustees.</FONT></I></B></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_28"></A>
<P align=left><B><FONT face=sans-serif size=1>TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/08 (Unaudited)</FONT></B></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="5%"></TD>
     <TD width="15%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD>
     <TD width="20%"></TD>
     <TD width="21%"></TD>
     <TD width="13%"></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><FONT face=sans-serif size=1>Fixed payments</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total return</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp; </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=left><FONT face=sans-serif size=1>Termination</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received (paid) by</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received by</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Notional amount</FONT></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>or paid by fund</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=5><B><FONT face=sans-serif size=1>Bank of America, N.A.</FONT></B></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>$34,204,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(1)(F)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/1/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Banc of America</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$(775,131)</FONT>&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><FONT face=sans-serif size=1>Securities AAA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Banc</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10 year Index</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of America</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>multiplied by</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities- CMBS</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>the modified</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA 10 year Index</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>minus 125 bp</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>23,496,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(1)(F)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/1/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Banc of America</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(196,685)</FONT>&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><FONT face=sans-serif size=1>Securities AAA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Banc</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10 year Index</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>of America</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>multiplied by</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities- CMBS</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>the modified</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA 10 year Index</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>minus 20 bp</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=4><B><FONT face=sans-serif size=1>Credit Suisse International</FONT></B></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<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>16,875,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(2)(F)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/1/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(Beginning</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>612,799</FONT>&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><FONT face=sans-serif size=1>of period nominal</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Lehman</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>spread of Lehman</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers AAA</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers AAA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ CMBS Index</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ Commercial</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>adjusted by</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mortgage Backed</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>modified</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities Index</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>minus 450 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=4><B><FONT face=sans-serif size=1>Goldman Sachs International</FONT></B></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=right><FONT face=sans-serif size=1>1,345,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/15/11</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>678 bp (1 month</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ford Credit Auto</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(18,702)</FONT>&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><FONT face=sans-serif size=1>USD-LIBOR-BBA)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Owner Trust</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Series 2005-B</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Class D</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>EUR</FONT></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,720,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/26/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(2.27%)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Eurostat</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>245,378</FONT>&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=left><FONT face=sans-serif size=1>Eurozone HICP</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>excluding tobacco</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>EUR</FONT></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,600,000</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/30/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.375%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>French Consumer</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(332,014)</FONT>&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=left><FONT face=sans-serif size=1>Price Index</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>excluding tobacco</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>EUR</FONT></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,600,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/30/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(2.41%)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Eurostat</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>456,595</FONT>&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=left><FONT face=sans-serif size=1>Eurozone HICP</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>excluding tobacco</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>EUR</FONT></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,600,000</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/6/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.34%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>French Consumer</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(349,255)</FONT>&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=left><FONT face=sans-serif size=1>Price Index</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>excluding tobacco</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>EUR</FONT></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,600,000</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/6/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(2.385%)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Eurostat</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>387,658</FONT>&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=left><FONT face=sans-serif size=1>Eurozone HICP</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>excluding tobacco</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>GBP</FONT></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,760,000</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/9/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.10%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP Non-revised</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(386,214)</FONT>&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=left><FONT face=sans-serif size=1>Retail Price</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>GBP</FONT></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,433,000</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/7/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.485%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP Non-revised</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(310,837)</FONT>&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=left><FONT face=sans-serif size=1>UK Retail Price</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index excluding</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>tobacco</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>GBP</FONT></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,912,000</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/7/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(3.11%)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP Non-revised</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>260,872</FONT>&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=left><FONT face=sans-serif size=1>UK Retail Price</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index excluding</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>tobacco</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>GBP</FONT></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,912,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/24/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(3.26%)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP Non-revised</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>203,474</FONT>&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=left><FONT face=sans-serif size=1>UK Retail Price</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index excluding</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>tobacco</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>GBP</FONT></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,433,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/24/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.6665%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP Non-revised</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(185,628)</FONT>&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=left><FONT face=sans-serif size=1>UK Retail Price</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index excluding</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>tobacco</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=4><B><FONT face=sans-serif size=1>JPMorgan Chase Bank, N.A.</FONT></B></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>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(1)(F)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/1/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Change in spread</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(853,215)</FONT>&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><FONT face=sans-serif size=1>of Lehman</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Lehman</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers AAA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers AAA</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ Commercial</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ CMBS Index</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mortgage Backed</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>adjusted by</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities Index</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>modified</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>minus 17.5 bp</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=5><B><FONT face=sans-serif size=1>Lehman Brothers Special Financing, Inc.</FONT></B></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>3,646,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(1)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/1/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lehman Brothers</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(75,032)</FONT>&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><FONT face=sans-serif size=1>SD CMBS AAA 8.5+</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Lehman</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index multiplied</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers SD CMBS</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>by the modified</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA 8.5+ Index</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT>&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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>minus 75 bp</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>23,496,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(1)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/1/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lehman Brothers</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(303,503)</FONT>&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><FONT face=sans-serif size=1>SD CMBS AAA 8.5+</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Lehman</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_29"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="5%"></TD>
     <TD width="15%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD>
     <TD width="20%"></TD>
     <TD width="21%"></TD>
     <TD width="13%"></TD></TR>
<TR vAlign=bottom>
     <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><FONT face=sans-serif size=1>Index multiplied</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers SD CMBS</FONT>&nbsp; </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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>by the modified</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA 8.5+ Index</FONT>&nbsp; </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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT>&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>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>minus 40 bp</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD></TD>
