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<SEC-DOCUMENT>0000928816-08-001502.txt : 20081126
<SEC-HEADER>0000928816-08-001502.hdr.sgml : 20081126
<ACCEPTANCE-DATETIME>20081126130309
ACCESSION NUMBER:		0000928816-08-001502
CONFORMED SUBMISSION TYPE:	N-CSR
PUBLIC DOCUMENT COUNT:		22
CONFORMED PERIOD OF REPORT:	20080930
FILED AS OF DATE:		20081126
DATE AS OF CHANGE:		20081126
EFFECTIVENESS DATE:		20081126

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-CSR
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-05498
		FILM NUMBER:		081216748

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

	MAIL ADDRESS:	
		STREET 1:		ONE POST OFFICE SQ
		CITY:			BOSTON
		STATE:			MA
		ZIP:			02109
</SEC-HEADER>
<DOCUMENT>
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<FILENAME>a_masterintinc.htm
<DESCRIPTION>PUTNAM MASTER INTERMEDIATE INCOME TRUST
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     <TD noWrap align=center colSpan=3><U><FONT face=sans-serif size=2>UNITED STATES</FONT></U>&nbsp; </TD></TR>
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     <TD noWrap align=center colSpan=3><U><FONT face=sans-serif size=2>SECURITIES AND EXCHANGE COMMISSION</FONT></U>&nbsp; </TD></TR>
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     <TD noWrap align=center colSpan=3><U><FONT face=sans-serif size=2>Washington, D.C. 20549</FONT></U>&nbsp; </TD></TR>
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     <TD noWrap align=center colSpan=3><B><FONT face=sans-serif size=2>FORM N-CSR</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>CERTIFIED SHAREHOLDER REPORT OF REGISTERED</FONT></B>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center colSpan=3><B><FONT face=sans-serif size=2>MANAGEMENT INVESTMENT COMPANIES</FONT></B>&nbsp; </TD></TR>
<TR>
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     <TD noWrap align=left></TD></TR>
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     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Investment Company Act file number: (811- 05498)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
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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>
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     <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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     <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>
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     <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>
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     <TD noWrap align=left colSpan=2>&nbsp;</TD></TR>
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     <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>
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     <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>
     <TD noWrap align=left colSpan=2>&nbsp;</TD>
     <TD noWrap align=left></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: September 30, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&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>Date of reporting period: October 1, 2007 - September 30, 2008</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><U><FONT face=sans-serif size=2>Item 1. Report to Stockholders:</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940:</FONT></P>
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<P align=left><FONT face=serif size=7>What makes<BR>
</FONT><FONT face=serif size=7>Putnam different?</FONT></P>
<P align=left><FONT face=serif size=4>A time-honored tradition in</FONT><BR>
<FONT face=serif size=4>money management</FONT></P>
<P align=left><FONT face=serif size=2>Since 1937, our values have been rooted in a profound sense of responsibility for the money entrusted to us.</FONT></P>
<P align=left><FONT face=serif size=4>A prudent approach to investing</FONT></P>
<P align=left><FONT face=serif size=2>We use a research-driven team approach to seek superior investment results over time.</FONT></P>
<P align=left><FONT face=serif size=4>Funds for every investment goal</FONT></P>
<P align=left><FONT face=serif size=2>We offer a broad range of mutual funds and other financial products so investors and their financial representatives can build diversified portfolios.</FONT></P>
<P align=left><FONT face=serif size=4>A commitment to doing what&#146;s right</FONT><BR>
<FONT face=serif size=4>for investors</FONT></P>
<P align=left><FONT face=serif size=2>With a focus on investment performance and in-depth information about our funds, we put the interests of investors first and seek to set the standard for integrity and service.</FONT></P>
<P align=left><FONT face=serif size=4>Industry-leading service</FONT></P>
<P align=left><FONT face=serif size=2>We help investors, along with their financial representatives, make informed investment decisions with confidence.</FONT></P>
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<BR>
<P align=left><FONT face=sans-serif size=2>In 1830, Massachusetts Supreme Judicial Court Justice Samuel Putnam established The Prudent Man Rule, a legal foundation for responsible money management.</FONT></P>
<P align=left><FONT face=sans-serif size=2>THE PRUDENT MAN RULE</FONT></P>
<P align=left><FONT face=sans-serif size=2>All that can be required of a trustee to invest is that he shall conduct himself faithfully and exercise a sound discretion. He is to observe how men of prudence, discretion, and intelligence manage their own affairs, not in regard to speculation, but in regard to the permanent disposition of their funds, considering the probable income, as well as the probable safety of the capital to be invested.</FONT></P>
<P align=left>
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&nbsp;<BR>
</P>
<P align=left><FONT face=serif size=7>Putnam Master</FONT><BR>
<FONT face=serif size=7>Intermediate</FONT><BR>
<FONT face=serif size=7>Income Trust</FONT></P>
<P align=left><FONT face=serif size=7>9</FONT><FONT face=serif size=7>|</FONT><FONT face=serif size=7>30</FONT><FONT face=serif size=7>|</FONT><FONT face=serif size=7>08</FONT><BR>
<I><FONT face=serif size=4>Annual Report</FONT></I></P>
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     <TD noWrap align=left><FONT face=serif size=2>Message from the Trustees</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=serif size=2>About the fund</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=serif size=2>Performance and portfolio snapshots</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=serif size=2>Interview with your fund&#146;s Portfolio Leader</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>5</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=serif size=2>Performance in depth.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>8</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=serif size=2>Your fund&#146;s management.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>9</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=serif size=2>Terms and definitions</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>10</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
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     <TD noWrap align=left><FONT face=serif size=2>Trustee approval of management contract</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>11</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=serif size=2>Other information for shareholders.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>14</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=serif size=2>Financial statements</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>15</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
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     <TD noWrap align=left><FONT face=serif size=2>Federal tax information</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>56</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=serif size=2>Compliance certifications</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>56</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=serif size=2>Shareholder meeting results</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>56</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=serif size=2>About the Trustees</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>57</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=serif size=2>Officers</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>60</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR></TABLE><BR>
<P align=left><I><FONT face=sans-serif size=1>Cover photograph: &#169; Richard H. Johnson</FONT></I></P>
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<P align=left><FONT face=serif size=7>Message from the Trustees</FONT></P>
<P align=left><FONT face=serif size=2>Dear Fellow Shareholder:</FONT></P>
<P align=left><FONT face=serif size=2>The financial markets have been experiencing the kind of upheaval not seen in decades. Investor confidence has been shaken by losses across a range of sectors and by the collapse of several financial industry companies. Coordinated responses by a full array of economic and financial authorities both in the United States and overseas should restore stability in due course, but investors should not expect a reduction in volatility in the near term. The likelihood of a U.S. recession, in particular, now makes the situation more challenging. History has shown that markets are extremely resilient over the long term, and we expect that, in time, they will recover from this crisis.</FONT></P>
<P align=left><FONT face=serif size=2>As a shareholder of this fund, you should feel confident about the financial standing of Putnam Investments. Our parent companies, Great-West Lifeco and Power Financial Corporation, are among the largest and most successful organizations in the financial services industry. All three companies are well capitalized with strong cash flows.</FONT></P>
<P align=left><FONT face=serif size=2>We are pleased to announce that Robert L. Reynolds, a well-known leader and visionary in the mutual fund industry, has joined the Putnam leadership team as President and Chief Executive Officer of Putnam Investments, effective July 1, 2008. Charles E. Haldeman, Jr., former President and CEO, has taken on the role of Chairman of Putnam Investment Management, LLC, the firm&#146;s fund management company. He continues to serve as President of the Funds and as a Trustee.</FONT></P>
<P align=left><FONT face=serif size=2>Mr. Reynolds brings to Putnam Investments substantial industry experience and an outstanding record of success, including serving as Vice Chairman and Chief Operating Officer at Fidelity Investments from 2000 to 2007. We look forward to working with Mr. Reynolds as we continue our efforts to position Putnam Investments to exceed our shareholders&#146; expectations.</FONT></P>
<P align=left><FONT face=serif size=2>We would also like to take this opportunity to welcome new shareholders to the fund and to thank all of our investors for your continued confidence in Putnam during these challenging times.</FONT></P>
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<P align=left><FONT face=serif size=7>About the fund</FONT><BR>
<BR>
<FONT face=sans-serif size=4>Seeking broad diversification across bond markets</FONT></P>
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<P align=left><FONT face=sans-serif size=2>When Putnam Master Intermediate Income Trust was launched in 1988, its three-pronged focus on U.S. investment-grade bonds, high-yield corporate bonds, and non-U.S. bonds was considered innovative. Lower-rated, higher-yielding </FONT><FONT face=sans-serif size=2>corporate bonds were relatively new, having just been established in the late 1970s. Additionally, at the time of the fund&#146;s launch, few investors were venturing outside the United States for fixed-income opportunities.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The bond investment landscape has undergone a transformation in the nearly two decades since. </FONT><FONT face=sans-serif size=2>New sectors like mortgage- and asset-backed securities now make up a sizable portion of the U.S. investment-grade market. The high-yield corporate bond sector has also grown significantly. Outside the United States, the popularity of the euro has resulted in a large </FONT><FONT face=sans-serif size=2>market of European government bonds. There are also growing opportunities to invest in the debt of emerging-market countries.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The fund&#146;s investment perspective has been broadened to keep pace with the market expansion over time. To respond to the market&#146;s increasing complexity, Putnam&#146;s 100-member fixed-income group aligns teams of specialists with varied investment opportunities. Each team identifies compelling strategies within its area of expertise. Your fund&#146;s management team selects from among these strategies, striving to systematically build a diversified portfolio that carefully balances risk and return.</FONT></P>
<P align=left><FONT face=sans-serif size=2>We believe the fund&#146;s multi-strategy approach is well suited to the expanding opportunities of today&#146;s global bond marketplace. As different factors drive the performance of the various fixed-income sectors, the fund&#146;s diversified strategy seeks to take advantage of changing market leadership in pursuit of high current income and relative stability of net asset value.</FONT></P>
<P align=left><I><FONT face=sans-serif size=2>International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Additional risks may be associated with emerging-market securities, including illiquidity and volatility. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk. Funds that invest in bonds are subject to certain risks, including interest-rate risk, credit risk, and inflation risk. As interest rates rise, the prices of bonds fall. Long-term bonds are more exposed to interest-rate risk than short-term bonds. Unlike bonds, bond funds have ongoing fees and expenses. The use of derivatives involves special risks and may result in losses. The fund&#146;s shares trade on a stock exchange at market prices, which may be lower than the fund&#146;s net asset value.</FONT></I></P>
<P align=left><FONT face=sans-serif size=4>How do closed-end funds</FONT><BR>
<FONT face=sans-serif size=4>differ from open-end funds?</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>More assets at work </FONT></B><FONT face=sans-serif size=2>While open-end funds need to maintain a cash position to meet redemptions, closed-end funds are not subject to redemptions and can keep more of their assets invested in the market.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Traded like stocks </FONT></B><FONT face=sans-serif size=2>Closed-end fund shares are traded on stock exchanges, and their market prices fluctuate in response to supply and demand, among other factors.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Net asset value vs. market price </FONT></B><FONT face=sans-serif size=2>Like an open-end fund&#146;s net asset value (NAV) per share, the NAV of a closed-end fund share is equal to the current value of the fund&#146;s assets, minus its liabilities, divided by the number of shares outstanding. However, when buying or selling closed-end fund shares, the price you pay or receive is the market price. Market price reflects current market supply and demand and may be higher or lower than the NAV.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Putnam Master Intermediate Income Trust</FONT></B></P>
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<P align=left><FONT face=sans-serif size=4></FONT>&nbsp;</P>
<P align=left><FONT face=sans-serif size=4>Putnam Master Intermediate Income Trust balances <BR>
risk and return across multiple sectors</FONT></P>
<P align=left><B><FONT face=sans-serif>Portfolio composition as of 9/30/08</FONT></B></P>
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<P align=left><FONT face=sans-serif size=2>Putnam believes that building a diversified portfolio with multiple income-generating strategies is the best way to pursue your fund&#146;s objectives. The fund&#146;s portfolio is composed of a broad spectrum of government, credit, and securitized debt instruments.</FONT></P>
<P align=left><I><FONT face=sans-serif size=2>Weightings are shown as a percentage of the fund&#146;s net assets. Allocations and holdings in each sector will vary over time. For more information on current fund holdings, see pages 17&#150;47.</FONT></I></P>
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<P align=left><FONT face=serif size=7>Performance and portfolio snapshots</FONT></P>
<P align=left><FONT face=sans-serif size=2>Average annual total return (%) comparison as of 9/30/08</FONT></P>
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<P align=left><I><FONT face=sans-serif size=2>Data is historical. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and net asset value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance assumes reinvestment of distributions and does not account for taxes. Fund returns in the bar chart are at NAV. See pages </FONT></I><I><FONT face=sans-serif size=2>5 and 8 for additional performance information, including fund returns at market price. Index and Lipper results should be compared to fund performance at NAV. Lipper calculates performance differently than the closed-end funds it ranks, due to varying methods for determining a fund&#146;s monthly reinvestment NAV.</FONT></I></P>
<P align=left><FONT face=sans-serif size=4>&#147;The past 12 months for the financial markets</FONT><BR>
<FONT face=sans-serif size=4>worldwide have been unprecedented. During</FONT><BR>
<FONT face=sans-serif size=4>the period, investors indiscriminately fled even</FONT><BR>
<FONT face=sans-serif size=4>high-quality mortgage and credit instruments</FONT><BR>
<FONT face=sans-serif size=4>for government-backed U.S.Treasury bonds</FONT><BR>
<FONT face=sans-serif size=4>and international government securities.&#148;</FONT></P>
<P align=left><B><FONT face=sans-serif size=1>D.William Kohli, Portfolio Leader, </FONT></B><FONT face=sans-serif size=1>Putnam Master Intermediate Income Trust</FONT></P>
<P align=left><FONT face=sans-serif size=2>Credit qualities shown as a percentage of portfolio value as of 9/30/08. A bond rated Baa or higher (MIG3/VMIG3 or higher, for short-term debt) is considered investment grade. The chart reflects Moody&#146;s ratings; percentages may include bonds not rated by Moody&#146;s but considered by Putnam Management to be of comparable quality. Ratings will vary over time.</FONT></P>
<P align=left><B><FONT face=sans-serif>Credit quality overview</FONT></B></P>
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<P align=left><FONT face=sans-serif size=2>4</FONT></P>
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<P align=left><FONT face=sans-serif size=2><B>Bill, thank you for taking the time today to talk about Master Intermediate Income Trust&#146;s most recent annual period. How did the fund perform?</B></FONT></P>
<P align=left><FONT face=serif size=2>The past 12 months for the financial markets worldwide have been unprecedented, with price volatility, collapses of large financial institutions, and government intervention in the markets on a scale not seen since the 1930s. During the period, investors indiscriminately fled even high-quality mortgage and credit instruments for government-backed U.S. Treasury bonds and international government securities. The fund significantly underperformed its benchmark, which is more highly concentrated in these government securities, despite our emphasis on securities of investment-grade and higher quality, and our continued cautious stance on duration [a measure of portfolio risk]. The fund also underperformed its peer group, Lipper Flexible Income Funds [closed-end].</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>Could you briefly cover the events of the past 12 months?</B></FONT></P>
<P align=left><FONT face=serif size=2>November 2007 as well as January and March of this year stand out as periods when securitized bond prices moved sharply lower based on broad-based housing market </FONT><FONT face=serif size=2>troubles and the oncoming credit squeeze. From late 2007 through early 2008, global credit markets grew increasingly illiquid, reaching the first of several subsequent low points thus far with the collapse of Bear Stearns in March. Other factors contributing to market volatility earlier in the period included spiking energy and commodity prices [though these prices have since receded somewhat]. In July came the government&#146;s financial rescue of the assets of Fannie Mae and Freddie Mac.</FONT></P>
<P align=left><FONT face=serif size=2>From a Wall Street perspective, September&#146;s events were earth-shaking, as financial pressure on major investment and commercial banks mushroomed and market liquidity dried up. Lehman Brothers made known that it was seeking a buyer or a government bailout but failed on both counts and was liquidated. In addition, Merrill Lynch agreed to be acquired by Bank of America, and the giant insurer AIG teetered on the brink of collapse before the government decided that the company was too critical to global financial market operations to be allowed to fail. Almost immediately afterward, Goldman Sachs and Morgan Stanley, the last two remaining U.S. investment banks, themselves under financial stress,</FONT></P>
<P align=left><B><FONT face=sans-serif>Broad market index and fund performance</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>This comparison shows your fund&#146;s performance in the context of broad market indexes for the 12 months ended 9/30/08. See the previous page and page 8 for additional fund performance information. Index descriptions can be found on page 10.</FONT></P>
<IMG src="mastintinctrstx6x2.jpg" border=0>
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<P align=left><FONT face=sans-serif size=2>5</FONT></P>
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<P align=left><FONT face=serif size=2>decided to change to bank holding companies in order to gain access to Federal Reserve lending facilities, thereby subjecting themselves to tighter federal regulation. Thus came the end of the era of the stand-alone investment bank that funds its operations through open-market trading activity.</FONT></P>
<P align=left><FONT face=serif size=2>Meanwhile, short-term credit markets, including the commercial paper market, went from somewhat illiquid to frozen over this period. Banks, fearful of possible toxic assets on one another&#146;s books, became reluctant to lend to other institutions. Credit became extremely tight to virtually unobtainable for businesses of all sizes across the country. Just before the end of the period, federal regulators seized the country&#146;s largest savings and loan, Washington Mutual. In recent months, the stock market has exhibited volatility not seen since the Depression. And last, the near-collapse of several major banks in Europe and bankruptcy for Iceland were extremely problematic for global capital flows.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>Bill, what has been the investment team&#146;s approach in managing the fund during the global credit crunch?</B></FONT></P>
<P align=left><FONT face=serif size=2>Our investment approach has been to focus on credit quality. We also believe this to be the correct approach going forward. Accordingly, we are significantly underweight corporate credit while favoring carefully </FONT><FONT face=serif size=2>selected securitized bonds, which we have purchased at what we feel are very attractive terms at several points over the past year, and which we believe should reward fund shareholders over time. We believe that these securities carry minimal fundamental credit risk. In addition, we remain neutral on government bonds. The fund is also underweight emerging-market bonds.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>What is your outlook going forward for the economy, the credit markets, and the fund?</B></FONT></P>
<P align=left><FONT face=serif size=2>From short-term money markets and securitized instruments to corporate bonds and bank loans, all parts of the credit system had ceased to function normally by late September. The longer it takes for normal liquidity to be restored, the greater the negative impact on the real economy. In our judgment, there is now a high probability of a recession, and such a downturn could be severe. This would have major implications for corporate profits and default rates on corporate bonds and bank loans.</FONT></P>
<P align=left><FONT face=serif size=2>Our overall investment themes have not materially changed. We continue to emphasize top-rated securities among commercial mortgage-backed securities, mortgage pass-throughs, agencies, and collateralized mortgage obligations. We also continue to position the portfolio for yield-curve steepening, which helped performance over the past 12 months. This strategy is</FONT></P>
<P align=left><B><FONT face=sans-serif>Top holdings</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>This table shows the fund&#146;s top holdings and the percentage of the fund&#146;s net assets that each represented as of 9/30/08. Holdings will vary over time.</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="50%"></TD>
     <TD width="50%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>HOLDING (percent of fund&#146;s net assets)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>COUPON (%) and MATURITY DATE</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>Securitized sector</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Federal National Mortgage Association pass-through certificates TBA (4.1%)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6%, 2038</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Credit Suisse Mortgage Capital Certificates Ser. 07-C5, Class A3 (2.5%)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.694%, 2040</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Wachovia Bank Commercial Mortgage Trust Ser. 07-C30, Class A3 (1.2%)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.246%, 2043</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>Government sector</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Japan (Government of) CPI Linked bonds Ser. 8 (4.1%)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1%, 2016</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Argentina (Republic of) sr. unsec. unsub. bonds FRB (1.0%)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.127%, 2012</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Colombia (Republic of) notes (1.0%)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10%, 2012</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>Credit sector</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>VTB Capital SA 144A notes (Luxembourg) (0.7%)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7.5%, 2011</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Charter Communications, Inc. bank term loan FRN (0.4%)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.8%, 2014</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Echostar DBS Corp. company guaranty (0.4%)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.625%, 2014</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>6</FONT></P>
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<P align=left><FONT face=serif size=2>based on our view that the yield curve will continue to steepen as global central banks continue to cut short-term rates and longer-term rates trend higher on the liquidity squeeze and inflation concerns. We are also taking a neutral position on non-U.S. government bonds, as substantial new bond issuance by countries for financial bailouts should depress security prices and raise rates over the long term.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>Thanks again, Bill, for sharing your insights with us.</B></FONT></P>
<P align=left><I><FONT face=serif size=2>The views expressed in this report are exclusively those of Putnam Management. They are not meant as investment advice.</FONT></I></P>
<P align=left><I><FONT face=serif size=2>Please note that the holdings discussed in this report may not have been held by the fund for the entire period. Portfolio composition is subject to review in accordance with the fund&#146;s investment strategy and may vary in the future.</FONT></I></P>
<P align=left><FONT face=sans-serif size=2>I N&nbsp; T H E&nbsp; N E W S</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>In early October, federal lawmakers approved the Emergency Economic Stabilization Act of 2008 (EESA)</B></FONT><FONT face=sans-serif size=2><B>, </B>a $700 billion economic package designed to ease the nation&#146;s worsening credit crisis. Under the law, a Troubled Asset Relief Program (TARP) was originally authorized to purchase failed mortgages and mortgage-related securities at the heart of the credit crisis. However, in mid-November, U.S. Treasury Secretary Henry Paulson redirected TARP&#146;s mission to help relieve pressure in the area of consumer credit. TARP will now focus on offering aid to banks and other firms that issue student, auto, and credit card loans.</FONT></P>
<P align=left><B><FONT face=sans-serif>Comparison of top sector weightings</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>This chart shows how the fund&#146;s top weightings have changed over the past six months. Weightings are shown as a percentage of total investment portfolio. Holdings will vary over time.</FONT></P>
<IMG src="mastintinctrstx8x1.jpg" border=0>
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<P align=left><FONT face=sans-serif size=2>7</FONT></P>
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<P align=left><FONT face=sans-serif size=5>Your fund&#146;s performance</FONT></P>
<P align=left><FONT face=serif size=2>This section shows your fund&#146;s performance for periods ended September 30, 2008, the end of its most recent fiscal year. Performance should always be considered in light of a fund&#146;s investment strategy. Data represents past performance. Past </FONT><FONT face=serif size=2>performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return, net asset value, and market price will fluctuate, and you may have a gain or a loss when you sell your shares.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Fund performance </FONT></B><FONT face=sans-serif size=2>Total return for periods ended 9/30/008</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="33%"></TD>
     <TD width="33%"></TD>
     <TD width="33%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>NAV</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>Market price</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Annual average (life of fund since 4/29/88)</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>6.74%</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>5.90%</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>10 years</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>56.66</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>50.83</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Annual average</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>4.59</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>4.20</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5 years</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>16.93</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>16.89</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Annual average</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>3.18</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>3.17</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 years</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>0.79</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>4.51</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Annual average</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>0.26</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>1.48</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>1 year</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>&#150;10.67</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>&#150;8.92</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>Performance assumes reinvestment of distributions and does not account for taxes.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Comparative index returns </FONT></B><FONT face=sans-serif size=2>For periods ended 9/30/08</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="20%"></TD>
     <TD width="20%"></TD>
     <TD width="20%"></TD>
     <TD width="20%"></TD>
     <TD width="20%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>Lipper Flexible</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>Citigroup Non-U.S.</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>Income Funds</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>Lehman Government/</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>World Government</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>JPMorgan Global</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(closed-end)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>Credit Bond Index</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>Bond Index</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>High Yield Index</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>category average*</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=1>Annual average (life of fund)</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>7.22%</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>6.66%</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>&#151;&#134;</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>6.48%</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=1>10 years</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>62.93</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>66.65</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>64.78%</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>69.68</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Annual average</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>5.00</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>5.24</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>5.12</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>5.18</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=1>5 years</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>17.86</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>31.05</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>26.91</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>20.59</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Annual average</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>3.34</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>5.56</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>4.88</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>3.79</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=1>3 years</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>11.19</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>17.47</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>5.09</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>3.34</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Annual average</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>3.60</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>5.51</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>1.67</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>1.08</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=1>1 year</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>2.41</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>5.16</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>&#150;9.89</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>&#150;8.03</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>Index and Lipper results should be compared to fund performance at net asset value. Lipper calculates performance differently than the closed-end funds it ranks, due to varying methods for determining a fund&#146;s monthly reinvestment NAV.</FONT></P>
<P align=left><FONT face=sans-serif size=1>* Over the 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 9/30/08, there were 6, 6, 6, 5, and 2 funds, respectively, in this Lipper category.</FONT></P>
<P align=left><FONT face=sans-serif size=1>&#134; The inception date of the JPMorgan Global High Yield Index was 12/31/93.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Fund price and distribution information </FONT></B><FONT face=sans-serif size=2>For the 12-month period ended 9/30/08</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="25%"></TD>
     <TD width="25%"></TD>
     <TD width="25%"></TD>
     <TD align=right width="25%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Distributions</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Number</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center><FONT style="WIDTH: 25pt; TEXT-ALIGN: right" face=sans-serif size=1>12</FONT></TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Income</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center><FONT style="WIDTH: 25pt; TEXT-ALIGN: right" face=sans-serif size=1>$0.485</FONT></TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Capital gains</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center><FONT style="WIDTH: 25pt; TEXT-ALIGN: right" face=sans-serif size=1>&#151;</FONT></TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center><FONT style="WIDTH: 25pt; TEXT-ALIGN: right" face=sans-serif size=1>$0.485</FONT></TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Share value</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>NAV</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>Market price</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/30/07</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT style="WIDTH: 23pt; TEXT-ALIGN: right" face=sans-serif size=1>$7.13</FONT></TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center><FONT style="WIDTH: 28pt; TEXT-ALIGN: right" face=sans-serif size=1>$6.41</FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/30/08</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT style="WIDTH: 23pt; TEXT-ALIGN: right" face=sans-serif size=1>5.88</FONT></TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center><FONT style="WIDTH: 28pt; TEXT-ALIGN: right" face=sans-serif size=1>5.39</FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Current yield (end of period)</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center></TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Current dividend rate*</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT style="WIDTH: 23pt; TEXT-ALIGN: right" face=sans-serif size=1>9.18%</FONT></TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=center><FONT style="WIDTH: 28pt; TEXT-ALIGN: right" face=sans-serif size=1>10.02%</FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>The classification of distributions, if any, is an estimate. Final distribution information will appear on your year-end tax forms.</FONT></P>