     <TD colSpan=6>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,860,000</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/2/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(3.4075%)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>USA Non Revised</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <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>
     <TD noWrap align=left><FONT face=sans-serif size=1>Consumer Price</FONT>&nbsp; </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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index- Urban</FONT>&nbsp; </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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(CPI-U)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD></TD>
     <TD colSpan=6>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,665,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(2)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/1/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(Beginning</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(474,724)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <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><FONT face=sans-serif size=1>of period nominal</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Lehman</FONT>&nbsp; </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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>spread of Lehman</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers AAA</FONT>&nbsp; </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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers AAA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ CMBS Index</FONT>&nbsp; </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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ Commercial</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>adjusted by</FONT>&nbsp; </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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mortgage Backed</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>modified</FONT>&nbsp; </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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities Index</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT>&nbsp; </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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>minus 100 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD></TD>
     <TD colSpan=6>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,890,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(1)(F)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/1/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lehman Brothers</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(37,562)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <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><FONT face=sans-serif size=1>SD CMBS AAA 8.5+</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Lehman</FONT>&nbsp; </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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index multiplied</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers SD CMBS</FONT>&nbsp; </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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>by the modified</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA 8.5+ Index</FONT>&nbsp; </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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT>&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>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>plus 40 bp</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD></TD>
     <TD colSpan=6>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,890,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(1)(F)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/1/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lehman Brothers</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(35,617)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <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><FONT face=sans-serif size=1>SD CMBS AAA 8.5+</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Lehman</FONT>&nbsp; </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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index multiplied</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers SD CMBS</FONT>&nbsp; </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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>by the modified</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA 8.5+ Index</FONT>&nbsp; </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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT>&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>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>plus 50 bp</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD></TD>
     <TD colSpan=6>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,757,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(1)(F)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/1/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lehman Brothers</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(113,018)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <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><FONT face=sans-serif size=1>SD CMBS AAA 8.5+</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Lehman</FONT>&nbsp; </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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index multiplied</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers SD CMBS</FONT>&nbsp; </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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>by the modified</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA 8.5+ Index</FONT>&nbsp; </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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT>&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>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>minus 25 bp</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD></TD>
     <TD colSpan=6>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=4><B><FONT face=sans-serif size=1>Merrill Lynch Capital Services</FONT></B></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>69,912,591</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/14/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(2.61%) 5.50%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>FNMA 5.50% 30 YR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(402,203)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <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>
     <TD noWrap align=left><FONT face=sans-serif size=1>TBA</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD></TD>
     <TD colSpan=6>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=4><B><FONT face=sans-serif size=1>Morgan Stanley Capital Services, Inc.</FONT></B></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>8,891,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(1)(F)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/1/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Beginning</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(93,684)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <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><FONT face=sans-serif size=1>of period nominal</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>return of Lehman</FONT>&nbsp; </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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>spread of Lehman</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers Aaa</FONT>&nbsp; </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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brothers AAA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ CMBS Index</FONT>&nbsp; </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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5+ Commercial</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>adjusted by</FONT>&nbsp; </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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mortgage Backed</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>modified</FONT>&nbsp; </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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities Index</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>duration factor</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD></TD>
     <TD colSpan=6>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><B><FONT face=sans-serif size=1>Total</FONT></B>&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><B><FONT face=sans-serif size=1>$(2,776,248)</FONT></B>&nbsp; </TD></TR></TABLE><BR>
<P align=left><B><I><FONT face=sans-serif size=1>(F) Is valued at fair value following procedures approved by the Trustees.</FONT></I></B></P>
<P align=left><B><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></B></P>
<P align=left><B><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></B></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_30"></A>
<P align=left><B><FONT face=sans-serif size=1>CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/08 (Unaudited)</FONT></B></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD align=left width="24%"></TD>
     <TD width="13%"></TD>
     <TD align=center width="5%"></TD>
     <TD width="12%"></TD>
     <TD align=center width="5%"></TD>
     <TD width="13%"></TD>
     <TD width="15%"></TD>
     <TD align=right width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Upfront</FONT>&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><FONT face=sans-serif size=1>Fixed payments</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Swap counterparty /</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>premium</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Notional</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Termination</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received (paid) by</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Referenced debt*</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>received (paid)**</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>Bank of America, N.A.</FONT></B>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Abitibibowater Inc.,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 1/2%, 6/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$125,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>550 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$(3,755)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>138</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>200,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/12/52</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(134 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>57,230</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>123,625</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,064,886</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/25/45</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>18 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>36,442</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,139</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,407,380</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(375 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>483,902</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Financial Security</FONT>&nbsp; </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Assurance Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>555,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>95 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(104,744)</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Idearc, Inc T/L Bank</FONT>&nbsp; </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Loan</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>600,000</FONT>&nbsp; </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(152 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>62,733</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Lehman Brothers</FONT>&nbsp; </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Holdings, 6 5/8%,</FONT>&nbsp; </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>1/18/12</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,205,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>269 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(3,771)</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Nalco, Co.</FONT>&nbsp; </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>7.75%,11/15/11</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>80,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>350 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,464)</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Visteon Corp., 7%,</FONT>&nbsp; </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>3/10/14</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(127,500)</FONT>&nbsp; </TD>
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     <TD noWrap align=right><FONT face=sans-serif size=1>480,000</FONT>&nbsp; </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(500 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>36,090</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left><B><FONT face=sans-serif size=1>Barclays Bank PLC</FONT></B>&nbsp; </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Peru CD</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,462,116</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/7/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>170 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11,019</FONT>&nbsp; </TD></TR>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Peru CD</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,387,940</FONT>&nbsp; </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>11/10/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>170 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,701</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left><B><FONT face=sans-serif size=1>Bear Stearns Credit Products, Inc.</FONT></B>&nbsp; </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Claire's Stores,</FONT>&nbsp; </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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>70,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>230 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(10,884)</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left><B><FONT face=sans-serif size=1>Citibank, N.A.</FONT></B>&nbsp; </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Abitibibowater Inc.,</FONT>&nbsp; </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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>125,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>725 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,681)</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Abitibibowater Inc.,</FONT>&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>6 1/2%, 6/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>125,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>800 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,221)</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Abitibibowater Inc.,</FONT>&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>6 1/2%, 6/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>125,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>825 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,067)</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Advanced Micro Devices</FONT>&nbsp; </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Inc., 7.75%, 11/1/12</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
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     <TD noWrap align=right><FONT face=sans-serif size=1>2,155,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>575 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,933</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE A Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,450,210</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,451,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/25/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>369 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(667,078)</FONT>&nbsp; </TD></TR>
<TR>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE AAA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>600,474</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,070,600</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/25/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>76 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(520,135)</FONT>&nbsp; </TD></TR>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX NA HE AAA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>211,351</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,985,815</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/25/45</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>18 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>47,168</FONT>&nbsp; </TD></TR>
<TR>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX NA HE AAA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>355,160</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,264,474</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/25/45</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>18 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,583</FONT>&nbsp; </TD></TR>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX NA HE AAA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>344,397</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,264,474</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/25/45</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>18 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(8,179)</FONT>&nbsp; </TD></TR>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freescale</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Semiconductor, 8 7/8%,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
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     <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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>220,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>495 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(24,842)</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Lear Corp., term loan</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>265,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(225 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,527</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Sanmina-Sci Corp.,</FONT>&nbsp; </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>8 1/8%, 3/1/16</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>265,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>585 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(9,729)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 1/8%, 3/1/16</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>50,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>275 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(305)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/1/32</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>300,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/11</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(43 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(381)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>S.P.A., 8%, 4/30/14</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>495,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>815 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(3,169)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Wind Acquisition</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9 3/4%, 12/1/15</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>240,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(495 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(5,542)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=5><B><FONT face=sans-serif size=1>Credit Suisse First Boston International</FONT></B></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>Ukraine Government,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7.65%, 6/11/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,105,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/20/11</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>194 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(37,806)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>Credit Suisse International</FONT></B>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Advanced Micro Devices,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 3/4%, 11/1/12</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>210,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>165 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(8,166)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>250,359</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,646,629</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/25/45</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>18 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>115,296</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(217,053)</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>971,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/12/52</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(25 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(56,035)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>154,461</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>928,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/13/49</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>78,441</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,651,787</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,544,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2/17/51</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>35 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>941,607</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </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=right>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

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<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD align=left width="24%"></TD>
     <TD width="13%"></TD>
     <TD align=center width="5%"></TD>
     <TD width="12%"></TD>
     <TD align=center width="5%"></TD>
     <TD width="13%"></TD>
     <TD width="15%"></TD>
     <TD align=right width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 7/8%, 4/1/11</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>150,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>297 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(16,439)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freeport-McMoRan Copper</FONT>&nbsp; </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>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>&amp; Gold, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>600,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>41 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,794)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freeport-McMoRan Copper</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>&amp; Gold, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>597,100</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(82 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,141)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Harrahs Operating Co.</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Inc., 5 5/8%, 6/1/15</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>165,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>600 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,593)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Peru,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 3/4%, 11/21/33</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>610,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/20/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>125 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(9,220)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>Deutsche Bank AG</FONT></B>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX NA HE AAA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>98,964</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>956,425</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/25/45</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>18 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>17,730</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX NA HE AAA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>229,183</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,027,037</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/25/45</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>18 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(27,920)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ iTraxx Europe Series</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 Version 1</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(57,074)</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>595,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(375 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(17,079)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ iTraxx Europe Series</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9 Version 1</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>164,972</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,415,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(650 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(23,692)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>General Electric</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Capital Corp., 6%,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/15/12</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$300,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>109 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(7,316)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Grohe Holding GmBh,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 5/8%, 10/1/14</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>140,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>400 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,551</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Grohe Holding GmBh,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 5/8%, 10/1/14</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>505,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>400 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,596</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>India Government Bond,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.87%, 1/2/10</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$5,800,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/11/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>170 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>41,310</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>iStar Financial, Inc.,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6%, 12/15/10</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>26,663</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>395,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>500 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,252</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Korea Monetary STAB</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bond, 5%, 2/14/09</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,365,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2/23/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>105 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,359</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Korea Monetary STAB</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bond, 5.04%, 1/24/09</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,105,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2/2/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>130 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,682</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Korea