<P align=left><FONT face=sans-serif size=1>* Most recent distribution, excluding capital gains, annualized and divided by NAV or market price at end of period.</FONT></P>
<P align=left><FONT face=sans-serif size=2>8</FONT></P>
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<P align=left><FONT face=sans-serif size=5>Your fund&#146;s management</FONT></P>
<P align=left><FONT face=serif size=2>Your fund is managed by the members of the Putnam Taxable Fixed-Income Team. D. William Kohli is the Portfolio Leader, and Michael Atkin, Rob Bloemker, Kevin Murphy, and Paul Scanlon are Portfolio Members of the fund. The Portfolio Leader and Portfolio Members coordinate the team&#146;s management of the fund.</FONT></P>
<P align=left><FONT face=serif size=2>For a complete listing of the members of the Putnam Taxable Fixed-Income Team, including those who are not Portfolio Leaders or Portfolio Members of your fund, please visit the Individual Investors section of www.putnam.com.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Trustee and Putnam employee fund ownership</FONT></B></P>
<P align=left><FONT face=serif size=2>As of September 30, 2008, 12 of the 13 Trustees of the Putnam funds owned fund shares. The table below shows the approximate value of investments in the fund and all Putnam funds as of that date by the Trustees and Putnam employees. These amounts include investments by the Trustees&#146; and employees&#146; immediate family members and investments through retirement and deferred compensation plans.</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="16%"></TD>
     <TD width="20%"></TD>
     <TD width="20%"></TD>
     <TD width="43%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>Assets in</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>Total assets in</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>the fund</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>all Putnam funds</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD></TR>
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     <TD colSpan=3>
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</TD>
     <TD></TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Trustees</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT style="WIDTH: 29pt; TEXT-ALIGN: right" face=sans-serif size=1>$28,000</FONT></TD>
     <TD noWrap align=center><FONT style="WIDTH: 49pt; TEXT-ALIGN: right" face=sans-serif size=1>$37,000,000</FONT></TD>
     <TD noWrap align=right></TD></TR>
<TR>
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<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Putnam employees</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT style="WIDTH: 29pt; TEXT-ALIGN: right" face=sans-serif size=1>$3,000</FONT></TD>
     <TD noWrap align=center><FONT style="WIDTH: 49pt; TEXT-ALIGN: right" face=sans-serif size=1>$471,000,000</FONT></TD>
     <TD noWrap align=center></TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR></TABLE><BR>
<P align=left><B><FONT face=sans-serif size=2>Other Putnam funds managed by the Portfolio Leader and Portfolio Members</FONT></B></P>
<P align=left><FONT face=serif size=2>D. William Kohli is also a Portfolio Leader of Putnam Diversified Income Trust, Putnam Global Income Trust, and Putnam Premier Income Trust.</FONT></P>
<P align=left><FONT face=serif size=2>Michael Atkin is also a Portfolio Member of Putnam Diversified Income Trust, Putnam Global Income Trust, and Putnam Premier Income Trust.</FONT></P>
<P align=left><FONT face=serif size=2>Rob Bloemker is also a Portfolio Leader of Putnam U.S. Government Income Trust, Putnam American Government Income Fund, and Putnam Income Fund. He is also a Portfolio Member of Putnam Diversified Income Trust, Putnam Global Income Trust, and Putnam Premier Income Trust.</FONT></P>
<P align=left><FONT face=serif size=2>Kevin Murphy is also a Portfolio Member of Putnam Income Fund, Putnam Diversified Income Trust, Putnam Premier Income Trust, and Putnam Utilities Growth and Income Fund.</FONT></P>
<P align=left><FONT face=serif size=2>Paul Scanlon is also a Portfolio Leader of Putnam High Yield Trust, Putnam High Yield Advantage Fund, and Putnam Floating Rate Income Fund. He is also a Portfolio Member of Putnam Diversified Income Trust and Putnam Premier Income Trust.</FONT></P>
<P align=left><FONT face=serif size=2>D. William Kohli, Michael Atkin, Rob Bloemker, Kevin Murphy, and Paul Scanlon may also manage other accounts and variable trust funds advised by Putnam Management or an affiliate.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Changes in your fund&#146;s Portfolio Leader and Portfolio Members</FONT></B></P>
<P align=left><FONT face=serif size=2>During the reporting period ended September 30, 2008, Michael Atkin joined your fund&#146;s management team, following the departure of Portfolio Member Jeffrey Kaufman.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Investment team fund ownership</FONT></B></P>
<P align=left><FONT face=serif size=2>The following table shows how much the fund&#146;s current Portfolio Leader and Portfolio Members have invested in the fund and in all Putnam mutual funds (in dollar ranges). Information shown is as of September 30, 2008, and September 30, 2007.</FONT></P>
<IMG src="mastintinctrstx10x1.jpg" border=0>
<BR>
<P align=left><FONT face=sans-serif size=1>N/A indicates the individual was not a Portfolio Leader or Portfolio Member as of 9/30/07.</FONT></P>
<P align=left><FONT face=sans-serif size=2>9</FONT></P>
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<P align=left><FONT face=sans-serif size=5>Terms and definitions</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Important terms</FONT></B></P>
<P align=left><B><FONT face=serif size=2>Total return </FONT></B><FONT face=serif size=2>shows how the value of the fund&#146;s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.</FONT></P>
<P align=left><B><FONT face=serif size=2>Net asset value (NAV) </FONT></B><FONT face=serif size=2>is the value of all your fund&#146;s assets, minusany liabilities, divided by the number of outstanding shares.</FONT></P>
<P align=left><B><FONT face=serif size=2>Market price </FONT></B><FONT face=serif size=2>is the current trading price of one share of the fund. Market prices are set by transactions between buyers and sellers on exchanges such as the New York Stock Exchange.</FONT></P>
<P align=left><B><FONT face=serif size=2>Current yield </FONT></B><FONT face=serif size=2>is the annual rate of return earned from dividends or interest of an investment. Current yield is expressed as a percentage of the price of a security, fund share, or principal investment.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Comparative indexes</FONT></B></P>
<P align=left><B><FONT face=serif size=2>Citigroup Non-U.S. World Government Bond Index </FONT></B><FONT face=serif size=2>is an unmanaged index generally considered to be representative of the world bond market.</FONT></P>
<P align=left><B><FONT face=serif size=2>Lehman Aggregate Bond Index </FONT></B><FONT face=serif size=2>is an unmanaged index of U.S. investment-grade fixed-income securities.</FONT></P>
<P align=left><B><FONT face=serif size=2>JPMorgan Global High Yield Index </FONT></B><FONT face=serif size=2>is an unmanaged index of global high-yield fixed-income securities.</FONT></P>
<P align=left><B><FONT face=serif size=2>Lehman Government/Credit Bond Index </FONT></B><FONT face=serif size=2>is an unmanaged index of U.S. Treasuries, agency securities, and investment-grade corporate bonds.</FONT></P>
<P align=left><B><FONT face=serif size=2>Merrill Lynch 91-Day Treasury Bill Index </FONT></B><FONT face=serif size=2>is an unmanaged index that seeks to measure the performance of U.S. Treasury bills available in the marketplace.</FONT></P>
<P align=left><B><FONT face=serif size=2>S&amp;P 500 Index </FONT></B><FONT face=serif size=2>is an unmanaged index of common stock performance.</FONT></P>
<P align=left><FONT face=sans-serif size=1>Indexes assume reinvestment of all distributions and do not account for fees. Securities and performance of a fund and an index will differ. You cannot invest directly in an index.</FONT></P>
<P align=left><B><FONT face=serif size=2>Lipper </FONT></B><FONT face=serif size=2>is a third-party industry-ranking entity that ranks mutual funds. Its rankings do not reflect sales charges. Lipper rankings are based on total return at net asset value relative to other funds that have similar current investment styles or objectives as determined by Lipper. Lipper may change a fund&#146;s category assignment at its discretion. Lipper category averages reflectperformance trends for funds within a category.</FONT></P>
<P align=left><FONT face=sans-serif size=2>10</FONT></P>
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<P align=left><FONT face=sans-serif size=5>Trustee approval of management contract</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>General conclusions</FONT></B></P>
<P align=left><FONT face=serif size=2>The Board of Trustees of the Putnam funds oversees the management of each fund and, as required by law, determines annually whether to approve the continuance of your fund&#146;s management contract with Putnam Investment Management (&#147;Putnam Management&#148;) and the sub-management contract, in respect of your fund, between Putnam Management&#146;s affiliate, Putnam Investments Limited (&#147;PIL&#148;), and Putnam Management. In this regard, the Board of Trustees, with the assistance of its Contract Committee consisting solely of Trustees who are not &#147;interested persons&#148; (as such term is defined in the Investment Company Act of 1940, as amended) of the Putnam funds (the &#147;Independent Trustees&#148;), requests and evaluates all information it deems reasonably necessary under the circumstances. Over the course of several months ending in June 2008, the Contract Committee met several times to consider the information provided by Putnam Management and oth
er information developed with the assistance of the Board&#146;s independent counsel and independent staff. The Contract Committee reviewed and discussed key aspects of this information with all of the Independent Trustees. The Contract Committee recommended, and the Independent Trustees approved, the continuance of your fund&#146;s management and sub-management contracts, effective July 1, 2008. (Because PIL is an affiliate of Putnam Management and Putnam Management remains fully responsible for all services provided by PIL, the Trustees have not evaluated PIL as a separate entity, and all subsequent references to Putnam Management below should be deemed to include reference to PIL as necessary or appropriate in the context.)</FONT></P>
<P align=left><FONT face=serif size=2>The Independent Trustees&#146; approval was based on the following conclusions:</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; </FONT><FONT face=serif size=2>That the fee schedule in effect for your fund represented reasonable compensation in light of the nature and quality of the services being provided to the fund, the fees paid by </FONT><FONT face=serif size=2>competitive funds and the costs incurred by Putnam Management in providing such services, and</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; </FONT><FONT face=serif size=2>That this fee schedule represented an appropriate sharing between fund shareholders and Putnam Management of such economies of scale as may exist in the management of the fund at current asset levels.</FONT></P>
<P align=left><FONT face=serif size=2>These conclusions were based on a comprehensive consideration of all information provided to the Trustees, were subject to the continued application of certain expense reductions and waivers and other considerations noted below, and were not the result of any single factor. Some of the factors that figured particularly in the Trustees&#146; deliberations and how the Trustees considered these factors are described below, although individual Trustees may have evaluated the information presented differently, giving different weights to various factors. It is also important to recognize that the fee arrangements for your fund and the other Putnam funds are the result of many years of review and discussion between the Independent Trustees and Putnam Management, that certain aspects of such arrangements may receive greater scrutiny in some years than others, and that the Trustees&#146; conclusions may be based, in part, on their consideration of these same arrangements in prio
r years.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Management fee schedules and</FONT></B><BR>
<B><FONT face=sans-serif size=2>categories; total expenses</FONT></B></P>
<P align=left><FONT face=serif size=2>The Trustees reviewed the management fee schedules in effect for all Putnam funds, including fee levels and breakpoints, and the assignment of funds to particular fee categories. In reviewing fees and expenses, the Trustees generally focused their attention on material changes in circumstances &#151; for example, changes in a fund&#146;s size or investment style, changes in Putnam Management&#146;s operating costs or responsibilities, or changes in competitive practices in the mutual fund industry &#151; that suggest that consideration of fee changes might be warranted. The Trustees concluded that the circumstances did not warrant changes to the management fee structure of your fund, which had been </FONT><FONT face=serif size=2>carefully developed over the years, re-examined on many occasions and adjusted where appropriate. In this regard, the Trustees also noted that shareholders of your fund voted in 2007 to approve new management contracts containing an identical fee
 structure. The Trustees focused on two areas of particular interest, as discussed further below:</FONT></P>
<P align=left><FONT face=serif size=2>&#149; </FONT><B><FONT face=serif size=2>Competitiveness. </FONT></B><FONT face=serif size=2>The Trustees reviewed comparative fee and expense information for competitive funds, which indicated that, in a custom peer group of competitive funds selected by Lipper Inc., your fund ranked in the 50th percentile in management fees and in the 50th percentile in total expenses as of December 31, 2007 (the first percentile being the least expensive funds and the 100th percentile being the most expensive funds). The Trustees expressed their intention to monitor this information closely to ensure that fees and expenses of your fund continue to meet evolving competitive standards.</FONT></P>
<P align=left><FONT face=serif size=2>&#149; </FONT><B><FONT face=serif size=2>Economies of scale. </FONT></B><FONT face=serif size=2>The Trustees considered that most Putnam funds currently have the benefit of breakpoints in their management fees that provide shareholders with significant economies of scale, which means that the effective management fee rate of a fund (as a percentage of fund assets) declines as a fund grows in size and crosses specified asset thresholds. </FONT><FONT face=serif size=2>Conversely, as a fund shrinks in size &#151; as has been the case for many Putnam funds in recent years &#151; these breakpoints result in increasing fee levels. In recent years, the Trustees have examined the operation of the existing breakpoint structure during periods of both growth and decline in asset levels. The Trustees concluded that the fee schedules in effect for the funds represented an appropriate sharing of economies of scale at current asset levels.</FONT></P>
<P align=left><FONT face=serif size=2>In connection with their review of the management fees and total expenses of the Putnam funds, the Trustees also reviewed the costs of the services to be provided and profits to be realized by Putnam Management and its affiliates from the relationship with the funds. This information included trends in</FONT></P>
<P align=left><FONT face=sans-serif size=2>11</FONT></P>
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<P align=left><FONT face=serif size=2>revenues, expenses and profitability of Putnam Management and its affiliates relating to the investment management and distribution services provided to the funds. In this regard, the Trustees also reviewed an analysis of Putnam Management&#146;s revenues, expenses and profitability with respect to the funds&#146; management contracts, allocated on a fund-by-fund basis.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Investment performance</FONT></B></P>
<P align=left><FONT face=serif size=2>The quality of the investment process provided by Putnam Management represented a major factor in the Trustees&#146; evaluation of the quality of services provided by Putnam Management under your fund&#146;s management contract. The Trustees were assisted in their review of the Putnam funds&#146; investment process and performance by the work of the Investment Oversight Coordinating Committee of the Trustees and the Investment Oversight Committees of the Trustees, which had met on a regular monthly basis with the funds&#146; portfolio teams throughout the year. The Trustees concluded that Putnam Management generally provides a high-quality investment process &#151; as measured by the experience and skills of the individuals assigned to the management of fund portfolios, the resources made available to such personnel, and in general the ability of Putnam Management to attract and retain high-quality personnel &#151; but also recognized that this does not guarantee favorab
le investment results for every fund in every time period. The Trustees considered the investment performance of each fund over multiple time periods and considered information comparing each fund&#146;s performance with various benchmarks and with the performance of competitive funds.</FONT></P>
<P align=left><FONT face=serif size=2>While the Trustees noted the satisfactory investment performance of certain Putnam funds, they considered the disappointing investment performance of many funds in recent periods, particularly over periods in </FONT><FONT face=serif size=2>2007 and 2008. They discussed with senior management of Putnam Management the factors contributing to such underperformance and actions being taken to improve performance. The Trustees recognized that, in recent years, Putnam Management has taken steps to strengthen its investment personnel and processes to address areas of underperformance, including recent efforts to further centralize Putnam Management&#146;s equity research function. In this regard, the Trustees took into consideration efforts by Putnam Management to improve its ability to assess and mitigate investment risk in individual funds, across asset classes, and across the complex as a whole. The Trustees indicated their intention to continue to monitor performance trends 
to assess the effectiveness of these efforts and to evaluate whether additional changes to address areas of underperformance are warranted.</FONT></P>
<P align=left><FONT face=serif size=2>In the case of your fund, the Trustees considered that your fund&#146;s common share cumulative total return performance at net asset value was in the following percentiles of its Lipper Inc. peer group (Lipper Flexible Income Funds (closed-end)) for the one-year, three-year and five-year periods ended December 31, 2007 (the first percentile being the best-performing funds and the 100th percentile being the worst-performing funds):</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="20%"></TD>
     <TD width="20%"></TD>
     <TD width="59%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>One-year period</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>63rd</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=2>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Three-year period</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>63rd</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=2>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Five-year period</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>58th</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=2>
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</TD>
     <TD></TD></TR></TABLE><BR>
<P align=left><FONT face=serif size=2>(Because of the passage of time, these performance results may differ from the performance results for more recent periods shown elsewhere in this report.) Over the one-year, three-year, and five-year periods ended December 31, 2007, there were 7, 7, and 6 funds, respectively, in your fund&#146;s Lipper peer group.* Past performance is no guarantee of future returns.</FONT></P>
<P align=left><FONT face=serif size=2>As a general matter, the Trustees believe that cooperative efforts between the Trustees and Putnam Management represent the most effective way to address investment performance problems. The Trustees noted that investors in the Putnam funds have, in effect, placed their trust in the Putnam organization, under the oversight of the funds&#146; Trustees, to make appropriate decisions regarding the management of the funds. Based on the responsiveness of Putnam Management in the recent past to Trustee concerns about investment performance, the Trustees concluded that it is preferable to seek change within Putnam Management to address performance shortcomings. In the Trustees&#146; view, the alternative of engaging a new investment adviser for an underperforming fund would entail significant disruptions and would not provide any greater assurance of improved investment performance.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Brokerage and soft-dollar</FONT></B><BR>
<B><FONT face=sans-serif size=2>allocations; other benefits</FONT></B></P>
<P align=left><FONT face=serif size=2>The Trustees considered various potential benefits that Putnam Management may receive in connection with the services it provides under the management contract with your fund. These include benefits related to brokerage and soft-dollar allocations, whereby a portion of the commissions paid by a fund for brokerage may be used to acquire research services that may be useful to Putnam Management in managing the assets of the fund and of other clients. The Trustees considered changes made in 2008, at Putnam Management&#146;s request, to the Putnam funds&#146; brokerage allocation policy, which expanded the permitted categories of brokerage and research services payable with soft dollars and increased the permitted soft dollar allocation to third-party services over what had been authorized in previous years. The Trustees indicated their continued intent</FONT></P>
<P align=left><FONT face=sans-serif size=1>* The percentile rankings for your fund&#146;s common share annualized total return performance in the Lipper Flexible Income Funds (closed-end) category for the one-year, five-year, and ten-year periods ended September 30, 2008, were 86%, 86%, and 67%, respectively. Over the one-year, five-year, and ten-year periods ended September 30, 2008, your fund ranked 6th out of 6, 6th out of 6, and 4th out of 5 funds, respectively. Note that this more recent information was not available when the Trustees approved the continuance of your fund&#146;s management contract.</FONT></P>
<P align=left><FONT face=sans-serif size=2>12</FONT></P>
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<P align=left><FONT face=serif size=2>to monitor the potential benefits associated with the allocation of fund brokerage and trends in industry practice to ensure that the principle of seeking &#147;best price and execution&#148; remains paramount in the portfolio trading process.</FONT></P>
<P align=left><FONT face=serif size=2>The Trustees&#146; annual review of your fund&#146;s management contract arrangements also included the review of your fund&#146;s investor servicing agreement with Putnam Fiduciary Trust Company (&#147;PFTC&#148;), which provides benefits to affiliates of Putnam Management. In the case of the investor servicing agreement, the Trustees considered that certain shareholder servicing functions were shifted to a third-party service provider by PFTC in 2007.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Comparison of retail and</FONT></B><BR>
<B><FONT face=sans-serif size=2>institutional fee schedules</FONT></B></P>
<P align=left><FONT face=serif size=2>The information examined by the Trustees as part of their annual contract review has included for many years information regarding fees charged by Putnam Management and its affiliates to institutional clients such as defined benefit pension plans, college endowments, etc. This information included comparisons of such fees with fees charged to the funds, as well as a detailed assessment of the differences in the services provided to these two types of clients. The Trustees observed, in this regard, that the differences in fee rates between institutional clients and mutual funds are by no means uniform when examined by individual asset </FONT><FONT face=serif size=2>sectors, suggesting that differences in the pricing of investment management services to these types of clients reflect to a substantial degree historical competitive forces operating in separate market places. The Trustees considered the fact that fee rates across different asset classes are typically higher o
n average for mutual funds than for institutional clients, as well as the differences between the services that Putnam Management provides to the Putnam funds and those that it provides to institutional clients of the firm, but did not rely on such comparisons to any significant extent in concluding that the management fees paid by your fund are reasonable.</FONT></P>
<P align=left><FONT face=sans-serif size=2>13</FONT></P>
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<P align=left><FONT face=sans-serif size=5>Other information for shareholders</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Important notice regarding share</FONT></B><BR>
<B><FONT face=sans-serif size=2>repurchase program</FONT></B></P>
<P align=left><FONT face=serif size=2>In October 2008, the Trustees of your fund approved the renewal of a share repurchase program that had been in effect since 2005. This renewal will allow your fund to repurchase, in the 12 months beginning October 8, 2008, up to 10% of the fund&#146;s common shares outstanding as of October 7, 2008.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Putnam&#146;s policy on confidentiality</FONT></B></P>
<P align=left><FONT face=serif size=2>In order to conduct business with our shareholders, we must obtain certain personal information such as account holders&#146; addresses, telephone numbers, Social Security numbers, and the names of their financial representatives. We use this information to assign an account number and to help us maintain accurate records of transactions and account balances. It is our policy to protect the confidentiality of your information, whether or not you currently own shares of our funds, and, in particular, not to sell information about you or your accounts to outside marketing firms. We have safeguards in place designed to prevent unauthorized access </FONT><FONT face=serif size=2>to our computer systems and procedures to protect personal information from unauthorized use. Under certain circumstances, we share this information with outside vendors who provide services to us, such as mailing and proxy solicitation. In those cases, the service providers enter into confidentiality
 agreements with us, and we provide only the information necessary to process transactions and perform other services related to your account. We may also share this information with our Putnam affiliates to service your account or provide you with information about other Putnam products or services. It is also our policy to share account information with your financial representative, if you&#146;ve listed one on your Putnam account. If you would like clarification about our confidentiality policies or have any questions or concerns, please don&#146;t hesitate to contact us at 1-800-225-1581, Monday through Friday, 8:30 a.m. to 8:00 p.m., or Saturdays from 9:00 a.m. to 5:00 p.m. Eastern Time.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Proxy voting</FONT></B></P>
<P align=left><FONT face=serif size=2>Putnam is committed to managing our mutual funds in the best interests of our </FONT><FONT face=serif size=2>shareholders. The Putnam funds&#146; proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2008, are available in the Individual Investors section of www.putnam.com, and on the SEC&#146;s Web site, www.sec.gov. If you have questions about finding forms on the SEC&#146;s Web site, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds&#146; proxy voting guidelines and procedures at no charge by calling Putnam&#146;s Shareholder Services at 1-800-225-1581.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Fund portfolio holdings</FONT></B></P>
<P align=left><FONT face=serif size=2>The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Shareholders may obtain the fund&#146;s Forms N-Q on the SEC&#146;s Web site at www.sec.gov. In addition, the fund&#146;s Forms N-Q may be reviewed and copied at the SEC&#146;s Public Reference Room in Washington, D.C. You may call the SEC at 1-800-SEC-0330 for information about the SEC&#146;s Web site or the operation of the Public Reference Room.</FONT></P>
<P align=left><FONT face=sans-serif size=2>14</FONT></P>
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<P align=left><FONT face=sans-serif size=5>Financial statements</FONT></P>
<P align=left><B><FONT face=serif size=2>These sections of the report, as well as the accompanying Notes, preceded by the Report of Independent Registered Public Accounting Firm, constitute the fund&#146;s financial statements.</FONT></B></P>
<P align=left><B><FONT face=serif size=2>The fund&#146;s portfolio </FONT></B><FONT face=serif size=2>lists all the fund&#146;s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.</FONT></P>
<P align=left><B><FONT face=serif size=2>Statement of assets and liabilities </FONT></B><FONT face=serif size=2>shows how the fund&#146;s net assets and share price are determined. All investment and noninvestment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share. (For funds with preferred </FONT><FONT face=serif size=2>shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)</FONT></P>
<P align=left><B><FONT face=serif size=2>Statement of operations </FONT></B><FONT face=serif size=2>shows the fund&#146;s net investment gain or loss. This is done by first adding up all the fund&#146;s earnings &#151; from dividends and interest income &#151; and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings &#151; as well as any unrealized gains or losses over the period &#151; is added to or subtracted from the net investment result to determine the fund&#146;s net gain or loss for the fiscal year.</FONT></P>
<P align=left><B><FONT face=serif size=2>Statement of changes in net assets </FONT></B><FONT face=serif size=2>shows how the fund&#146;s net assets were affected by the fund&#146;s net investment gain or loss, by distributions to shareholders, </FONT><FONT face=serif size=2>and by changes in the number of the fund&#146;s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned.</FONT></P>
<P align=left><B><FONT face=serif size=2>Financial highlights </FONT></B><FONT face=serif size=2>provide an overview of the fund&#146;s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semi-annual report, the highlight table also includes the current reporting period.</FONT></P>
<P align=left><FONT face=sans-serif size=2>15</FONT></P>
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<P align=left><B><FONT face=sans-serif size=2>Report of Independent Registered Public Accounting Firm</FONT></B></P>
<P align=left><FONT face=serif>The Board of Trustees and Shareholders</FONT><BR>
<FONT face=serif>Putnam Master Intermediate Income Trust:</FONT></P>
<P align=left><FONT face=serif>We have audited the accompanying statement of assets and liabilities of Putnam Master Intermediate Income Trust, including the fund&#146;s portfolio, as of September 30, 2008, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended and the financial highlights for each of the five years or periods in the period then ended. These financial statements and financial highlights are the responsibility of the fund&#146;s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.</FONT></P>
<P align=left><FONT face=serif>We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform our audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2008 by correspondence with the custodian and brokers or by other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.</FONT></P>
<P align=left><FONT face=serif>In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Putnam Master Intermediate Income Trust as of September 30, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years or periods in the period then ended, in conformity with U.S. generally accepted accounting principles.</FONT></P>
<IMG src="mastintinctrstx17x1.jpg" border=0>
<BR>
<P align=left><FONT face=serif>Boston, Massachusetts</FONT><BR>
<FONT face=serif>November 20, 2008</FONT></P>
<P align=left><FONT face=sans-serif size=2>16</FONT></P>
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<P align=left><B><FONT face=sans-serif size=2>The fund&#146;s portfolio </FONT></B><FONT face=sans-serif size=2>9/30/08</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="61%"></TD>
     <TD width="8%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>OBLIGATIONS (43.6%)*</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Asset Backed Funding Certificates</FONT>&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>144A FRB Ser. 06-OPT3, Class B,</FONT>&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>5.707s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$52,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,789</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Banc of America Alternative Loan</FONT>&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>Trust Ser. 06-7, Class A2,</FONT>&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>5.707s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,981,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,508,030</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Banc of America Commercial</FONT>&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>Mortgage, Inc.</FONT>&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>Ser. 01-1, Class G, 7.324s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>325,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>326,313</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-3, Class A3, 5.838s, 2049</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>168,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>157,446</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-2, Class A2, 5.634s, 2049</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>513,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>481,297</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 05-6, Class A2, 5.165s, 2047</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,131,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,102,972</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-5, Class XW, Interest Only</FONT>&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>(IO), 0.607s, 2051</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>113,048,119</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,600,814</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Banc of America Commercial</FONT>&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>Mortgage, Inc. 144A</FONT>&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>Ser. 01-1, Class J, 6 1/8s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>163,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>153,082</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-1, Class K, 6 1/8s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>367,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>278,348</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Banc of America Funding Corp. FRB</FONT>&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>Ser. 06-D, Class 6A1, 5.992s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,898,334</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,941,884</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Banc of America Large Loan 144A</FONT>&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>FRB Ser. 05-MIB1, Class K,</FONT>&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>4.488s, 2022</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>645,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>529,094</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bayview Commercial</FONT>&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>Asset Trust 144A</FONT>&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>Ser. 07-5A, IO, 1.55s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,417,032</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>174,012</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-1, Class S, IO, 1.211s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,896,358</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>355,348</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bear Stearns Alternate Trust</FONT>&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>FRB Ser. 06-5, Class 2A2, 6 1/4s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,184,390</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,376,166</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-6, Class 2A1, 5.899s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,060,410</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>653,090</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bear Stearns Commercial Mortgage</FONT>&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>Securities, Inc.</FONT>&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>FRB Ser. 00-WF2, Class F, 8.447s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>410,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>366,628</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-PW17, Class A3, 5.736s, 2050</FONT>&nbsp; </TD>