Monetary STAB</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bond, 5.15%, 2/12/10</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,365,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2/19/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>115 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,447</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Malaysian Government,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.844%, 10/1/09</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,684,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/1/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>90 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11,224</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Nalco, Co. 7.75%,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/15/11</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>70,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>363 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,306)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Argentina,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.28%, 12/31/33</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>660,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(380 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>45,914</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Brazil,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>12 1/4%, 3/6/30</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>775,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/20/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>105 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(23,469)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of China, zero</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>coupon, 12/5/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,275,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/12/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>115 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,961</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Indonesia,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.75%, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>575,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/16</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>292 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(9,998)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Peru,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 3/4%, 11/21/33</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>610,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/20/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>126 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(8,494)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of South</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Korea, 5.45%, 1/23/10</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>870,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2/1/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>101 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,631</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Turkey,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>11 7/8%, 1/15/30</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>920,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/14</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>195 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(57,318)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Venezuela,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9 1/4%, 9/15/27</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>595,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/14</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>220 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(89,298)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Smurfit Kappa Funding,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>10 1/8%, 10/1/12</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>415,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>135 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>79</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>United Mexican States,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7.5%, 4/8/33</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,495,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/14</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>56 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(45,032)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>United Mexican States,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7.5%, 4/8/33</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>550,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/20/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>66 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(26,003)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Unity Media GmBh,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 3/4%, 2/15/15</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>400,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>460 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(15,652)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Virgin Media Finance</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>PLC, 8 3/4%, 4/15/14</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>400,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>477 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(10,571)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>Goldman Sachs International</FONT></B>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Advanced Micro Devices,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 3/4%, 11/1/12</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$375,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>515 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,300)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Any one of the</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>underlying securities</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>in the basket of BB</FONT>&nbsp; </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=right>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_32"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD align=left width="24%"></TD>
     <TD width="13%"></TD>
     <TD align=center width="5%"></TD>
     <TD width="12%"></TD>
     <TD align=center width="5%"></TD>
     <TD width="13%"></TD>
     <TD width="15%"></TD>
     <TD align=right width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CMBS securities</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,768,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(a)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.461%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(552,377)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE A Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>501,237</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>748,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/25/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>369 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(173,634)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE AAA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>175,796</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>748,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/25/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>76 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(228,927)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX NA HE AAA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>111,232</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,469,148</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/25/45</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>18 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(5,240)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA CMBX AAA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>56,692</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,550,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/15/49</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(53,045)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 9</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,073,890</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>22,314,600</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>375 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(881,185)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 9</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 25-35% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,840,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>429 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>209,953</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 9</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 25-35% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,840,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>108.65 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(115,128)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 9</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 25-35% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,280,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>305 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>20,802</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 10</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>92,827</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,836,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(150 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>31,321</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 10</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 30-100% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>24,127,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(50 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>17,704</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>General Motors Corp.,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 1/8%, 7/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>300,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>620 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,954)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>General Motors Corp.,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 1/8%, 7/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,400,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>620 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(13,784)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lehman Brothers</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Holdings, 6 5/8%,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/18/12</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,205,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(67.8 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>124,371</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lighthouse</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>International Co, SA,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8%, 4/30/14</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>420,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>680 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(28,317)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Merrill Lynch &amp; Co.,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5%, 1/15/15</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,205,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(59.8 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>117,436</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Rhodia SA, Euribor+275,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>205,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(367 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,014</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Rhodia SA, Euribor+275,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>170,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(387 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,717</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Wind Acquisition</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9 3/4%, 12/1/15</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>420,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>597 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>34,616</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Wind Acquisition</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9 3/4%, 12/1/15</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>550,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(340 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(4,963)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=4><B><FONT face=sans-serif size=1>JPMorgan Chase Bank, N.A.</FONT></B></TD>