     <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=right><FONT face=sans-serif size=1>1,960,526</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bear Stearns Commercial Mortgage</FONT>&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>Securities, Inc. 144A</FONT>&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>Ser. 07-PW18, Class X1, IO,</FONT>&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>0.062s, 2050</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>62,631,285</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>523,773</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Broadgate Financing PLC sec. FRB</FONT>&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>Ser. D, 6.713s, 2023</FONT>&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>(United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>382,375</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>511,654</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Citigroup Mortgage Loan Trust, Inc.</FONT>&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>FRB Ser. 06-AR5, Class 2A5A,</FONT>&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>6.202s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,427,863</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>987,415</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-AR7, Class 2A2A,</FONT>&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>5.654s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>250,599</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>157,877</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-6, Class 2A5, IO,</FONT>&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>3.443s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,779,164</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>122,874</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Citigroup/Deutsche Bank Commercial</FONT>&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>Mortgage Trust Ser. 06-CD3,</FONT>&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>Class A4, 5.658s, 2048</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>106,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100,364</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Citigroup/Deutsche Bank Commercial</FONT>&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>Mortgage Trust 144A Ser. 07-CD5,</FONT>&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>Class XS, IO, 0.067s, 2044</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>36,640,960</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>262,087</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Commercial Mortgage Pass-Through</FONT>&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>Certificates 144A FRB</FONT>&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>Ser. 05-F10A, Class A1, 2.588s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>253,745</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>241,358</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Countrywide Alternative Loan Trust</FONT>&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>Ser. 06-45T1, Class 2A2, 6s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>902,017</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>549,779</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 06-J8, Class A4, 6s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,270,693</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,156,918</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-HY5R, Class 2A1A, 5.544s, 2047</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,745,585</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,429,471</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 04-2CB, Class 1A5, IO,</FONT>&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>4.393s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,830,502</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>95,672</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="61%"></TD>
     <TD width="8%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>OBLIGATIONS (43.6%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Countrywide Home Loans</FONT>&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>FRB Ser. 05-HYB7, Class 6A1,</FONT>&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>5.714s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$46,263</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$32,847</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 05-2, Class 2X, IO, 1.16s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,691,188</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>58,344</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Countrywide Home Loans 144A IFB</FONT>&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>Ser. 05-R1, Class 1AS, IO,</FONT>&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>3.523s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,222,185</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>185,276</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Credit Suisse Mortgage Capital Certificates</FONT>&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>FRB Ser. 07-C4, Class A2, 6.004s, 2039</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>814,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>769,356</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-C5, Class A3, 5.694s, 2040</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11,100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,932,402</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CRESI Finance Limited Partnership</FONT>&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>144A FRB Ser. 06-A, Class C,</FONT>&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>3.807s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>251,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>225,498</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CS First Boston Mortgage</FONT>&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>Securities Corp. 144A</FONT>&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>Ser. 98-C1, Class F, 6s, 2040</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>966,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>801,117</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 02-CP5, Class M, 5 1/4s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>354,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>70,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-TFLA, Class L, 4.338s, 2020</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>699,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>580,170</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Deutsche Mortgage &amp; Asset</FONT>&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>Receiving Corp. Ser. 98-C1,</FONT>&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>Class X, IO, 0.776s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,067,852</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>75,970</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DLJ Commercial Mortgage Corp.</FONT>&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>Ser. 98-CF2, Class B4, 6.04s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>286,492</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>245,323</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DLJ Commercial Mortgage Corp. 144A</FONT>&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>Ser. 98-CF2, Class B5, 5.95s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>915,958</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>725,622</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>European Loan Conduit 144A FRB</FONT>&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>Ser. 22A, Class D, 6.646s, 2014 (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>507,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>704,018</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>European Prime Real Estate PLC</FONT>&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>144A FRB Ser. 1-A, Class D,</FONT>&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>6.641s, 2014 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>276,306</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>401,660</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fannie Mae</FONT>&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>IFB Ser. 06-70, Class SM, 27.567s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$212,266</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>272,700</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-1, Class NR, 23.128s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>912,442</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,004,155</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-62, Class PS, 20.659s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>654,725</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>801,637</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-76, Class QB, 20.359s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,592,216</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,932,857</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-70, Class SJ, 20.359s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>108,693</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>133,796</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-63, Class SP, 20.059s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,743,442</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,084,576</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-W7, Class 1A4,</FONT>&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>19.939s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>572,274</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>555,105</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-104, Class GS, 17.994s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>330,738</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>387,253</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-60, Class TK, 15.772s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>483,246</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>535,277</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-25, Class PS, 14.05s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>663,655</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>707,637</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-74, Class CP, 12.991s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>456,854</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>482,301</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-115, Class NQ,</FONT>&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>12.912s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>259,568</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>259,249</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-27, Class SP, 12.808s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>734,005</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>796,310</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-8, Class HP, 12.808s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>775,116</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>837,839</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-8, Class WK, 12.808s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,241,323</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,327,413</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-106, Class US, 12.808s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,104,947</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,208,965</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-99, Class SA, 12.808s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>536,194</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>572,045</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-60, Class CS, 12.331s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>814,956</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>806,523</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-74, Class CS, 11.201s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>520,854</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>548,675</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 04-79, Class S, 10.981s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>764,219</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>768,370</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-114, Class SP,</FONT>&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>10.761s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>324,532</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>324,610</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-95, Class OP, 10.45s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>334,416</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>324,697</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-95, Class CP, 10.35s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>78,231</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>79,752</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-83, Class QP, 9.056s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>186,487</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>177,662</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 90, IO, 8s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>76,533</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>13,157</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 04-T2, Class 1A4, 7 1/2s, 2043</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>245,086</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>257,263</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 02-T19, Class A3, 7 1/2s, 2042</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>200,055</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>212,712</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 02-14, Class A2, 7 1/2s, 2042</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,459</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,542</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-T10, Class A2, 7 1/2s, 2041</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>194,613</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>201,587</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 02-T4, Class A3, 7 1/2s, 2041</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>874</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>931</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>17</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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     <TD noWrap align=left><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>OBLIGATIONS (43.6%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Fannie Mae</FONT>&nbsp; </TD>
     <TD 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>Ser. 01-T3, Class A1, 7 1/2s, 2040</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$127,070</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$133,735</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-T1, Class A1, 7 1/2s, 2040</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>384,795</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>406,749</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 99-T2, Class A1, 7 1/2s, 2039</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>151,893</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>161,202</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 386, Class 26, IO, 7 1/2s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>117,337</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>21,971</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 386, Class 27, IO, 7 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>78,173</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>15,771</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 386, Class 28, IO, 7 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>81,338</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>15,973</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 88, IO, 7 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>123,759</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>23,010</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 89, IO, 7 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>96,819</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,043</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 87, IO, 7 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>154,792</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>29,888</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 00-T6, Class A1, 7 1/2s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>73,363</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>77,005</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-T4, Class A1, 7 1/2s, 2028</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>362,292</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>385,686</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 04-W12, Class 1A3, 7s, 2044</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>279,864</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>293,512</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-T10, Class A1, 7s, 2041</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>767,912</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>797,909</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 386, Class 24, IO, 7s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>99,619</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>24,046</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 386, Class 25, IO, 7s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>105,648</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>25,995</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 386, Class 22, IO, 7s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>136,122</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>32,033</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 386, Class 21, IO, 7s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>153,830</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>37,002</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 386, Class 23, IO, 7s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>151,367</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>36,192</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 84, IO, 7s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>141,201</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>34,249</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 85, IO, 7s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>89,962</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>22,335</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 86, IO, 7s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>81,549</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,910</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 79, IO, 7s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>143,565</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>30,560</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 80, IO, 7s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>312,964</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>57,898</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 81, IO, 7s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>171,773</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>37,657</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 82, IO, 7s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>171,622</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>39,922</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 83, IO, 7s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>143,336</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>34,127</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 386, Class 14, IO, 6 1/2s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,243,791</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>216,109</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 386, Class 19, IO, 6 1/2s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>146,978</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>31,692</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 386, Class 17, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>224,810</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>38,499</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 386, Class 16, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>154,586</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>35,256</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 60, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>713,858</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>140,987</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 62, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>199,171</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>43,733</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 69, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>112,636</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>26,736</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 63, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>155,328</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>34,536</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 64, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>287,162</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>58,509</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 67, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>151,485</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>32,944</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 68, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>89,293</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,997</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 58, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>332,688</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>64,874</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 59, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>209,260</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>45,287</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 61, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>166,841</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>35,994</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 65, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>198,356</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>45,551</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 66, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>202,505</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>46,417</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 72, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>798,341</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>154,678</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 77, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>120,239</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>26,900</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 78, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>123,187</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>23,008</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 73, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>272,718</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>51,135</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 76, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>164,057</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>37,133</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 70, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>421,610</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>80,633</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 74, IO, 6 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>224,389</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>41,793</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 71, IO, 6 1/2s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>178,438</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>37,980</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 75, IO, 6 1/2s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>143,845</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>31,679</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 371, Class 2, IO, 6 1/2s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11,576,124</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,561,217</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 101, IO, 6 1/2s, 2022</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>72,198</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>13,405</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 389, Class 6, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>212,234</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>45,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 08-76, Class JI, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,378,377</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>265,338</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 386, Class 10, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>108,856</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>23,130</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 386, Class 11, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>92,431</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>17,306</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 41, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,209,843</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>223,821</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 42, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>874,497</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>159,596</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 43, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>790,284</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>146,203</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 44, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>721,852</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>132,640</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 45, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>555,966</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>102,159</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 46, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>483,164</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>88,781</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 47, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>428,099</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>82,409</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 48, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>384,305</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>73,979</FONT>&nbsp; </TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>OBLIGATIONS (43.6%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fannie Mae</FONT>&nbsp; </TD>
     <TD 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>Ser. 383, Class 52, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$155,592</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$33,212</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 386, Class 9, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>693,040</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>120,416</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 28, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,446,272</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>278,407</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 29, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,300,604</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>250,366</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 30, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>959,808</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>184,763</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 31, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>846,247</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>162,903</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 32, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>656,386</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>126,354</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 33, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>561,981</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>109,586</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 37, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>217,928</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>48,345</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 386, Class 7, IO, 6s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>847,894</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>165,339</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 34, IO, 6s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>226,750</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>44,216</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 35, IO, 6s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>187,810</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>39,719</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 36, IO, 6s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>148,111</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>31,211</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 38, IO, 6s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>92,728</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,658</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 50, IO, 6s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>262,312</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>47,544</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 386, Class 6, IO, 6s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>406,783</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>75,255</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 39, IO, 6s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>89,377</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>17,148</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 49, IO, 6s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>197,594</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>41,668</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 51, IO, 6s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>203,614</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>42,722</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 53, IO, 6s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>85,636</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,058</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 57, IO, 6s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>124,164</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>23,570</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 100, IO, 6s, 2022</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>77,585</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>15,377</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 98, IO, 6s, 2022</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>214,776</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>45,082</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 99, IO, 6s, 2022</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>94,778</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,760</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 18, IO, 5 1/2s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>761,880</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>148,567</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 19, IO, 5 1/2s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>695,348</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>134,724</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 25, IO, 5 1/2s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>119,031</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>27,057</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 386, Class 4, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>172,403</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>42,742</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 386, Class 5, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>110,023</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>24,497</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 15, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>105,259</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>24,396</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 4, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,063,026</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>212,605</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 5, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>674,895</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>136,666</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 6, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>605,870</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>122,689</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 7, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>597,906</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>121,076</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 8, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>242,434</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>51,517</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 9, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>231,135</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>49,116</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 20, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>430,524</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>87,181</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 21, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>406,572</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>82,331</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 22, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>275,507</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>57,857</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 23, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>248,589</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>51,582</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 24, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>174,192</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>40,366</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 26, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>127,747</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>31,381</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 379, Class 2, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,763,674</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>631,776</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 363, Class 2, IO, 5 1/2s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,951,747</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>459,051</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 95, IO, 5 1/2s, 2022</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>342,683</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>50,546</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 97, IO, 5 1/2s, 2022</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>143,724</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>28,099</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 94, IO, 5 1/2s, 2022</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>172,032</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>36,158</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 96, IO, 5 1/2s, 2022</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>186,763</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>37,659</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 2, IO, 5s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>113,952</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>26,404</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 377, Class 2, IO, 5s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>816,531</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>193,436</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 92, IO, 5s, 2022</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>149,536</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>30,277</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 383, Class 93, IO, 5s, 2022</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>85,810</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>16,785</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-W6, Class 6A2, IO,</FONT>&nbsp; </TD>
     <TD 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>4.593s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,001,110</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>83,843</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-90, Class SE, IO,</FONT>&nbsp; </TD>
     <TD 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>4.593s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,247,984</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>271,125</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 04-51, Class XP, IO,</FONT>&nbsp; </TD>
     <TD 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>4.493s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,125,741</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>217,390</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 03-66, Class SA, IO,</FONT>&nbsp; </TD>
     <TD 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>4.443s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>887,375</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>90,845</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-7, Class SA, IO,</FONT>&nbsp; </TD>
     <TD 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>4.343s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,495,288</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>532,696</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-W6, Class 5A2, IO,</FONT>&nbsp; </TD>
     <TD 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>4.083s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,483,576</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>109,414</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>18</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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     <TD noWrap align=left><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>OBLIGATIONS (43.6%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fannie Mae</FONT>&nbsp; </TD>
     <TD 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>IFB Ser. 07-W2, Class 3A2, IO,</FONT>&nbsp; </TD>
     <TD 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>4.073s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,421,952</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$107,535</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-115, Class BI, IO,</FONT>&nbsp; </TD>
     <TD 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>4.053s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,190,827</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>82,183</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-113, Class AI, IO,</FONT>&nbsp; </TD>
     <TD 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>4.023s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>712,386</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>61,517</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-113, Class DI, IO,</FONT>&nbsp; </TD>
     <TD 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>4.023s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,678,409</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>407,999</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-36, Class YI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.993s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,686,523</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>158,069</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-60, Class SI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.943s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,419,536</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>131,307</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-60, Class UI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.943s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>574,611</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>48,870</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-W7, Class 3A2, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.923s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,691,053</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>151,938</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-60, Class DI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.863s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,688,698</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>118,209</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 03-130, Class BS, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.843s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,281,362</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>202,818</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 03-34, Class WS, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.793s, 2029</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,178,947</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>178,053</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-10, Class LI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.773s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,188,285</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>201,049</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-39, Class LI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.563s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,185,965</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>102,714</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-23, Class SI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.563s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>360,285</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>24,891</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-54, Class CI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.553s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,090,002</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>98,573</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-39, Class PI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.553s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>888,932</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>62,012</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-30, Class WI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.553s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,113,742</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>393,763</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-28, Class SE, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.543s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>221,734</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,757</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-22, Class S, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.543s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>15,775,729</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,311,358</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-128, Class SH, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.543s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>977,125</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>65,353</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-56, Class SM, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.543s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,248,061</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100,503</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-90, Class SP, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.543s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>621,044</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>54,897</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-12, Class SC, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.543s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>777,313</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>65,236</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-W5, Class 2A2, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.533s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>535,124</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>41,472</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-30, Class IE, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.533s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,701,985</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>280,469</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-123, Class CI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.533s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,193,912</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>182,909</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-123, Class UI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.533s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,112,935</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>165,073</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-45, Class EW, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.513s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>601,445</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>46,469</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-15, Class BI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.493s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,530,305</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>287,854</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-126, Class CS, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.493s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,495,572</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>120,539</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-16, Class SM, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.493s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,176,622</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>186,295</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-95, Class CI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.493s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,193,410</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>111,817</FONT>&nbsp; </TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>OBLIGATIONS (43.6%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fannie Mae</FONT>&nbsp; </TD>
     <TD 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>IFB Ser. 05-84, Class SG, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.493s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,968,224</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$167,299</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-57, Class NI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.493s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>496,256</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>38,804</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-29, Class SX, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.493s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>820,178</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>72,421</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 04-92, Class S, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.493s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,885,584</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>201,991</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-104, Class EI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.483s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,119,754</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>106,197</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-83, Class QI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.483s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>325,890</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>26,687</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-128, Class GS, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.473s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,217,669</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>106,300</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-116, Class ES, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.443s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>180,520</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,064</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-114, Class IS, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.443s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,100,803</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>89,139</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 04-92, Class SQ, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.443s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,195,257</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>108,199</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-115, Class IE, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.433s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>855,107</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>73,158</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-117, Class SA, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.433s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,269,493</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>97,602</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-121, Class SD, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.433s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>140,493</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,274</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-109, Class SG, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.423s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>329,458</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>24,709</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-104, Class SY, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.413s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>295,116</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>21,787</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-109, Class SH, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.413s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,037,348</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>92,820</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-111, Class SA, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.413s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,863,864</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>572,982</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-W6, Class 4A2, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.393s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,985,927</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>448,945</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-128, Class SC, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.393s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,304,045</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>95,948</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-43, Class SI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.393s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,253,139</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>180,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-8, Class JH, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.393s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,187,764</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>352,317</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-122, Class SG, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.393s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>992,534</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>86,124</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-95, Class OI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.383s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>184,725</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>15,274</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-92, Class LI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.373s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,254,086</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100,161</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-99, Class AS, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.373s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>348,423</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>27,221</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-98, Class SQ, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.363s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11,360,729</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>830,753</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-85, Class TS, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.353s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,785,128</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>206,815</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-75, Class PI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.333s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,350,966</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>97,565</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-88, Class MI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.313s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>499,366</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>33,739</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-103, Class AI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.293s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,985,399</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>433,941</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-15, Class NI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.293s, 2022</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,024,928</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>129,089</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-106, Class SM, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.253s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,165,524</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>231,932</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>19</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_21"></A>
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<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>OBLIGATIONS (43.6%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fannie Mae</FONT>&nbsp; </TD>
     <TD 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>IFB Ser. 08-3, Class SC, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.243s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$2,426,744</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$187,030</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-109, Class XI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.243s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>869,994</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>71,581</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-109, Class YI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.243s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,338,089</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>96,317</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-W8, Class 2A2, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.243s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,209,947</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>140,188</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-88, Class JI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.243s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,566,381</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>120,311</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-79, Class SH, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.243s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,966,612</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>164,152</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-54, Class KI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.233s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>671,699</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>38,951</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-30, Class JS, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.233s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,410,015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>174,726</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-30, Class LI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.233s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,366,271</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>194,541</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-W2, Class 1A2, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.223s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>985,947</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>68,315</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-106, Class SN, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.203s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,294,779</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>92,516</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-54, Class IA, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.203s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,202,718</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>95,532</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-54, Class IB, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.203s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,202,718</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>95,532</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-54, Class IC, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.203s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,202,718</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>95,532</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-54, Class ID, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.203s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,202,718</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>95,532</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-54, Class IE, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.203s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,202,718</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>95,532</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-54, Class IF, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.203s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,918,642</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>156,146</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-54, Class NI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.203s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,043,882</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>87,021</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-54, Class UI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.203s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,780,828</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>142,162</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-91, Class AS, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.193s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>883,052</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>66,753</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-91, Class HS, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.193s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>944,731</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>66,832</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-15, Class CI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.173s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,090,603</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>302,729</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-123, Class BI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.173s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,982,376</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>364,082</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-115, Class JI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.173s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,970,003</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>217,181</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-109, Class PI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.143s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,445,040</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>108,746</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-123, Class LI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.113s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,975,162</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>154,129</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-1, Class NI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.043s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,626,689</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>165,810</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-10, Class GI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.023s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,548,796</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>87,126</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-13, Class SA, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.013s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,274,374</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>426,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-39, Class AI, IO,</FONT>&nbsp; </TD>
     <TD 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>2.913s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,223,635</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>145,418</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-32, Class SD, IO,</FONT>&nbsp; </TD>
     <TD 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>2.903s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,422,691</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100,478</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-30, Class UI, IO,</FONT>&nbsp; </TD>
     <TD 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>2.893s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,162,899</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>79,530</FONT>&nbsp; </TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>OBLIGATIONS (43.6%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fannie Mae</FONT>&nbsp; </TD>
     <TD 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>IFB Ser. 07-32, Class SC, IO,</FONT>&nbsp; </TD>
     <TD 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>2.893s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$2,017,173</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$141,121</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-1, Class CI, IO,</FONT>&nbsp; </TD>
     <TD 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>2.893s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,361,484</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>97,168</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-74, Class SE, IO,</FONT>&nbsp; </TD>
     <TD 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>2.893s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,592,763</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>93,898</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-14, Class SE, IO,</FONT>&nbsp; </TD>
     <TD 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>2.843s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,012,097</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>59,774</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-1, Class BI, IO,</FONT>&nbsp; </TD>
     <TD 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>2.703s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,067,090</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>198,946</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-75, Class ID, IO,</FONT>&nbsp; </TD>
     <TD 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>2.663s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,379,761</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>89,580</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 03-W17, Class 12, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>1.147s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,045,031</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>78,725</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 03-W10, Class 3A, IO,</FONT>&nbsp; </TD>
     <TD 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>0.703s, 2043</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,383,955</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>69,610</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 03-W10, Class 1A, IO,</FONT>&nbsp; </TD>
     <TD 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>0.66s, 2043</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,824,961</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>46,758</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 02-T18, IO, 0.514s, 2042</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,684,788</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>69,349</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 06-117, Class OA, Principal</FONT>&nbsp; </TD>
     <TD 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>Only (PO), zero %, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>78,075</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>63,391</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 06-56, Class XF, zero %, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>86,757</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>89,912</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 04-38, Class AO, PO,</FONT>&nbsp; </TD>
     <TD 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>zero %, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>293,157</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>203,744</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 04-61, Class CO, PO,</FONT>&nbsp; </TD>
     <TD 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>zero %, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>456,069</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>360,295</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 99-51, Class N, PO,</FONT>&nbsp; </TD>
     <TD 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>zero %, 2029</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>55,980</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>47,023</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-15, Class IM, IO,</FONT>&nbsp; </TD>
     <TD 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>zero %, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,169,279</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>85</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-16, Class TS, IO,</FONT>&nbsp; </TD>
     <TD 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>zero %, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,798,698</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>337</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-91, Class EF,</FONT>&nbsp; </TD>
     <TD 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>zero %, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>80,346</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>78,467</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-54, Class CF,</FONT>&nbsp; </TD>
     <TD 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>zero %, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>122,113</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>116,714</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Federal Home Loan Mortgage Corp.</FONT>&nbsp; </TD>
     <TD 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>Structured Pass-Through Securities</FONT>&nbsp; </TD>
     <TD 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>Ser. T-58, Class 4A, 7 1/2s, 2043</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,824</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,109</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. T-60, Class 1A2, 7s, 2044</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,414,540</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,501,333</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. T-56, Class 2ASI, IO,</FONT>&nbsp; </TD>
     <TD 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>4.893s, 2043</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>686,694</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>74,918</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. T-57, Class 1AX, IO,</FONT>&nbsp; </TD>
     <TD 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>0.451s, 2043</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,866,113</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,736</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FFCA Secured Lending Corp. 144A</FONT>&nbsp; </TD>
     <TD 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>Ser. 00-1, Class X, IO, 1.322s,</FONT>&nbsp; </TD>
     <TD 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>2020 </FONT><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,793,050</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>304,244</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>First Chicago Lennar Trust 144A</FONT>&nbsp; </TD>
     <TD 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>Ser. 97-CHL1, Class E, 8.026s, 2039</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>375,558</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>375,558</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freddie Mac</FONT>&nbsp; </TD>
     <TD 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>IFB Ser. 3153, Class JS, 20.663s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>577,627</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>663,917</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3182, Class PS, 18.65s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>174,721</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>201,590</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3182, Class SP, 18.65s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>412,296</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>414,101</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3393, Class JS,</FONT>&nbsp; </TD>
     <TD 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>18.059998s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>607,998</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>618,345</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3081, Class DC, 17.966s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>441,974</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>469,589</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3211, Class SI, IO, 17.207s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>321,767</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>155,946</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3114, Class GK, 16.45s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>312,078</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>332,116</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 2979, Class AS, 15.152s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>195,136</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>202,598</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3149, Class SU, 12.822s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>368,158</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>355,153</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3065, Class DC, 12.398s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>728,480</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>704,148</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3012, Class FS, 10.656s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>500,009</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>503,764</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 248, IO, 5 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>999,346</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>226,571</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>20</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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     <TD noWrap align=left><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>OBLIGATIONS (43.6%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freddie Mac</FONT>&nbsp; </TD>
     <TD 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>IFB Ser. 3184, Class SP, IO,</FONT>&nbsp; </TD>
     <TD 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>4.863s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,705,958</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$141,439</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 2882, Class LS, IO,</FONT>&nbsp; </TD>
     <TD 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>4.713s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>765,168</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>68,103</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3203, Class SH, IO,</FONT>&nbsp; </TD>
     <TD 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>4.653s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>969,397</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>99,173</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 2594, Class SE, IO,</FONT>&nbsp; </TD>
     <TD 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>4.563s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>348,566</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>26,655</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 2828, Class TI, IO,</FONT>&nbsp; </TD>
     <TD 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>4.563s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>611,996</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>46,062</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3397, Class GS, IO,</FONT>&nbsp; </TD>
     <TD 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>4.513s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>838,413</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>64,052</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3297, Class BI, IO,</FONT>&nbsp; </TD>
     <TD 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>4.273s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,853,941</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>335,694</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3287, Class SD, IO,</FONT>&nbsp; </TD>
     <TD 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>4.263s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,303,082</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>109,170</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3281, Class BI, IO,</FONT>&nbsp; </TD>
     <TD 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>4.263s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>689,190</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>63,380</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3281, Class CI, IO,</FONT>&nbsp; </TD>
     <TD 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>4.263s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>747,453</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>68,842</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3249, Class SI, IO,</FONT>&nbsp; </TD>
     <TD 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>4.263s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>626,637</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>50,562</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3028, Class ES, IO,</FONT>&nbsp; </TD>
     <TD 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>4.263s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,264,487</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>292,374</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3042, Class SP, IO,</FONT>&nbsp; </TD>
     <TD 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>4.263s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>999,429</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>73,029</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3045, Class DI, IO,</FONT>&nbsp; </TD>
     <TD 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>4.243s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,533,999</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>567,114</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3236, Class ES, IO,</FONT>&nbsp; </TD>
     <TD 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>4.213s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>105,634</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,368</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3136, Class NS, IO,</FONT>&nbsp; </TD>