     <TD noWrap align=center></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>Codere Finance</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>(Luxembourg) S.A.,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.25%, 6/15/15</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>420,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>795 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>42,322</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 9</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 25-35% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$2,911,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>105.5 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(120,188)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 10</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(18,170)</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,040,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>155 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,060</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 10</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,316)</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>420,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>155 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>617</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 9</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,440,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(13.55 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>145,467</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ iTraxx Europe</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Crossover Series 8</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Version 1</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(224,479)</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,680,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(375 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(111,552)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freeport-McMoRan Copper</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>&amp; Gold, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,194,100</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(85 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(3,498)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Idearc, Inc T/L Bank</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Loan</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>600,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>79 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(74,549)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>iStar Financial, Inc.,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6%, 12/15/10</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>26,600</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>380,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>500 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>15,595</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Argentina,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.28%, 12/31/33</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>705,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/14</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>235 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(128,290)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Hungary,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>4 3/4%, 2/3/15</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>600,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(171.5 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(11,354)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Turkey,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>11 7/8%, 1/15/30</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>990,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/20/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>230 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(85,018)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Turkey,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>11 7/8%, 1/15/30</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>730,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/20/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>244 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(56,074)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Turkey,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>11 7/8%, 1/15/30</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>185,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>154 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(8,686)</FONT>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

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<TR>
     <TD align=left width="24%"></TD>
     <TD width="13%"></TD>
     <TD align=center width="5%"></TD>
     <TD width="12%"></TD>
     <TD align=center width="5%"></TD>
     <TD align=left width="13%"></TD>
     <TD width="15%"></TD>
     <TD align=right width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Russian Federation,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 1/2%, 3/31/30</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,605,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/20/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>60 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(73,300)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 1/8%, 3/1/16</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>215,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>595 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(6,047)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Enterprises, 7 1/2%,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/1/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>125,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>685 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(6,734)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=6><B><FONT face=sans-serif size=1>Lehman Brothers Special Financing, Inc.</FONT></B></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>Advanced Micro Devices,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 3/4%, 11/1/12</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>745,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>525 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,046)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.3%, 10/30/15</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,205,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(77 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>23,419</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Community Health</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Systems, 8 7/8%, 7/15/15</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>195,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>360 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(6,932)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>501,237</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>748,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/25/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>369 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(173,012)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>520,555</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>749,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/25/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>369 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(154,595)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>175,796</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>748,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/25/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>76 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(228,927)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>209,720</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>749,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/25/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>76 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(195,544)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>400,316</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,380,400</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1/25/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>76 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(346,582)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE PEN AAA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>66,472</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>949,596</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/25/46</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(72,152)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE PEN AAA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>67,924</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>953,320</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/25/46</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(71,243)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>355,346</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,693,387</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/25/45</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>18 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(28,901)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>139,726</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,815,236</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/25/45</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>18 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(8,887)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,426)</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>45,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/15/49</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(15 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,233</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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 10</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>687,431</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11,110,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>500 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>47,026</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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 10</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>955,606</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,989,899</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>500 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>91,555</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 35-60% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>43,893,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>95 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(3,435,445)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 35-60% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,590,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>104 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(343,925)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 25-35% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11,500,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>104.5 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(477,603)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 25-35% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11,500,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>90 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(517,443)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 25-35% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>27,600,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>171 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(707,871)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 25-35% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>16,700,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>203 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(300,762)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 25-35% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>16,700,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>212 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(264,899)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index, 25-35% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,560,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>163 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(291,054)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>189,834</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,548,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(150 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>30,245</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 30-100% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,026,600</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(42 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>34,000</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(442,096)</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,544,500</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(80 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(61,790)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9 Version 1</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(92,485)</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>665,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>650 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(40,534)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index, 30-100% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$5,750,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>96 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>33,565</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/15/15</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>145,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/11</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(250 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,560</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Federal Republic of</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brazil, 12 1/4%, 3/6/30</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>600,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>170 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,226</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freescale</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Semiconductor, 8 7/8%,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/15/14</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>571,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>355 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(84,328)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freescale</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Semiconductor, 8 7/8%,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/15/14</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>571,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(228 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>39,035</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>General Electric</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Capital Corp., 6%,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/15/12</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>600,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>115 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(13,042)</FONT>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

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<TR>
     <TD align=left width="24%"></TD>
     <TD width="13%"></TD>
     <TD align=center width="5%"></TD>
     <TD width="12%"></TD>
     <TD align=center width="5%"></TD>
     <TD width="13%"></TD>
     <TD width="15%"></TD>
     <TD align=right width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Goldman Sachs Group,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Inc., 6.6%, 1/15/12</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,205,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(58 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>66,797</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Goldman Sachs Group,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Inc., 6.6%, 1/15/12</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,205,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>45.5 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(40,296)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Harrahs Operating Co.</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Inc., 5 5/8%, 6/1/15</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>115,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>610 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,028)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Jefferson Smurfit</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Corp., 7 1/2%, 6/1/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>200,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>645 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(13,428)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>MediaCom LLC/ Cap</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Corp., 9 1/2%, 1/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>129,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>740 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,918)</FONT>&nbsp; </TD></TR>
<TR>
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<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Morgan Stanley Dean</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Witter, 6.6%, 4/1/12</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,205,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(60.5 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>99,401</FONT>&nbsp; </TD></TR>
<TR>
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<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Morgan Stanley Dean</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Witter, 6.6%, 4/1/12</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,205,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>48 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(69,239)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Argentina,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.28%, 12/31/33</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>330,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(469 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,174</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Argentina,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.28%, 12/31/33</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,335,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/20/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>296 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(695,370)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Ecuador,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>10%, 8/15/30</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>570,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>600 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,530</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Ecuador,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>10%, 8/15/30</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>280,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>540 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,627</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Peru,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 3/4%, 11/21/33</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,185,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/20/16</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>215 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>55,532</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Turkey,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>11 7/8%, 1/15/30</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,200,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/20/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>228 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(366,114)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Venezuela,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9 1/4%, 9/15/27</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,190,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>183 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(129,015)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>United Mexican States,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7.5%, 4/8/33</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,815,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/20/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>72 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(158,971)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>United Mexican States,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7.5%, 4/8/33</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>665,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/20/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>67 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(30,514)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Wind Acquisition</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9 3/4%, 12/1/15</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>240,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(357 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(4,699)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>Merrill Lynch Capital Services, Inc.</FONT></B>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bombardier, Inc,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 3/4%, 5/1/12</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,080,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(150 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11,299</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>D.R. Horton Inc.,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 7/8%, 8/15/11</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>735,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/11</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(426 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11,274</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>General Motors Corp.,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 1/8%, 7/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>960,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>500 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(12,453)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Pulte Homes Inc.,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.25%, 1/15/14</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>690,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/11</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(482 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(22,034)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>Merrill Lynch International</FONT></B>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dynegy Holdings Inc.,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 7/8%, 4/1/11</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>150,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>295 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(16,608)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>KinderMorgan, 6 1/2%,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/1/12</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,589,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(128 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,935</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>Morgan Stanley Capital Services, Inc.</FONT></B>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Advanced Micro Devices,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 3/4%, 11/1/12</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>500,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>190 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(18,245)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Aramark Services, Inc.,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5%, 2/1/15</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>125,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>355 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(5,781)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bombardier, Inc,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 3/4%, 5/1/12</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>545,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(114 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,390</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bundesrepublic of</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Deutschland, 6%, 6/20/16</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,571,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,680)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX NA CMBX AAA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>276,884</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,890,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/15/49</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,360</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX NA CMBX BBB Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>50</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>68,790</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/12/52</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(134 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,687</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 7</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>61,321</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,290,960</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(325 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>76,574</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 9</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>66,532</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,663,300</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>375 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(79,197)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 10</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>416,060</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>21,356,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(150 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>144,447</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 10</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 30-100% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>43,955,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(52 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(34,280)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD align=left colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 10</FONT>&nbsp; </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=right>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_35"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD align=left width="24%"></TD>
     <TD width="13%"></TD>
     <TD width="5%"></TD>
     <TD width="12%"></TD>
     <TD align=center width="5%"></TD>
     <TD width="13%"></TD>
     <TD width="15%"></TD>
     <TD align=right width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 30-100% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11,855,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(38.6 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>62,974</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index 10-15% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>52,160</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,304,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>0 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(101,991)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(276,753)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,213,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/12/52</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(25 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(75,604)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,468,890</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,245,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/13/49</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>465,795</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,414,587</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>49,894,500</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(F) </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2/17/51</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>35 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,053,997</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dominican Republic,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 5/8%, 4/20/27</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,190,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/20/11</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(170 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>31,097</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 7/8%, 4/1/11</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>150,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>225 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(9,899)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>&amp; Gold, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,788,300</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>44 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(19,574)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>&amp; Gold, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>597,100</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(83 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,346)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/15/11</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>80,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>330 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,059)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/15/11</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>115,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>460 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,624</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Austria,</FONT>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5 1/4%, 1/4/11</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,571,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(17 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(6,631)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9 1/4%, 9/15/27</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>510,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/12/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>339 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(29,501)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left 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>&nbsp; </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=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/31/30</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>48 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(152,659)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>Total</FONT></B>&nbsp; </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=right><B><FONT face=sans-serif size=1>$(8,219,303)</FONT></B>&nbsp; </TD></TR></TABLE><BR>