     <TD 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>4.213s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>806,953</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>62,547</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3107, Class DC, IO,</FONT>&nbsp; </TD>
     <TD 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>4.213s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,564,246</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>317,147</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 2950, Class SM, IO,</FONT>&nbsp; </TD>
     <TD 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>4.213s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>507,701</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>42,462</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3256, Class S, IO,</FONT>&nbsp; </TD>
     <TD 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>4.203s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,853,711</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>155,248</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3031, Class BI, IO, 4.202s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>642,653</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>51,235</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3370, Class TS, IO,</FONT>&nbsp; </TD>
     <TD 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>4.183s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,695,163</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>274,106</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3244, Class SB, IO,</FONT>&nbsp; </TD>
     <TD 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>4.173s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>993,911</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>70,009</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3244, Class SG, IO,</FONT>&nbsp; </TD>
     <TD 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>4.173s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,152,679</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>95,946</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3236, Class IS, IO,</FONT>&nbsp; </TD>
     <TD 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>4.163s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,926,911</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>140,905</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3033, Class SG, IO,</FONT>&nbsp; </TD>
     <TD 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>4.163s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>827,703</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>59,851</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3114, Class TS, IO,</FONT>&nbsp; </TD>
     <TD 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>4.163s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,799,666</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>299,619</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3128, Class JI, IO,</FONT>&nbsp; </TD>
     <TD 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>4.143s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>357,698</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>29,287</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3240, Class S, IO,</FONT>&nbsp; </TD>
     <TD 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>4.133s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,439,167</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>289,660</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3229, Class BI, IO,</FONT>&nbsp; </TD>
     <TD 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>4.133s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>113,129</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,869</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3153, Class JI, IO,</FONT>&nbsp; </TD>
     <TD 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>4.133s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,521,705</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>97,009</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3065, Class DI, IO,</FONT>&nbsp; </TD>
     <TD 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>4.133s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>504,069</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>39,368</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3145, Class GI, IO,</FONT>&nbsp; </TD>
     <TD 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>4.113s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>292,206</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>25,385</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3218, Class AS, IO,</FONT>&nbsp; </TD>
     <TD 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>4.093s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,096,981</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>85,597</FONT>&nbsp; </TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>OBLIGATIONS (43.6%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freddie Mac</FONT>&nbsp; </TD>
     <TD 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>IFB Ser. 3221, Class SI, IO,</FONT>&nbsp; </TD>
     <TD 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>4.093s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,561,628</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$116,652</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3153, Class UI, IO,</FONT>&nbsp; </TD>
     <TD 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>4.083s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,071,957</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>104,633</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3424, Class XI, IO,</FONT>&nbsp; </TD>
     <TD 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>4.083s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,911,779</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>140,813</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3202, Class PI, IO,</FONT>&nbsp; </TD>
     <TD 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>4.053s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,311,863</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>345,975</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3355, Class MI, IO,</FONT>&nbsp; </TD>
     <TD 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>4.013s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>938,250</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>70,174</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3201, Class SG, IO,</FONT>&nbsp; </TD>
     <TD 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>4.013s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,973,674</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>149,279</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3203, Class SE, IO,</FONT>&nbsp; </TD>
     <TD 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>4.013s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,765,610</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>135,324</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3238, Class LI, IO,</FONT>&nbsp; </TD>
     <TD 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>4.003s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>975,339</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>77,781</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3171, Class PS, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.998s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,405,749</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>109,824</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3152, Class SY, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.993s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,145,689</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>287,126</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3366, Class SA, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.963s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,802,873</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>138,839</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3284, Class BI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.963s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,125,997</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>80,776</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3260, Class SA, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.963s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,010,085</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>66,937</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3199, Class S, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.963s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,791,581</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>234,125</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3284, Class LI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.953s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,224,609</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>244,609</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3281, Class AI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.943s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,161,831</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>342,449</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3311, Class EI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.923s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,190,467</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>97,646</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3311, Class IA, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.923s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,829,724</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>155,869</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3311, Class IB, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.923s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,829,724</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>155,869</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3311, Class IC, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.923s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,829,724</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>155,869</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3311, Class ID, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.923s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,829,724</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>155,869</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3311, Class IE, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.923s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,761,699</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>235,261</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3311, Class PI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.923s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,276,668</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>105,640</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3375, Class MS, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.913s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,878,904</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>421,653</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3240, Class GS, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.893s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,062,801</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>163,213</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3416, Class BI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.763s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,797,795</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>276,252</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3339, Class TI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.653s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,127,471</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>143,878</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3284, Class CI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.633s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,250,474</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>359,710</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3016, Class SQ, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.623s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,355,288</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>74,102</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3397, Class SQ, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.483s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,872,220</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>171,989</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3226, Class YS, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.363s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,366,066</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>112,023</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3424, Class UI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.273s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,331,097</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>77,899</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 246, PO, zero %, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>579,175</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>470,670</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>21</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>OBLIGATIONS (43.6%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freddie Mac</FONT>&nbsp; </TD>
     <TD 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>Ser. 3292, Class DO, PO, zero %, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$95,504</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$70,146</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 3292, Class OA, PO, zero %, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>131,105</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>91,066</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 3300, PO, zero %, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>744,734</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>577,169</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 3139, Class CO, PO, zero %, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>164,582</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>132,578</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 2587, Class CO, PO, zero %, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>483,299</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>399,302</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 3345, Class TY, zero %, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>199,496</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>195,026</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 3326, Class XF, zero %, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>175,169</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>153,972</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 3273, Class HF, zero %, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>76,265</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>80,359</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 3235, Class TP, zero %, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>65,721</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>58,295</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 3283, Class KF, zero %, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>64,924</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>52,024</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 3226, Class YI, IO,</FONT>&nbsp; </TD>
     <TD 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>zero %, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,366,066</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>128,580</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 3226, Class YW, zero %, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>313,671</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>274,129</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 3332, Class UA, zero %, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>68,457</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>63,974</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 3251, Class TC, zero %, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>766,071</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>776,497</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 3130, Class JF, zero %, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>289,635</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>301,266</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 3326, Class WF, zero %, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>167,924</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>140,297</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 3030, Class EF, zero %, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>87,713</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>85,827</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 3412, Class UF, zero %, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>425,275</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>358,457</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 2980, Class TY, zero %, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>55,940</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>45,669</FONT>&nbsp; </TD></TR>
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     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GE Capital Commercial</FONT>&nbsp; </TD>
     <TD 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>Mortgage Corp. 144A</FONT>&nbsp; </TD>
     <TD 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>FRB Ser. 00-1, Class F, 7.787s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>170,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>166,105</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 00-1, Class G, 6.131s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>596,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>375,480</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GMAC Commercial Mortgage</FONT>&nbsp; </TD>
     <TD 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>Securities, Inc. 144A Ser. 99-C3,</FONT>&nbsp; </TD>
     <TD 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>Class G, 6.974s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>529,968</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>505,597</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Government National</FONT>&nbsp; </TD>
     <TD 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>Mortgage Association</FONT>&nbsp; </TD>
     <TD 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>FRB Ser. 07-41, Class SA, 21.075s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>116,915</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>139,204</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-51, Class SP, 20.355s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>90,398</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>104,260</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-66, Class SP, 12.54s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>431,085</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>424,014</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-17, Class CI, IO, 7 1/2s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>571,781</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>131,510</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-42, Class AI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.202s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,015,582</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>832,114</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 04-59, Class SC, IO,</FONT>&nbsp; </TD>
     <TD 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>4.712s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>692,376</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>65,260</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 04-26, Class IS, IO,</FONT>&nbsp; </TD>
     <TD 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>4.712s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>729,107</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>46,058</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-47, Class SA, IO,</FONT>&nbsp; </TD>
     <TD 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>4.612s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,151,429</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>117,317</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-29, Class SA, IO,</FONT>&nbsp; </TD>
     <TD 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>4.593s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,026,417</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>602,494</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-35, Class NY, IO,</FONT>&nbsp; </TD>
     <TD 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>4.412s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,024,563</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>153,413</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-26, Class SD, IO,</FONT>&nbsp; </TD>
     <TD 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>4.312s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,963,034</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>133,732</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-2, Class SA, IO,</FONT>&nbsp; </TD>
     <TD 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>4.193s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>174,734</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,280</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-69, Class SI, IO,</FONT>&nbsp; </TD>
     <TD 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>4.193s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,155,280</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>94,009</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-61, Class SM, IO,</FONT>&nbsp; </TD>
     <TD 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>4.193s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,278,415</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>185,767</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-62, Class SI, IO,</FONT>&nbsp; </TD>
     <TD 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>4.193s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,290,280</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>105,738</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-1, Class SL, IO,</FONT>&nbsp; </TD>
     <TD 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>4.173s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>625,721</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>50,882</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-1, Class SM, IO,</FONT>&nbsp; </TD>
     <TD 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>4.163s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>625,721</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>50,747</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-48, Class SB, IO,</FONT>&nbsp; </TD>
     <TD 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>4.162s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,343,599</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>87,392</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-62, Class SA, IO,</FONT>&nbsp; </TD>
     <TD 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>4.153s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,609,505</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>126,869</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-64, Class SB, IO,</FONT>&nbsp; </TD>
     <TD 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>4.153s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,594,803</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>129,101</FONT>&nbsp; </TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>OBLIGATIONS (43.6%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Government National</FONT>&nbsp; </TD>
     <TD 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>Mortgage Association</FONT>&nbsp; </TD>
     <TD 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>IFB Ser. 05-68, Class PU, IO,</FONT>&nbsp; </TD>
     <TD 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>4.113s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$976,525</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$99,474</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-74, Class SI, IO,</FONT>&nbsp; </TD>
     <TD 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>4.082s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,014,651</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>92,288</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-17, Class AI, IO,</FONT>&nbsp; </TD>
     <TD 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>4.062s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,376,145</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>323,852</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-78, Class SA, IO,</FONT>&nbsp; </TD>
     <TD 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>4.042s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,569,279</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>417,832</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-2, Class SM, IO,</FONT>&nbsp; </TD>
     <TD 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>4.012s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,495,850</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>163,281</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-9, Class AI, IO,</FONT>&nbsp; </TD>
     <TD 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>4.012s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,237,847</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>155,481</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-49, Class NY, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.913s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,960,645</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>300,637</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-40, Class SA, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.912s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,349,439</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>727,648</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-71, Class SA, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.872s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,612,667</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>262,655</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-25, Class KS, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.712s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,083,463</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>141,044</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-21, Class S, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.712s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>78,255</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,639</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-31, Class AI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.692s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,133,492</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>92,677</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-26, Class SG, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.663s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,917,463</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>151,619</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-62, Class S, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.662s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,167,926</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>70,108</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-9, Class BI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.633s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,591,076</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>243,792</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-31, Class CI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.623s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,018,577</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>70,010</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-25, Class SA, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.613s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,333,284</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>92,506</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-25, Class SB, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.613s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,689,469</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>184,928</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-22, Class S, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.613s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,074,192</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>93,701</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-11, Class SA, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.613s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>891,732</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>68,696</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-14, Class SB, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.613s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>845,322</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>62,346</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-69, Class SA, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.613s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,222,955</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>153,125</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-84, Class AS, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.613s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,122,704</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>248,475</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-43, Class SC, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.612s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,507,370</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>86,775</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-40, Class SC, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.563s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>142,683</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,772</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-40, Class SD, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.563s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>142,683</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,772</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-40, Class SE, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.563s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>142,683</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,772</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-42, Class SC, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.563s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>277,273</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,133</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-40, Class SB, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.563s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,251,392</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>146,291</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-51, Class SJ, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.563s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,117,490</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>90,963</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-53, Class SY, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.548s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,956,623</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>171,776</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-41, Class SM, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.513s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>403,472</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>25,217</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>22</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_24"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>OBLIGATIONS (43.6%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Government National</FONT>&nbsp; </TD>
     <TD 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>Mortgage Association</FONT>&nbsp; </TD>
     <TD 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>IFB Ser. 07-41, Class SN, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.513s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$411,114</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$25,695</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-58, Class PS, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.513s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>982,873</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>76,560</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 04-88, Class S, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.513s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,666,510</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>103,611</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-40, Class SG, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.493s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>315,879</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>20,971</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-59, Class PS, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.483s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>876,420</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>63,780</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-59, Class SP, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.483s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>192,525</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,300</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-38, Class SG, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.463s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,008,172</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>247,245</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-45, Class QA, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.453s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>277,043</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,181</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-45, Class QB, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.413s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>277,043</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>16,623</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-53, Class SG, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.413s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>648,009</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>41,216</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-51, Class SG, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.393s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,829,887</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>367,264</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-3, Class SA, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.363s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,385,888</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>145,996</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-79, Class SY, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.363s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,019,940</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>231,147</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-64, Class AI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.363s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,099,387</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>127,101</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-53, Class ES, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.363s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>960,578</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>53,394</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-2, Class SB, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.333s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,955,482</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>338,230</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-10, Class SB, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.333s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,215,876</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>433,864</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-4, Class SA, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.329s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11,702,092</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>719,363</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-9, Class DI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.323s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,814,065</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>109,044</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-59, Class SC, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.313s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>383,233</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>25,024</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-57, Class QA, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.313s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,352,232</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>147,901</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-58, Class SA, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.313s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,553,226</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>91,027</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-58, Class SC, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.313s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,747,918</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>95,811</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-59, Class SA, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.313s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,108,319</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>450,744</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-61, Class SA, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.313s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,216,559</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>73,801</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-53, Class SC, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.313s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,029,355</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>55,128</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-53, Class SE, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.313s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>231,432</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,938</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-26, Class S, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.313s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,379,333</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>380,964</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-15, Class CI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.303s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,602,170</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>582,525</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-58, Class SD, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.303s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,642,391</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>90,054</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-9, Class SK, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.293s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,154,492</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>214,527</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-6, Class SC, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.288s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,722,088</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>532,557</FONT>&nbsp; </TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>OBLIGATIONS (43.6%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Government National</FONT>&nbsp; </TD>