<P align=left><B><I><FONT face=sans-serif size=1>* Payments related to the reference debt are made upon a credit default event.</FONT></I></B></P>
<P align=left><B><I><FONT face=sans-serif size=1>** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.</FONT></I></B></P>
<P align=left><B><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></B></P>
<P align=left><B><I><FONT face=sans-serif size=1>(F) Is valued at fair value following procedures approved by the Trustees.</FONT></I></B></P>
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     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Key to holding's currency abbreviations</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>ARS</FONT></B>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Argentine Peso</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>AUD</FONT></B>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Australian Dollar</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>BRL</FONT></B>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brazilian Real</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>CHF</FONT></B>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Swiss Franc</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>EGP</FONT></B>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Egyptian Pound</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>EUR</FONT></B>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Euro</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>GBP</FONT></B>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>British Pound</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>IDR</FONT></B>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Indonesian Rupiah</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>INR</FONT></B>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Indian Rupee</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>JPY</FONT></B>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Japanese Yen</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>MXN</FONT></B>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mexican Peso</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>RUB</FONT></B>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Russian Ruble</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>SEK</FONT></B>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Swedish Krona</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>ZAR</FONT></B>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>South African Rand</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>NOTES</FONT></P>
<P align=left><FONT face=sans-serif size=1>(a) Percentages indicated are based on net assets of $450,480,518</FONT><FONT face=sans-serif size=1>.</FONT></P>
<P align=left><FONT face=sans-serif size=1>(b) The aggregate identified cost on a tax basis is $948,038,622, resulting in gross unrealized appreciation and depreciation of $22,744,702 and $33,836,914, respectively, or net unrealized depreciation of $11,092,212.</FONT></P>
<P align=left><FONT face=sans-serif size=1>(NON) Non-income-producing security.</FONT></P>
<P align=left><FONT face=sans-serif size=1>(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.</FONT></P>
<P align=left><FONT face=sans-serif size=1>(RES) Restricted, excluding 144A securities, as to public resale. The total market value of restricted securities held at June 30, 2008 was $495,197 or 0.1% of net assets.</FONT></P>
<P align=left><FONT face=sans-serif size=1>(PIK) Income may be received in cash or additional securities at the discretion of the issuer.</FONT></P>
<P align=left><FONT face=sans-serif size=1>(SEG) A portion of this security was pledged and segregated with the custodian to cover margin requirements for futures contracts at June 30, 2008.</FONT></P>
<P align=left><FONT face=sans-serif size=1>(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at June 30, 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. 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 inve
sts in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.</FONT></P>
<P align=left><FONT face=sans-serif size=1>(d) 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. </FONT><FONT face=sans-serif size=1>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. At June 30, 2008, the value of securities loaned amounted to $4,745,383. The fund received cash collateral of $4,850,220 which is pooled with collateral of other Putnam funds into 65 issues of short-term investments.</FONT></P>
<P align=left><FONT face=sans-serif size=1>The fund invests in Putnam Prime Money Market Fund, an open-end management investment company managed by Putnam Investment Management, LLC ("Putnam Management"), the fund's manager, a wholly-owned subsidiary of Putnam, LLC. Investments in Putnam Prime Money Market Fund are valued at its closing net asset value each business day. Management fees paid by the fund are reduced by an amount equal to the management fees paid by Putnam Prime Money Market Fund with respect to assets invested by the fund in Putnam Prime Money Market Fund. Income distributions earned by the fund totaled $744,436 for the period ended June 30, 2008. During the period ended June 30, 2008, cost of purchases and proceeds of sales of investments in Putnam Prime Money Market Fund aggregated $186,945,778 and $243,907,880, respectively.</FONT></P>
<P align=left><FONT face=sans-serif size=1>(F) Is valued at fair value following procedures approved by the Trustees.</FONT></P>
<P align=left><FONT face=sans-serif size=1>(R) Real Estate Investment Trust.</FONT></P>
<P align=left><FONT face=sans-serif size=1>(S) Securities on loan, in part or in entirety, at June 30, 2008.</FONT></P>
<P align=left><FONT face=sans-serif size=1>(U) These securities, in part or in entirety, represents unfunded loan commitments. As of June 30, 2008, the fund had unfunded loan commitments of $275,544, which could be extended at the option of the borrower, pursuant to the following loan agreements with the following borrowers:</FONT></P>
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     <TD noWrap align=left><B><FONT face=sans-serif size=1>Borrower</FONT></B>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=1>Unfunded commitments</FONT></B>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
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     <TD colSpan=2>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Community Health Systems, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$30,270</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Golden Nugget, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>58,182</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Hub International, Ltd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,092</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>NRG Energy, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>180,000</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
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     <TD>&nbsp; </TD>
     <TD>
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</TD>
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     <TD noWrap align=left><B><FONT face=sans-serif size=1>Totals</FONT></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$275,544</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
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<P align=left><FONT face=sans-serif size=1>At June 30, 2008, liquid assets totaling $259,251,880 have been designated as collateral for open forward commitments, swap contracts and forward contracts.</FONT></P>
<P align=left><FONT face=sans-serif size=1>144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.</FONT></P>
<P align=left><FONT face=sans-serif size=1>TBA after the name of a security represents to be announced securities.</FONT></P>
<P align=left><FONT face=sans-serif size=1>The rates shown on Floating Rate Bonds (FRB) and Floating Rate Notes (FRN) are the current interest rates at June 30, 2008.</FONT></P>
<P align=left><FONT face=sans-serif size=1>The dates shown on debt obligations are the original maturity dates.</FONT></P>
<P align=left><FONT face=sans-serif size=1>Inverse Floating Rate Bonds (IFB) are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The interest rates shown are the current interest rates at June 30, 2008.</FONT></P>
<P align=left><FONT face=sans-serif size=1>DIVERSIFICATION BY COUNTRY</FONT></P>
<P align=left><FONT face=sans-serif size=1>Distribution of investments by country of issue at June 30, 2008 (as a percentage of Portfolio Value):</FONT></P>
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     <TD noWrap align=left><FONT face=sans-serif size=1>United States</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>88.6%</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>United Kingdom</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2.2</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Ireland</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1.7</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Cayman Islands</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>0.8</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Canada</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>0.8</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>France</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>0.6</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Jamaica</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>0.6</FONT>&nbsp; </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Other</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4.7</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
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     <TD noWrap align=left><B><FONT face=sans-serif size=1>Total</FONT></B>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=1>100.0%</FONT></B>&nbsp; </TD>
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<P align=left><B><FONT face=sans-serif size=1>Security valuation </FONT></B><FONT face=sans-serif size=1>Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets. If no sales are reported -- as in the case of some securities traded over-the-counter -- a security is valued at its last reported bid price. Market quotations are not considered to be readily available for certain debt obligations; such investments are valued at fair value on the basis of valuations furnished by an independent pricing service or dealers, approved by the Trustees. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities. Many securities markets and exchanges outside the U.S. close prior to the close 
of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. </FONT><FONT face=sans-serif size=1>Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors, including movements in the U.S. securities markets. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent.</FONT></P>
<P align=left><FONT face=sans-serif size=1>Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. 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 Trustees.</FONT></P>
<P align=left><FONT face=sans-serif size=1>Certain securities may be valued on the basis of a price provided by a single source.</FONT></P>
<P align=left><FONT face=sans-serif size=1>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><B><FONT face=sans-serif size=1>Stripped securities </FONT></B><FONT face=sans-serif size=1>The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The market value of these securities is highly sensitive to changes in interest rates.</FONT></P>
<P align=left><B><FONT face=sans-serif size=1>Forward currency contracts </FONT></B><FONT face=sans-serif size=1>The fund may buy and sell forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. dollar of the currencies in which its portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities a fund intends to buy are denominated, when a fund holds cash reserves and short term investments), 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 reco
rds a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. </FONT><FONT face=sans-serif size=1>The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.</FONT></P>
<P align=left><B><FONT face=sans-serif size=1>Futures and options contracts </FONT></B><FONT face=sans-serif size=1>The fund may use futures and options contracts to hedge against changes in the values of securities the fund owns or expects to purchase, or for other investment purposes. The fund may also write options on swaps or securities it owns or in which it may invest to increase its current returns.</FONT></P>