     <TD 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>Mortgage Association</FONT>&nbsp; </TD>
     <TD 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>IFB Ser. 07-59, Class SD, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.283s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$313,074</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$17,858</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-49, Class SA, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.273s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,645,268</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>167,416</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-65, Class SI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.163s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,416,848</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>88,217</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-7, Class SB, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.133s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>331,950</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-16, Class SX, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.103s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,887,147</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>126,013</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-17, Class IB, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.063s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>821,521</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>43,562</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-10, Class SM, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.063s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,018,265</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>132,880</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-14, Class S, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.063s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,340,457</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>84,650</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-57, Class PS, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.063s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,445,233</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>86,154</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-11, Class ST, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.053s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>844,266</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>49,940</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-27, Class SD, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.013s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>956,830</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>55,650</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-19, Class SJ, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.013s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,692,245</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>92,686</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-23, Class ST, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.013s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,866,184</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>101,020</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-9, Class CI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.013s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,359,895</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>133,719</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-7, Class EI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.013s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,062,315</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>59,336</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-7, Class JI, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.013s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,445,094</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>134,480</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-1, Class S, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.013s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,202,039</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>121,055</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-3, Class SA, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.013s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,104,265</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>117,736</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-17, Class S, IO,</FONT>&nbsp; </TD>
     <TD 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>2.993s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>959,803</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>58,532</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-3, Class SN, IO,</FONT>&nbsp; </TD>
     <TD 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>2.913s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,477,819</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>270,943</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 04-41, Class SG, IO,</FONT>&nbsp; </TD>
     <TD 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>2.813s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,609,983</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>94,473</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-71, Class TA,</FONT>&nbsp; </TD>
     <TD 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>zero %, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>339,153</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>330,142</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-71, Class UC,</FONT>&nbsp; </TD>
     <TD 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>zero %, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>70,849</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>76,536</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-61, Class YC,</FONT>&nbsp; </TD>
     <TD 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>zero %, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>500,196</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>498,552</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-33, Class TB,</FONT>&nbsp; </TD>
     <TD 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>zero %, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>474,327</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>426,256</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-6, Class TD,</FONT>&nbsp; </TD>
     <TD 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>zero %, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>464,813</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>430,551</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 98-2, Class EA, PO,</FONT>&nbsp; </TD>
     <TD 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>zero %, 2028</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>55,273</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>47,053</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GS Mortgage</FONT>&nbsp; </TD>
     <TD 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>Securities Corp. II</FONT>&nbsp; </TD>
     <TD 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>FRB Ser. 07-GG10, Class A3,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.993s, 2045</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>334,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>314,307</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 06-GG6, Class A2, 5.506s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,282,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,250,847</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>HASCO NIM Trust 144A Ser. 05-OP1A,</FONT>&nbsp; </TD>
     <TD 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>Class A, 6 1/4s, 2035</FONT>&nbsp; </TD>
     <TD 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>(Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>88,725</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,872</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>23</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_25"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>OBLIGATIONS (43.6%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>HSI Asset Loan Obligation FRB</FONT>&nbsp; </TD>
     <TD 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>Ser. 07-AR1, Class 2A1, 6.133s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$3,541,771</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$2,550,075</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IMPAC Secured Assets Corp. FRB</FONT>&nbsp; </TD>
     <TD 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>Ser. 07-2, Class 1A1A, 3.317s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>350,059</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>288,279</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IndyMac Index Mortgage Loan Trust</FONT>&nbsp; </TD>
     <TD 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>FRB Ser. 06-AR25, Class 5A1,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.313s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>783,588</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>483,681</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-AR15, Class 1A1,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.225s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>988,775</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>662,480</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-AR9, Class 2A1,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.039s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,005,682</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>673,807</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-AR11, Class 1A1,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.64s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,262,526</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>770,141</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-AR31, Class 3A1,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.633s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,861,893</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,946,087</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPMorgan Alternative Loan Trust</FONT>&nbsp; </TD>
     <TD 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>FRB Ser. 06-A1, Class 5A1,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.94s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>702,089</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>491,462</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-A6, Class 1A1,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.367s, 2036 </FONT><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,236,549</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>738,154</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPMorgan Chase Commercial Mortgage</FONT>&nbsp; </TD>
     <TD 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>Securities Corp.</FONT>&nbsp; </TD>
     <TD 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>FRB Ser. 07-LD12, Class AM,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.261s, 2051</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>617,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>506,810</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-LD12, Class A3,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.189s, 2051</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,956,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,770,334</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-LD11, Class A3,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.007s, 2049</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>417,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>372,673</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-CB20, Class A3,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.863s, 2051</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>834,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>766,629</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-CB20, Class A4,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.794s, 2051</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>541,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>475,404</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 08-C2, Class X, IO,</FONT>&nbsp; </TD>
     <TD 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>0.647s, 2051</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>30,106,482</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>776,145</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPMorgan Chase Commercial Mortgage</FONT>&nbsp; </TD>
     <TD 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>Securities Corp. 144A</FONT>&nbsp; </TD>
     <TD 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>Ser. 07-CB20, Class X1, IO,</FONT>&nbsp; </TD>
     <TD 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>0.068s, 2051</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>63,662,633</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>646,812</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>LB Commercial Conduit Mortgage</FONT>&nbsp; </TD>
     <TD 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>Trust 144A Ser. 99-C1, Class G,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.41s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>253,101</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>198,279</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>LB-UBS Commercial</FONT>&nbsp; </TD>
     <TD 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>Mortgage Trust</FONT>&nbsp; </TD>
     <TD 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>Ser. 07-C6, Class A2, 5.845s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>921,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>864,855</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-C7, Class XW, IO,</FONT>&nbsp; </TD>
     <TD 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>0.526s, 2045</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>61,455,905</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,321,284</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>LB-UBS Commercial Mortgage Trust</FONT>&nbsp; </TD>
     <TD 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>144A Ser. 07-C7, Class XCL, IO,</FONT>&nbsp; </TD>
     <TD 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>0.086s, 2045</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>25,943,406</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>248,071</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lehman Mortgage Trust</FONT>&nbsp; </TD>
     <TD 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>IFB Ser. 07-5, Class 4A3,</FONT>&nbsp; </TD>
     <TD 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>20.839s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>738,856</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>664,970</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-5, Class 8A2, IO,</FONT>&nbsp; </TD>
     <TD 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>4.513s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,279,932</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>114,222</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-4, Class 3A2, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.993s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,038,465</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>86,419</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-5, Class 2A2, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.943s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,839,386</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>133,356</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-2, Class 2A13, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.483s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,034,372</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>152,578</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-9, Class 2A2, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.413s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,354,549</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>184,114</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-7, Class 2A4, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.343s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,011,244</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>280,787</FONT>&nbsp; </TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>OBLIGATIONS (43.6%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lehman Mortgage Trust</FONT>&nbsp; </TD>
     <TD 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>IFB Ser. 06-7, Class 2A5, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.343s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$3,763,615</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$263,453</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-6, Class 1A2, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.293s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,578,085</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>110,466</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-6, Class 1A3, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.293s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,282,012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>159,741</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mach One Commercial</FONT>&nbsp; </TD>
     <TD 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>Mortgage Trust 144A</FONT>&nbsp; </TD>
     <TD 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>Ser. 04-1A, Class J, 5.45s, 2040</FONT>&nbsp; </TD>
     <TD 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>(Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>594,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>267,300</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 04-1A, Class K, 5.45s, 2040</FONT>&nbsp; </TD>
     <TD 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>(Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>212,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>84,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 04-1A, Class L, 5.45s, 2040</FONT>&nbsp; </TD>
     <TD 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>(Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>96,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>36,480</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>MASTR Alternative Loans Trust</FONT>&nbsp; </TD>
     <TD 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>Ser. 06-3, Class 1A1, 6 1/4s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>626,497</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>469,873</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Merrill Lynch Capital</FONT>&nbsp; </TD>
     <TD 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>Funding Corp. Ser. 06-4,</FONT>&nbsp; </TD>
     <TD 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>Class XC, IO, 0.119s, 2049</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>56,579,812</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>690,390</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Merrill Lynch Mortgage</FONT>&nbsp; </TD>
     <TD 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>Investors, Inc. Ser. 96-C2,</FONT>&nbsp; </TD>
     <TD 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>Class JS, IO, 2.261s, 2028</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,329,816</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>95,827</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Merrill Lynch Mortgage Trust FRB</FONT>&nbsp; </TD>
     <TD 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>Ser. 07-C1, Class A3, 6.023s, 2050</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>222,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>211,675</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Merrill Lynch/Countrywide</FONT>&nbsp; </TD>
     <TD 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>Commercial Mortgage Trust FRB</FONT>&nbsp; </TD>
     <TD 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>Ser. 07-8, Class A2, 6.119s, 2049</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>402,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>387,667</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mezz Cap Commercial Mortgage Trust</FONT>&nbsp; </TD>
     <TD 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>Ser. 07-C5, Class X, 4.867s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,500,997</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>427,500</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mezz Cap Commercial Mortgage Trust</FONT>&nbsp; </TD>
     <TD 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>144A Ser. 04-C1, Class X, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.007s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>975,014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>214,083</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Morgan Stanley Capital</FONT>&nbsp; </TD>
     <TD 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>Ser. 98-CF1, Class E, 7.35s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,252,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,245,420</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 08-T29, Class A3,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.458s, 2043</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>712,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>694,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-IQ14, Class AM,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.877s, 2049</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>247,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>195,908</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Morgan Stanley Capital I 144A</FONT>&nbsp; </TD>
     <TD 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>FRB Ser. 04-RR, Class F7, 6s, 2039</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,730,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>951,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-HQ13, Class X1, IO,</FONT>&nbsp; </TD>
     <TD 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>0.822s, 2044</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>56,829,492</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,504,277</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Morgan Stanley Mortgage Loan Trust</FONT>&nbsp; </TD>
     <TD 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>Ser. 05-5AR, Class 2A1, 4.852s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,132,931</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>767,561</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mortgage Capital</FONT>&nbsp; </TD>
     <TD 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>Funding, Inc.</FONT>&nbsp; </TD>
     <TD 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>FRB Ser. 98-MC2, Class E,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7.184s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>327,112</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>327,359</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 97-MC2, Class X, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>1.988s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,016</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Permanent Financing PLC 144A FRB</FONT>&nbsp; </TD>
     <TD 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>Ser. 9A, Class 3A, 2.917s, 2033</FONT>&nbsp; </TD>
     <TD 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>(United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,839,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,569,888</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Permanent Master Issuer PLC FRB</FONT>&nbsp; </TD>
     <TD 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>Ser. 07-1, Class 4A, 2.871s, 2033</FONT>&nbsp; </TD>
     <TD 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>(United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,443,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,283,761</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>PNC Mortgage Acceptance Corp. 144A</FONT>&nbsp; </TD>
     <TD 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>Ser. 00-C1, Class J, 6 5/8s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>123,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>72,244</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Residential Asset</FONT>&nbsp; </TD>
     <TD 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>Securitization Trust</FONT>&nbsp; </TD>
     <TD 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>Ser. 07-A5, Class 2A3, 6s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>903,783</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>632,648</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-A3, Class 2A2, IO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.483s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,662,644</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>303,072</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>24</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>COLLATERALIZED MORTGAGE</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>OBLIGATIONS (43.6%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Residential Mortgage Securities 144A</FONT>&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>FRB Ser. 20A, Class B1A, 6.509s, 2038</FONT>&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>(United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>103,446</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$110,369</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>SBA CMBS Trust 144A Ser. 05-1A,</FONT>&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>Class E, 6.706s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$303,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>255,468</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>STRIPS 144A</FONT>&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>Ser. 03-1A, Class M, 5s, 2018</FONT>&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>(Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>162,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>111,780</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 03-1A, Class N, 5s, 2018</FONT>&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>(Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>193,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>125,450</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 04-1A, Class M, 5s, 2018</FONT>&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>(Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>174,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>111,360</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 04-1A, Class N, 5s, 2018</FONT>&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>(Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>167,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>96,860</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Structured Adjustable Rate</FONT>&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>Mortgage Loan Trust FRB</FONT>&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>Ser. 06-9, Class 1A1, 5.715s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>956,063</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>621,994</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Structured Asset</FONT>&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>Securities Corp.</FONT>&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>IFB Ser. 07-4, Class 1A3, IO,</FONT>&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>2.541s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,593,605</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>220,108</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-4, Class 1A4, IO, 1s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,863,656</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>90,669</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Structured Asset Securities Corp.</FONT>&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>144A Ser. 07-RF1, Class 1A, IO,</FONT>&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>3.317s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,706,327</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>205,902</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Titan Europe PLC 144A</FONT>&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>FRB Ser. 05-CT2A, Class E, 7.095s,</FONT>&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>2014 (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>226,682</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>362,374</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-CT1A, Class D, 7.095s,</FONT>&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>2014 (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>444,023</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>638,914</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>URSUS EPC 144A FRB Ser. 1-A,</FONT>&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>Class D, 6.938s, 2012 (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>239,636</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>374,487</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Wachovia Bank Commercial</FONT>&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>Mortgage Trust</FONT>&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>Ser. 07-C30, Class A3, 5.246s, 2043</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$5,030,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,645,077</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-C34, IO, 0.521s, 2046</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>16,932,578</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>358,463</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Wachovia Bank Commercial Mortgage</FONT>&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>Trust 144A FRB Ser. 05-WL5A,</FONT>&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>Class L, 5.788s, 2018</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>477,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>429,300</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Wells Fargo Mortgage Backed</FONT>&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>Securities Trust Ser. 05-AR13,</FONT>&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>Class 1A4, IO, 0.742s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,909,662</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>66,890</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total collateralized mortgage obligations</FONT>&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>(cost $175,088,876)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$170,959,903</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CORPORATE BONDS</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>AND NOTES (21.0%)*</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Basic Materials (1.6%)</FONT>&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>Builders FirstSource, Inc. company</FONT>&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>guaranty sr. sec. notes FRN</FONT>&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>7.054s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$270,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$174,150</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Compass Minerals</FONT>&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>International, Inc. sr. disc.</FONT>&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>notes Ser. B, 12s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>142,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>146,970</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Domtar Corp. company</FONT>&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>guaranty Ser. *, 7 7/8s, 2011</FONT>&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>(Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>145,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>144,275</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freeport-McMoRan Copper &amp;</FONT>&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>Gold, Inc. sr. unsec.</FONT>&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>notes 8 3/8s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>841,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>824,180</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freeport-McMoRan Copper &amp;</FONT>&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>Gold, Inc. sr. unsec.</FONT>&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>notes 8 1/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>422,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>412,505</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="61%"></TD>
     <TD width="8%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CORPORATE BONDS</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>AND NOTES (21.0%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Basic Materials </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&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>Freeport-McMoRan Copper &amp;</FONT>&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>Gold, Inc. sr. unsec. notes FRN</FONT>&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>5.883s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$150,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$142,687</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Georgia-Pacific Corp.</FONT>&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>debs. 9 1/2s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>49,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>48,510</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Georgia-Pacific Corp.</FONT>&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>notes 8 1/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>55,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>54,450</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Gerdau Ameristeel Corp.</FONT>&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>sr. notes 10 3/8s, 2011 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>358,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>369,635</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Hexion U.S. Finance Corp./Hexion</FONT>&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>Nova Scotia Finance, ULC company</FONT>&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>guaranty 9 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>64,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>50,560</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Huntsman International, LLC</FONT>&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>company guaranty sr. unsec.</FONT>&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>sub. notes 7 7/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>921,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>792,060</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Momentive Performance</FONT>&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>Materials, Inc. company guaranty</FONT>&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>sr. unsec. notes 9 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>262,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>206,980</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mosaic Co. (The) 144A sr. unsec.</FONT>&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>unsub. notes 7 5/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>224,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>228,867</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mosaic Co. (The) 144A sr. unsec.</FONT>&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>unsub. notes 7 3/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>136,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>140,797</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>NewPage Corp. company</FONT>&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>guaranty 10s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>376,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>336,520</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>NewPage Holding Corp.</FONT>&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>sr. notes FRN 9.986s, 2013 &#135;&#135;</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>78,868</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>69,798</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Norske Skog Canada, Ltd. company</FONT>&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>guaranty Ser. D, 8 5/8s, 2011</FONT>&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>(Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>15,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11,850</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Novelis, Inc. company</FONT>&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>guaranty 7 1/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>113,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>98,310</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Rhodia SA sr. unsec. FRN 7.713s,</FONT>&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>2013 (France)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>375,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>484,474</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Rockwood Specialties Group, Inc.</FONT>&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>company guaranty 7 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>250,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>315,238</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Steel Dynamics, Inc. company</FONT>&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>guaranty sr. unsec.</FONT>&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>unsub. notes 6 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$830,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>713,800</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Steel Dynamics, Inc. 144A</FONT>&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>sr. notes 7 3/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>164,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>145,960</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Stone Container Corp.</FONT>&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>sr. notes 8 3/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>240,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>201,600</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,114,176</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Capital Goods (1.2%)</FONT>&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>Alliant Techsystems, Inc.</FONT>&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>sr. sub. notes 6 3/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>104,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>97,240</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Berry Plastics Corp. company</FONT>&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>guaranty sr. sec. notes FRN</FONT>&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>7.541s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>680,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>605,200</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bombardier, Inc. 144A sr. unsec.</FONT>&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>notes FRN 8.09s, 2013 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=left><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=right><FONT face=sans-serif size=1>236,983</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bombardier, Inc. 144A unsec.</FONT>&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>notes 6 3/4s, 2012 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,625,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,560,000</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Crown Americas, LLC/Crown Americas</FONT>&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>Capital Corp. sr. notes 7 5/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>516,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>508,260</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>General Cable Corp. company</FONT>&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>guaranty sr. unsec. notes FRN</FONT>&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>5.166s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>190,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>159,600</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Hawker Beechcraft</FONT>&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>Acquisition Co., LLC</FONT>&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>sr. sub. notes 9 3/4s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>227,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>203,165</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>25</FONT></P>
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     <TD noWrap align=left><FONT face=sans-serif size=1>CORPORATE BONDS</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>AND NOTES (21.0%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=4>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Capital Goods </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </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>Hexcel Corp.</FONT>&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>sr. sub. notes 6 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$67,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$64,320</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>L-3 Communications Corp. company</FONT>&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>guaranty sr. unsec.</FONT>&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>sub. notes 6 1/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>607,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>561,475</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>L-3 Communications Corp.</FONT>&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>sr. sub. notes 5 7/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>574,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>519,470</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ryerson Tull, Inc. 144A sec.</FONT>&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>notes 12s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>409,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>347,650</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,863,363</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Communication Services (1.7%)</FONT>&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>American Tower Corp. 144A</FONT>&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>sr. notes 7s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>390,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>372,450</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Cincinnati Bell, Inc. company</FONT>&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>guaranty 7s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>578,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>485,520</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Cricket Communications, Inc.</FONT>&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>company guaranty sr. unsec.</FONT>&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>notes Ser. *, 9 3/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>435,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>404,550</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Cricket Communications, Inc. 144A</FONT>&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>company guaranty sr. notes 10s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>354,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>338,070</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Digicel Group, Ltd. 144A</FONT>&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>sr. unsec. notes 8 7/8s, 2015 (Jamaica)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>245,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>205,800</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Digicel, Ltd. 144A sr. unsec.</FONT>&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>unsub. notes 9 1/4s, 2012 (Jamaica)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>170,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>168,300</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Inmarsat Finance PLC company</FONT>&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>guaranty stepped-coupon zero %</FONT>&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>(10 3/8s, 11/15/08), 2012</FONT>&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>(United Kingdom) &#134;&#134;</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>768,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>756,480</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>iPCS, Inc. company</FONT>&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>guaranty sr. sec. notes FRN</FONT>&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>4.926s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>140,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>114,100</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>MetroPCS Wireless, Inc. company</FONT>&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>guaranty sr. unsec. notes 9 1/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>90,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>84,150</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>PAETEC Holding Corp. company</FONT>&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>guaranty sr. unsec.</FONT>&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>unsub. notes 9 1/2s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>150,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>102,750</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Qwest Communications</FONT>&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>International, Inc. company</FONT>&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>guaranty 7 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>353,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>305,345</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Qwest Corp. sr. unsec.</FONT>&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>notes 7 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>64,875</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Qwest Corp. sr. unsec.</FONT>&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>unsub. notes 8 7/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,501,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,470,980</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>West Corp. company</FONT>&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>guaranty 9 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>129,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>98,685</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Wind Aquisition Finance SA</FONT>&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>notes 9 3/4s, 2015 (Netherlands)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,190,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,534,048</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,506,103</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Consumer Cyclicals (3.0%)</FONT>&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>Allison Transmission 144A company</FONT>&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>guaranty 11s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>65,250</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bon-Ton Stores, Inc. (The) company</FONT>&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>guaranty 10 1/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>160,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>48,000</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Boyd Gaming Corp.</FONT>&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>sr. sub. notes 6 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>134,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>96,145</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CanWest Media, Inc. company</FONT>&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>guaranty 8s, 2012 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>337,021</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>281,413</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Cenveo Corp. 144A company</FONT>&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>guaranty sr. unsec.</FONT>&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>notes 10 1/2s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>217,375</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CORPORATE BONDS</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>AND NOTES (21.0%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Consumer Cyclicals </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD 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>D.R. Horton, Inc. company</FONT>&nbsp; </TD>
     <TD 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>guaranty 8s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$183,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$180,026</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>D.R. Horton, Inc. company</FONT>&nbsp; </TD>
     <TD 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>guaranty sr. unsub. notes 5s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>253,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>246,675</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>D.R. Horton, Inc.</FONT>&nbsp; </TD>
     <TD 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>sr. notes 7 7/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>765,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>688,500</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FelCor Lodging LP company</FONT>&nbsp; </TD>
     <TD 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>guaranty 8 1/2s, 2011 </FONT><B><SUP><FONT face=sans-serif size=1>R</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>515,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>445,475</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ford Motor Credit Co., LLC</FONT>&nbsp; </TD>
     <TD 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>sr. notes 9 7/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>621,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>414,759</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ford Motor Credit Co., LLC</FONT>&nbsp; </TD>
     <TD 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>sr. unsec. notes 9 3/4s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>444,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>333,207</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ford Motor Credit Co., LLC unsec.</FONT>&nbsp; </TD>
     <TD 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>notes 7 3/8s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>195,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>156,773</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Hanesbrands, Inc. company</FONT>&nbsp; </TD>
     <TD 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>guaranty sr. unsec. notes FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. B, 6.508s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>310,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>257,300</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Host Marriott LP sr. notes Ser. M,</FONT>&nbsp; </TD>
     <TD 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>7s, 2012 </FONT><B><SUP><FONT face=sans-serif size=1>R</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>725,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>647,063</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Jostens IH Corp. company</FONT>&nbsp; </TD>
     <TD 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>guaranty 7 5/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>600,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>550,500</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>K. Hovnanian Enterprises, Inc.</FONT>&nbsp; </TD>
     <TD 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>company guaranty sr. sec.</FONT>&nbsp; </TD>
     <TD 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>notes 11 1/2s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>187,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>183,260</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lamar Media Corp. sr. unsec.</FONT>&nbsp; </TD>
     <TD 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>sub. notes Ser. C, 6 5/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>165,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>136,538</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Levi Strauss &amp; Co. sr. unsec.</FONT>&nbsp; </TD>
     <TD 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>notes 8 7/8s, 2016 </FONT><B><SUP><FONT face=sans-serif size=1>S</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>285,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>228,000</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Levi Strauss &amp; Co. sr. unsec.</FONT>&nbsp; </TD>
     <TD 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>unsub. notes 9 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>651,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>543,585</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mashantucket Western Pequot Tribe</FONT>&nbsp; </TD>
     <TD 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>144A bonds 8 1/2s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>390,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>253,500</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Meritage Homes Corp. company</FONT>&nbsp; </TD>
     <TD 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>guaranty 6 1/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>140,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>104,300</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Meritage Homes Corp. sr. notes</FONT>&nbsp; </TD>
     <TD 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>7s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>45,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>34,650</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>MGM Mirage, Inc. company</FONT>&nbsp; </TD>
     <TD 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>guaranty 8 1/2s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>468,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>430,560</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>MGM Mirage, Inc. company</FONT>&nbsp; </TD>
     <TD 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>guaranty 6s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,009,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>943,415</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>NTK Holdings, Inc. sr. disc.</FONT>&nbsp; </TD>
     <TD 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>notes zero %, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>104,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>44,720</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Oxford Industries, Inc.</FONT>&nbsp; </TD>
     <TD 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>sr. notes 8 7/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>460,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>415,725</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Pinnacle Entertainment, Inc.</FONT>&nbsp; </TD>
     <TD 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>company guaranty sr. unsec.</FONT>&nbsp; </TD>
     <TD 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>sub. notes 7 1/2s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>320,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>236,800</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Pinnacle Entertainment, Inc.</FONT>&nbsp; </TD>
     <TD 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>sr. sub. notes 8 1/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>337,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>325,626</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Pulte Homes, Inc. company</FONT>&nbsp; </TD>
     <TD 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>guaranty 7 7/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>730,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>697,150</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Quebecor Media, Inc. sr. unsec.</FONT>&nbsp; </TD>
     <TD 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>notes Ser. *, 7 3/4s, 2016 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>65,625</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Realogy Corp. company</FONT>&nbsp; </TD>
     <TD 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>guaranty sr. notes zero %, 2014 &#135;&#135; </FONT><B><SUP><FONT face=sans-serif size=1>R</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>120,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>45,900</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Realogy Corp. company</FONT>&nbsp; </TD>
     <TD 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>guaranty sr. unsec.</FONT>&nbsp; </TD>
     <TD 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>notes 10 1/2s, 2014 </FONT><B><SUP><FONT face=sans-serif size=1>R</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>195,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>85,800</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sealy Mattress Co.</FONT>&nbsp; </TD>
     <TD 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>sr. sub. notes 8 1/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>58,875</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>26</FONT></P>
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     <TD noWrap align=left><FONT face=sans-serif size=1>CORPORATE BONDS</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>AND NOTES (21.0%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Consumer Cyclicals </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD 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>Station Casinos, Inc.</FONT>&nbsp; </TD>
     <TD 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>sr. notes 6s, 2012 </FONT><B><SUP><FONT face=sans-serif size=1>S</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$318,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$178,080</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Tenneco Automotive, Inc. company</FONT>&nbsp; </TD>
     <TD 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>guaranty 8 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>40,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>31,800</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Tenneco, Inc. sr. unsec. notes</FONT>&nbsp; </TD>
     <TD 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>company guaranty 8 1/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>375,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>320,625</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Texas Industries, Inc. sr. unsec.</FONT>&nbsp; </TD>
     <TD 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>notes 7 1/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>361,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>314,070</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Texas Industries, Inc. 144A</FONT>&nbsp; </TD>
     <TD 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>company guaranty sr. unsec.</FONT>&nbsp; </TD>
     <TD 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>notes 7 1/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>255,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>221,850</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>THL Buildco, Inc. (Nortek</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Holdings, Inc.)</FONT>&nbsp; </TD>
     <TD 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>sr. sub. notes 8 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>255,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>145,350</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>THL Buildco, Inc. (Nortek</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Holdings, Inc.) 144A sr. sec.</FONT>&nbsp; </TD>
     <TD 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>notes 10s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>115,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>101,200</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Toll Brothers, Inc. company</FONT>&nbsp; </TD>
     <TD 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>guaranty sr. unsec.</FONT>&nbsp; </TD>
     <TD 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>sub. notes 8 1/4s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>625,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>603,125</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Trump Entertainment Resorts, Inc.</FONT>&nbsp; </TD>
     <TD 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>sec. notes 8 1/2s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>220,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>90,200</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Vertis, Inc. company</FONT>&nbsp; </TD>
     <TD 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>guaranty Ser. B, 10 7/8s,</FONT>&nbsp; </TD>
     <TD 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>2009 (In default)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>661,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,830</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Vertis, Inc. 144A unsec.</FONT>&nbsp; </TD>
     <TD 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>sub. notes 13 1/2s,</FONT>&nbsp; </TD>
     <TD 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>2009 (In default)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>170,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,700</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Wynn Las Vegas, LLC/Wynn Las Vegas</FONT>&nbsp; </TD>
     <TD 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>Capital Corp. 1st mtge. 6 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>555,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>473,138</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11,963,458</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Consumer Staples (2.6%)</FONT>&nbsp; </TD>
     <TD 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>Affinity Group, Inc.</FONT>&nbsp; </TD>
     <TD 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>sr. sub. notes 9s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>545,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>403,300</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>AMC Entertainment, Inc. company</FONT>&nbsp; </TD>
     <TD 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>guaranty 11s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>251,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>247,235</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>AMC Entertainment, Inc.</FONT>&nbsp; </TD>
     <TD 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>sr. sub. notes 8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>205,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>176,300</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Archibald Candy Corp. company</FONT>&nbsp; </TD>
     <TD 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>guaranty 10s, 2008 (In default) </FONT><B><SUP><FONT face=sans-serif size=1>F </FONT></SUP></B><FONT face=sans-serif size=1>&#134;</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>90,153</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>13</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Avis Budget Car Rental, LLC</FONT>&nbsp; </TD>
     <TD 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>company guaranty 7 3/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>285,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>178,125</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CCH I Holdings, LLC company</FONT>&nbsp; </TD>
     <TD 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>guaranty 12 1/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,840</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CCH II, LLC sr. unsec.</FONT>&nbsp; </TD>
     <TD 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>notes 10 1/4s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>238,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>214,200</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CCH II, LLC sr. unsec.</FONT>&nbsp; </TD>
     <TD 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>notes Ser. B, 10 1/4s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,099,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>983,605</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Church &amp; Dwight Co., Inc. company</FONT>&nbsp; </TD>
     <TD 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>guaranty 6s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>444,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>419,580</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Cinemark, Inc. sr. disc.</FONT>&nbsp; </TD>
     <TD 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>notes stepped-coupon zero %</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>(9 3/4s, 3/15/09), 2014 &#134;&#134;</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>500,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>480,625</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Clear Channel Communications, Inc.</FONT>&nbsp; </TD>
     <TD 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>sr. unsec. notes 7.65s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>556,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>500,400</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Clear Channel Communications, Inc.</FONT>&nbsp; </TD>
     <TD 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>sr. unsec. notes 5 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>58,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>17,980</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CSC Holdings, Inc.</FONT>&nbsp; </TD>
     <TD 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>sr. notes 6 3/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>543,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>497,524</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dean Foods Co. company</FONT>&nbsp; </TD>
     <TD 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>guaranty 7s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>134,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>116,580</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CORPORATE BONDS</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>AND NOTES (21.0%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Consumer Staples </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD 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>Del Monte Corp.</FONT>&nbsp; </TD>
     <TD 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>sr. sub. notes 8 5/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$560,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$554,400</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DirecTV Holdings, LLC company</FONT>&nbsp; </TD>
     <TD 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>guaranty 6 3/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>938,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>825,440</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DirecTV Holdings, LLC 144A</FONT>&nbsp; </TD>
     <TD 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>sr. notes 7 5/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>117,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>105,885</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Echostar DBS Corp. company</FONT>&nbsp; </TD>
     <TD 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>guaranty 6 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,119,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,700,498</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Grupo Televisa SA sr. unsec.</FONT>&nbsp; </TD>
     <TD 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>notes 6s, 2018 (Mexico)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>460,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>434,135</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Liberty Media, LLC sr. notes 5.7s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>138,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>114,777</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Liberty Media, LLC sr. unsec.</FONT>&nbsp; </TD>
     <TD 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>notes 7 7/8s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>169,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>169,525</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Nielsen Finance LLC/Nielsen</FONT>&nbsp; </TD>
     <TD 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>Finance Co. company guaranty 10s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>186,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>176,700</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Nielsen Finance LLC/Nielsen</FONT>&nbsp; </TD>
     <TD 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>Finance Co. company</FONT>&nbsp; </TD>
     <TD 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>guaranty stepped-coupon zero %</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>(12 1/2s, 8/1/11), 2016 &#134;&#134;</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>360,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>234,000</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Prestige Brands, Inc.</FONT>&nbsp; </TD>
     <TD 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>sr. sub. notes 9 1/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>371,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>352,450</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Rainbow National Services, LLC</FONT>&nbsp; </TD>
     <TD 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>144A sr. notes 8 3/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>383,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>383,000</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Rite Aid Corp. company</FONT>&nbsp; </TD>
     <TD 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>guaranty 9 3/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>277,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>145,425</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Rite Aid Corp. sec. notes 7 1/2s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>315,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>239,400</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sara Lee Corp. sr. unsec.</FONT>&nbsp; </TD>
     <TD 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>unsub. notes 6 1/4s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>300,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>302,511</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>United Rentals NA, Inc. company</FONT>&nbsp; </TD>
     <TD 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>guaranty 6 1/2s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>355,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>296,425</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Young Broadcasting, Inc. company</FONT>&nbsp; </TD>
     <TD 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>guaranty 10s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>239,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>34,655</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Young Broadcasting, Inc.</FONT>&nbsp; </TD>
     <TD 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>sr. sub. notes 8 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>83,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,450</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,319,983</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Energy (2.5%)</FONT>&nbsp; </TD>
     <TD 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>Arch Western Finance, LLC</FONT>&nbsp; </TD>
     <TD 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>sr. notes 6 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,347,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,266,180</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Chaparral Energy, Inc. company</FONT>&nbsp; </TD>
     <TD 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>guaranty sr. unsec. notes 8 7/8s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>320,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>252,800</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Chesapeake Energy Corp.</FONT>&nbsp; </TD>
     <TD 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>sr. notes 7 1/2s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,031,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>997,493</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Chesapeake Energy Corp.</FONT>&nbsp; </TD>
     <TD 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>sr. notes 7s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>279,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>260,865</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Complete Production Services, Inc.</FONT>&nbsp; </TD>
     <TD 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>company guaranty 8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>515,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>489,250</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Comstock Resources, Inc.</FONT>&nbsp; </TD>
     <TD 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>sr. notes 6 7/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>510,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>461,550</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Connacher Oil and Gas, Ltd. 144A</FONT>&nbsp; </TD>
     <TD 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>sec. notes 10 1/4s, 2015 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>210,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>201,600</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Denbury Resources, Inc.</FONT>&nbsp; </TD>
     <TD 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>sr. sub. notes 7 1/2s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>315,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>289,800</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Forest Oil Corp. sr. notes 8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>540,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>540,000</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Gaz Capital SA 144A company</FONT>&nbsp; </TD>
     <TD 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>guaranty sr. unsec. bond 8.146s,</FONT>&nbsp; </TD>
     <TD 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>2018 (Luxembourg)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>176,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>156,343</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Gaz Capital SA 144A company</FONT>&nbsp; </TD>