<P align=left><FONT face=sans-serif size=1>The potential risk to the fund is that the change in value of futures and options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, or if the counterparty to the contract is unable to perform. Risks may exceed amounts recognized on the statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the 
cost of investments.</FONT></P>
<P align=left><FONT face=sans-serif size=1>Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as &#147;variation margin.&#148; Exchange traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. Options traded over-the-counter are valued using prices supplied by dealers.</FONT></P>
<P align=left><B><FONT face=sans-serif size=1>Total return swap contracts </FONT></B><FONT face=sans-serif size=1>The fund may enter into total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount. To the extent that the total return of the security, 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 gain or loss. Certain total return swap contracts may include extended effective dates. Income related to these swap contracts is accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the 
fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform.</FONT></P>
<P align=left><B><FONT face=sans-serif size=1>Interest rate swap contracts </FONT></B><FONT face=sans-serif size=1>The fund may enter into interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to manage the fund&#146;s exposure to interest rates. Interest rate swap contracts are marked-to-market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or loss. Certain interest rate swap contracts may include extended effective dates. Income related to these swap contracts is accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform.</FONT></P>
<P align=left><B><FONT face=sans-serif size=1>Credit default contracts </FONT></B><FONT face=sans-serif size=1>The fund may enter into credit default contracts where one party, the protection buyer, makes an upfront or periodic payment to a counterparty, the protection seller, in exchange for the right to receive a contingent payment. The maximum amount of the payment may equal the notional amount, at par, of the underlying index or security as a result of a related credit event. Payments are made upon a credit default event of the disclosed primary referenced obligation or all other equally ranked obligations of the reference entity. An upfront payment received by the fund, as the protection seller, is recorded as a liability on the fund&#146;s books. An upfront payment made by the fund, as the protection buyer, is recorded as an asset on the fund&#146;s books. Periodic payments received or paid by the fund are recorded as realized gains or losses. The credit default contracts are marked-to-market daily bas
ed upon quotations from an independent pricing service or market makers and the change, if any, is recorded as unrealized gain or loss.</FONT></P>
<P align=left><FONT face=sans-serif size=1>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.</FONT></P>
<P align=left><B><FONT face=sans-serif size=1>TBA purchase commitments </FONT></B><FONT face=sans-serif size=1>The fund may enter into &#147;TBA&#148; (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price has been established, the principal value has not been finalized. However, the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other</FONT></P>
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<FONT size=1 face="sans-serif">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 size=1 face="sans-serif">Although the fund will generally enter into TBA purchase commitments with the intention of acquiring securities for its portfolio or for delivery pursuant to options contracts it has entered into, the fund may dispose
of a commitment prior to settlement if Putnam Management deems it appropriate to do so.</FONT></P>
<P align="left">
<B><FONT size=1 face="sans-serif">TBA sale commitments </FONT></B><FONT size=1 face="sans-serif">The fund may enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery
arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities or an offsetting TBA purchase commitment deliverable on or
before the sale commitment date, are held as &#147;cover&#148; for the transaction.</FONT></P>
<P align="left">
<FONT size=1 face="sans-serif">Unsettled TBA sale commitments are valued at fair value of the underlying securities, generally according to the procedures described under &#147;Security valuation&#148; above. The contract is marked-to-market daily
and the change in market value is recorded by the fund as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers
securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.</FONT></P>
<P align="left">
<B><FONT size=1 face="sans-serif">Dollar rolls </FONT></B><FONT size=1 face="sans-serif">To enhance returns, the fund may enter into dollar rolls (principally using TBAs) in which the fund sells securities for delivery in the current month and
simultaneously contracts to purchase similar securities on a specified future date. During the period between the sale and subsequent purchase, the fund will not be entitled to receive income and principal payments on the securities sold. The fund
will, however, retain the difference between the initial sales price and the forward price for the future purchase. The fund will also be able to earn interest on the cash proceeds that are received from the initial sale, 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 size=1 face="sans-serif">For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's
Individual Investor Web site at www.putnaminvestments.com</FONT></P>

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<P align="left">
<U><FONT size=2 face="sans-serif">Item 2. Controls and Procedures:</FONT></U></P>
<P align="left">
<FONT size=2 face="sans-serif">(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 size=2 face="sans-serif">(b) Changes in internal control over financial reporting: Not applicable</FONT></P>
<P align="left">
<U><FONT size=2 face="sans-serif">Item 3. Exhibits:</FONT></U></P>
<P align="left">
<FONT size=2 face="sans-serif">Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed
herewith.</FONT></P>
<P align="left">
<U><FONT size=2 face="sans-serif">SIGNATURES</FONT></U></P>
<P align="left">
<FONT size=2 face="sans-serif">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 size=2 face="sans-serif">Putnam Master Intermediate Income Trust</FONT></U></P>
<P align="left">
<FONT size=2 face="sans-serif">By (Signature and Title):</FONT></P>
<P align="left">
<U><FONT size=2 face="sans-serif">/s/ Janet C. Smith</FONT></U><BR>
<FONT size=2 face="sans-serif">Janet C. Smith</FONT><BR>
<FONT size=2 face="sans-serif">Principal Accounting Officer</FONT><BR>
<FONT size=2 face="sans-serif">Date: August 28, 2008</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">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 size=2 face="sans-serif">By (Signature and Title):</FONT></P>
<P align="left">
<U><FONT size=2 face="sans-serif">/s/ Charles E. Porter</FONT></U><BR>
<FONT size=2 face="sans-serif">Charles E. Porter</FONT><BR>
<FONT size=2 face="sans-serif">Principal Executive Officer</FONT><BR>
<FONT size=2 face="sans-serif">Date: August, 28 2008</FONT><BR>
<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>
<FONT size=2 face="sans-serif">Date: August 28, 2008</FONT></P>

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<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-Q of the funds listed on Attachment A:</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such
statements were made, not misleading with respect to the period covered by each report;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">3. Based on my knowledge, the schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is
filed;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal
control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have:</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its
consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of
financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">c) evaluated the effectiveness of the registrant&#146;s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date
within 90 days prior to the filing date of this report, based on such evaluation; and</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">d) disclosed in this report any change in the registrant&#146;s internal control over financial reporting that occurred during the registrant&#146;s most recent fiscal quarter that has materially affected, or is
reasonably likely to materially affect, the registrant&#146;s internal control over financial reporting; and</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">5. The registrant&#146;s other certifying officer and I have disclosed to each registrant&#146;s auditors and the audit committee of each registrant&#146;s board of directors (or persons performing the equivalent
functions):</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant&#146;s ability to record,
process, summarize, and report financial information; and</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant&#146;s internal control over financial reporting.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">/s/ Charles E. Porter</FONT><BR>
<FONT size=2 face="sans-serif">_____________________________</FONT><BR>
<FONT size=2 face="sans-serif">Date: August 27, 2008</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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<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-Q of the funds listed on Attachment A:</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such
statements were made, not misleading with respect to the period covered by each report;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">3. Based on my knowledge, the schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is
filed;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal
control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have:</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its
consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of
financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">c) evaluated the effectiveness of the registrant&#146;s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date
within 90 days prior to the filing date of this report, based on such evaluation; and</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">d) disclosed in this report any change in the registrant&#146;s internal control over financial reporting that occurred during the registrant&#146;s most recent fiscal quarter that has materially affected, or is
reasonably likely to materially affect, the registrant&#146;s internal control over financial reporting; and</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">5. The registrant&#146;s other certifying officer and I have disclosed to each registrant&#146;s auditors and the audit committee of each registrant&#146;s board of directors (or persons performing the equivalent
functions):</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant&#146;s ability to record,
process, summarize, and report financial information; and</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant&#146;s internal control over financial reporting.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">/s/ Steven D. Krichmar</FONT><BR>
<FONT size=2 face="sans-serif">_______________________________</FONT><BR>
<FONT size=2 face="sans-serif">Date: August 27, 2008</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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<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="5%"></TD>
     <TD width="25%"></TD>
     <TD width="70%"></TD></TR>
<TR>
     <TD></TD>
     <TD colSpan=2></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>Attachment A</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>NQ</FONT></TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>Period (s) ended June 30, 2008</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>074</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam Master Intermediate Income Trust</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>027</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam California Tax Exempt Income Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>033</FONT></TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam American Government Income Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>011</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam Tax Exempt Income Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>539</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam International New Opportunities Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>032</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam U.S. Government Income Trust</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>010</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam Money Market Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>062</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam Tax Exempt Money Market Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>23T</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam Prime Money Market Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>075</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam Diversified Income Trust</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>259</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam Asset Allocation: Conservative Portfolio</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>250</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam Asset Allocation: Growth Portfolio</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>264</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam Asset Allocation: Balanced Portfolio</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="5%">&nbsp; </TD>
     <TD noWrap align=left width="95%" colSpan=2><FONT face=sans-serif size=2>Putnam Municipal Money Market Fund</FONT>&nbsp; </TD></TR></TABLE><BR>
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