     <TD 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>guaranty sr. unsec. bond 7.343s,</FONT>&nbsp; </TD>
     <TD 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>2013 (Luxembourg)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>166,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>153,299</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>27</FONT></P>
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     <TD noWrap align=left><FONT face=sans-serif size=1>CORPORATE BONDS</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>AND NOTES (21.0%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Energy </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&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>Harvest Operations Corp.</FONT>&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>sr. notes 7 7/8s, 2011 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$584,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$473,040</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Helix Energy Solutions Group, Inc.</FONT>&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>144A sr. unsec. notes 9 1/2s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>390,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>364,650</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Hornbeck Offshore Services, Inc.</FONT>&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>sr. notes Ser. B, 6 1/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>517,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>471,763</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Key Energy Services, Inc. 144A</FONT>&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>sr. notes 8 3/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>180,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>172,800</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lukoil International Finance 144A</FONT>&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>company guaranty 6.356s, 2017</FONT>&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>(Netherlands)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>420,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>319,200</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Newfield Exploration Co.</FONT>&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>sr. sub. notes 6 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>348,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>313,200</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Offshore Logistics, Inc. company</FONT>&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>guaranty 6 1/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>295,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>264,025</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Oslo Seismic Services, Inc. 1st</FONT>&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>mtge. 8.28s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>314,176</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>325,590</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Pacific Energy Partners/Pacific</FONT>&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>Energy Finance Corp.</FONT>&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>sr. notes 7 1/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>355,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>348,912</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Pemex Finance, Ltd. bonds 9.69s,</FONT>&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>2009 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>203,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>207,045</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>PetroHawk Energy Corp. company</FONT>&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>guaranty 9 1/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>169,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>158,860</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>PetroHawk Energy Corp. 144A</FONT>&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>sr. unsec. unsub. notes 7 7/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>140,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>121,800</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Petroleum Development Corp.</FONT>&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>company guaranty sr. unsec.</FONT>&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>notes 12s, 2018</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>215,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>206,400</FONT>&nbsp; </TD></TR>
<TR>
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<HR noShade SIZE=1>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Petroplus Finance, Ltd. company</FONT>&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>guaranty 6 3/4s, 2014 (Bermuda)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>355,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>299,975</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Plains Exploration &amp;</FONT>&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>Production Co. company</FONT>&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>guaranty 7 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>70,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>64,400</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Plains Exploration &amp;</FONT>&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>Production Co. company</FONT>&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>guaranty 7s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>80,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>69,600</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Pride International, Inc.</FONT>&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>sr. unsec. notes 7 3/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>451,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>430,705</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>SandRidge Energy, Inc.</FONT>&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>sr. notes 8s, 2018</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>310,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>266,600</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Williams Cos., Inc. (The)</FONT>&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>sr. unsec. notes 8 1/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>150,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>151,548</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,099,293</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Financial (4.0%)</FONT>&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>Banco Do Brasil 144A sr. unsec.</FONT>&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>5.862s, 2017 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BRL</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>536,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>223,762</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bear Stearns Cos., Inc. (The)</FONT>&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>notes Ser. MTN, 6.95s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,205,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,217,199</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bosphorus Financial Services, Ltd.</FONT>&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>144A sec. sr. notes FRN 4.604s,</FONT>&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>2012 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,264,375</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,220,520</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GMAC, LLC sr. unsec.</FONT>&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>unsub. notes 7 3/4s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>90,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>53,889</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GMAC, LLC sr. unsec.</FONT>&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>unsub. notes 7s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>40,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>17,200</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GMAC, LLC sr. unsec.</FONT>&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>unsub. notes 6 7/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>637,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>253,193</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="61%"></TD>
     <TD width="8%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CORPORATE BONDS</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>AND NOTES (21.0%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Financial </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GMAC, LLC sr. unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>unsub. notes 6 7/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$85,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$37,926</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GMAC, LLC sr. unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>unsub. notes 6 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>725,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>278,265</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GMAC, LLC sr. unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>unsub. notes 6 5/8s, 2012 </FONT><B><SUP><FONT face=sans-serif size=1>S</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>810,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>340,200</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GMAC, LLC sr. unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>unsub. notes FRN 5.011s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>64,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>29,032</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>HUB International Holdings, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>144A sr. sub. notes 10 1/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>95,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>75,050</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>HUB International Holdings, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>144A sr. unsec. unsub. notes 9s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>65,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>57,850</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>iStar Financial, Inc. sr. unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>notes Ser. B, 4 7/8s, 2009 </FONT><B><SUP><FONT face=sans-serif size=1>R</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>60,000</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPMorgan Chase &amp; Co. 144A</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>sr. unsec. FRN 6.46s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>892,900</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPMorgan Chase &amp; Co. 144A</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>sr. unsec. notes FRN 9.34s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>RUB</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>32,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,246,720</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPMorgan Chase &amp; Co. 144A unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>unsub. notes 0.18s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>INR</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&nbsp;19,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>427,257</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lender Processing Services, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>144A sr. unsec. notes 8 1/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$795,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>775,125</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Leucadia National Corp. sr. unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>notes 8 1/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>97,250</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Leucadia National Corp. sr. unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>notes 7 1/8s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>252,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>229,320</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Merrill Lynch &amp; Co., Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>notes 5.45s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>840,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>736,555</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Merrill Lynch &amp; Co., Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>notes FRN Ser. MTN, 3s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>365,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>315,383</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Morgan Stanley sr. unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>bonds 6.066s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BRL</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&nbsp;1,850,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>556,449</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Nuveen Investments, Inc. 144A</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>sr. notes 10 1/2s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$194,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>149,380</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>RSHB Capital SA for OJSC Russian</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Agricultural Bank notes 6.299s,</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>2017 (Luxembourg)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>675,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>481,883</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>RSHB Capital SA for OJSC Russian</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Agricultural Bank sub. bonds FRB</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.97s, 2016 (Luxembourg)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>250,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>209,990</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>UBS Luxembourg SA for Sberbank</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>unsec. sub. notes stepped-coupon</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>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></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>(Luxembourg) &#134;&#134;</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,400,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,259,958</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>USI Holdings Corp. 144A sr. unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>notes FRN 6.679s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>60,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>45,600</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>VTB Capital unsec. sub. notes FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.315s, 2015 (Luxembourg)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,090,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,063,404</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>VTB Capital SA 144A notes 7 1/2s,</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>2011 (Luxembourg)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,010,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,612,891</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>VTB Capital SA 144A sec.</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>notes 6.609s, 2012 (Luxembourg)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>940,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>780,285</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</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=1>15,744,436</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Health Care (1.8%)</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Community Health Systems, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>company guaranty 8 7/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>665,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>631,750</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DaVita, Inc. company</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>guaranty 6 5/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>153,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>145,350</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>28</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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     <TD noWrap align=left><FONT face=sans-serif size=1>CORPORATE BONDS</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>AND NOTES (21.0%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Health Care </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD 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>Elan Finance PLC/Elan</FONT>&nbsp; </TD>
     <TD 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>Finance Corp. company</FONT>&nbsp; </TD>
     <TD 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>guaranty 7 3/4s, 2011 (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$205,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$189,369</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>HCA, Inc. company guaranty</FONT>&nbsp; </TD>
     <TD 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>sr. sec. notes 9 5/8s, 2016 &#135;&#135;</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>268,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>254,600</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>HCA, Inc. sr. sec. notes 9 1/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>645,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>627,263</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>HCA, Inc. sr. sec. notes 9 1/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>282,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>274,245</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>HCA, Inc. sr. unsec. notes 6 3/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>212,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>166,950</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>HCA, Inc. sr. unsec. notes 5 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>260,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>202,800</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Omnicare, Inc. company</FONT>&nbsp; </TD>
     <TD 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>guaranty 6 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>195,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>176,963</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Omnicare, Inc.</FONT>&nbsp; </TD>
     <TD 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>sr. sub. notes 6 1/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>545,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>489,138</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Select Medical Corp. company</FONT>&nbsp; </TD>
     <TD 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>guaranty 7 5/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>547,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>443,070</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Stewart Enterprises, Inc.</FONT>&nbsp; </TD>
     <TD 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>sr. notes 6 1/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>724,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>680,560</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Surgical Care Affiliates, Inc.</FONT>&nbsp; </TD>
     <TD 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>144A sr. sub. notes 10s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>300,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>225,000</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Surgical Care Affiliates, Inc.</FONT>&nbsp; </TD>
     <TD 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>144A sr. unsec. notes 8 7/8s, 2015 &#135;&#135;</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>110,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>95,700</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Tenet Healthcare Corp.</FONT>&nbsp; </TD>
     <TD 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>notes 7 3/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>390,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>354,900</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Tenet Healthcare Corp. sr. unsec.</FONT>&nbsp; </TD>
     <TD 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>unsub. notes 6 3/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>571,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>526,748</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>US Oncology, Inc. company</FONT>&nbsp; </TD>
     <TD 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>guaranty 9s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>485,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>485,000</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Vanguard Health Holding Co.</FONT>&nbsp; </TD>
     <TD 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>II, LLC sr. sub. notes 9s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>491,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>473,815</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ventas Realty LP/Capital Corp.</FONT>&nbsp; </TD>
     <TD 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>company guaranty 9s, 2012 </FONT><B><SUP><FONT face=sans-serif size=1>R</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>305,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>317,963</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ventas Realty LP/Capital Corp.</FONT>&nbsp; </TD>
     <TD 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>company guaranty 6 3/4s, 2010 </FONT><B><SUP><FONT face=sans-serif size=1>R</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>201,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>199,995</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ventas Realty LP/Capital Corp.</FONT>&nbsp; </TD>
     <TD 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>sr. notes 6 5/8s, 2014 </FONT><B><SUP><FONT face=sans-serif size=1>R</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>173,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>166,080</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,127,259</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Technology (1.2%)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Advanced Micro Devices, Inc.</FONT>&nbsp; </TD>
     <TD 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>sr. notes 7 3/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>334,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>257,180</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ceridian Corp. 144A sr. unsec.</FONT>&nbsp; </TD>
     <TD 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>notes 11 1/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>275,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>226,875</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Compucom Systems, Inc.</FONT>&nbsp; </TD>
     <TD 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>sr. sub. notes 12 1/2s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>155,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>137,950</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freescale Semiconductor, Inc.</FONT>&nbsp; </TD>
     <TD 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>company guaranty sr. unsec.</FONT>&nbsp; </TD>
     <TD 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>notes 8 7/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>552,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>380,880</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freescale Semiconductor, Inc.</FONT>&nbsp; </TD>
     <TD 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>company guaranty sr. unsec.</FONT>&nbsp; </TD>
     <TD 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>sub. notes 10 1/8s, 2016 </FONT><B><SUP><FONT face=sans-serif size=1>S</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>384,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>245,760</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freescale Semiconductor, Inc.</FONT>&nbsp; </TD>
     <TD 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>company guaranty sr. unsec.</FONT>&nbsp; </TD>
     <TD 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>sub. notes 9 1/8s, 2014 &#135;&#135;</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>383,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>241,290</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Iron Mountain, Inc. company</FONT>&nbsp; </TD>
     <TD 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>guaranty 8 5/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>700,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>693,000</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Iron Mountain, Inc. company</FONT>&nbsp; </TD>
     <TD 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>guaranty sr. unsec.</FONT>&nbsp; </TD>
     <TD 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>sub. notes 8s, 2020</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>470,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>457,075</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>New ASAT Finance, Ltd. company</FONT>&nbsp; </TD>
     <TD 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>guaranty 9 1/4s, 2011</FONT>&nbsp; </TD>
     <TD 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>(Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>13,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,816</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="61%"></TD>
     <TD width="8%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CORPORATE BONDS</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>AND NOTES (21.0%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=4>
<HR noShade SIZE=1>
&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Technology </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&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>Nortel Networks, Ltd. company</FONT>&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>guaranty sr. unsec.</FONT>&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>notes 10 3/4s, 2016 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$215,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$131,688</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Nortel Networks, Ltd. company</FONT>&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>guaranty sr. unsec. notes FRN</FONT>&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>7.041s, 2011 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>156,863</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Nortel Networks, Ltd. 144A</FONT>&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>sr. unsecd. notes company</FONT>&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>guaranty 10 3/4s, 2016 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>420,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>257,250</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sanmina Corp. company</FONT>&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>guaranty sr. unsec.</FONT>&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>sub. notes 6 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>239,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>209,125</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sanmina Corp. sr. unsec.</FONT>&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>sub. notes 8 1/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>372,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>316,200</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>SunGard Data Systems, Inc. company</FONT>&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>guaranty 9 1/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>340,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>306,000</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Travelport LLC company</FONT>&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>guaranty 9 7/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>166,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>135,290</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Unisys Corp. sr. unsec.</FONT>&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>unsub. notes 12 1/2s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>219,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>208,050</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Xerox Corp. sr. notes 9 3/4s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=left><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=right><FONT face=sans-serif size=1>199,267</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,567,559</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Utilities &amp; Power (1.3%)</FONT>&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>AES Corp. (The) sr. unsec.</FONT>&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>unsub. notes 8s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$130,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>117,325</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>AES Corp. (The) 144A sec.</FONT>&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>notes 8 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>237,350</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CMS Energy Corp. sr. notes</FONT>&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>7 3/4s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>180,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>185,724</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Edison Mission Energy sr. unsec.</FONT>&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>notes 7 3/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>151,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>141,940</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Edison Mission Energy sr. unsec.</FONT>&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>notes 7 1/2s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>172,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>165,120</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Edison Mission Energy sr. unsec.</FONT>&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>notes 7.2s, 2019</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>275,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>242,000</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Edison Mission Energy sr. unsec.</FONT>&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>notes 7s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>195,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>175,500</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ferrellgas LP/Finance</FONT>&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>sr. notes 6 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>520,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>423,800</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Florida Power Corp. 1st mtge. sec.</FONT>&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>bonds 5.65s, 2018</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>71,729</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ipalco Enterprises, Inc. 144A</FONT>&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>sr. sec. notes 7 1/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>115,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>109,825</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Kinder Morgan, Inc.</FONT>&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>sr. notes 6 1/2s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,589,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,529,413</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>NRG Energy, Inc. sr. notes 7 3/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>211,500</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Orion Power Holdings, Inc.</FONT>&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>sr. unsec. notes 12s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>655,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>635,350</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>PNM Resources, Inc. unsec.</FONT>&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>unsub. notes 9 1/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>224,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>220,640</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Teco Finance, Inc. company</FONT>&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>guaranty sr. unsec.</FONT>&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>unsub. notes 7.2s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>185,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>188,523</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Teco Finance, Inc. company</FONT>&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>guaranty sr. unsec.</FONT>&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>unsub. notes 7s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>280,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>284,599</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Teco Finance, Inc. company</FONT>&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>guaranty sr. unsec.</FONT>&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>unsub. notes 6 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>32,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>30,649</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>29</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<A name="page_31"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CORPORATE BONDS</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>AND NOTES (21.0%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Utilities &amp; Power </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD 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>Utilicorp United, Inc. sr. unsec.</FONT>&nbsp; </TD>
     <TD 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>notes 7.95s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$18,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$18,638</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Williams Partners LP/ Williams</FONT>&nbsp; </TD>
     <TD 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>Partners Finance Corp. sr. unsec.</FONT>&nbsp; </TD>
     <TD 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>notes 7 1/4s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>145,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>134,850</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,124,475</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Total corporate bonds and notes (cost $95,407,615)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$82,430,105</FONT>&nbsp; </TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>ASSET-BACKED</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>SECURITIES (13.8%)*</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Accredited Mortgage Loan Trust</FONT>&nbsp; </TD>
     <TD 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>FRB Ser. 05-1, Class M2, 3.897s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$160,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$68,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-4, Class A2C, 3.417s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>34,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>31,280</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ace Securities Corp.</FONT>&nbsp; </TD>
     <TD 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>FRB Ser. 06-OP2, Class A2C,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.357s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>107,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>59,385</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-HE3, Class A2C,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.357s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>115,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>68,034</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ameriquest Mortgage</FONT>&nbsp; </TD>
     <TD 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>Securities, Inc. FRB Ser. 03-8,</FONT>&nbsp; </TD>
     <TD 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>Class M2, 4.957s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>216,523</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>43,305</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Arcap REIT, Inc. 144A</FONT>&nbsp; </TD>
     <TD 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>Ser. 03-1A, Class E, 7.11s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>383,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>288,942</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 04-1A, Class E, 6.42s, 2039</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>361,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>231,823</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Argent Securities, Inc.</FONT>&nbsp; </TD>
     <TD 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>FRB Ser. 03-W3, Class M3,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.477s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>24,453</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,934</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-W4, Class A2C,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.367s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>204,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>123,420</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Asset Backed Funding Certificates</FONT>&nbsp; </TD>
     <TD 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>FRB Ser. 04-OPT2, Class M2,</FONT>&nbsp; </TD>
     <TD 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>4.207s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>225,692</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>103,818</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-WMC1, Class M1,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.647s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>31,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>23,250</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Asset Backed Securities Corp. Home</FONT>&nbsp; </TD>
     <TD 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>Equity Loan Trust</FONT>&nbsp; </TD>
     <TD 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>FRB Ser. 06-HE2, Class A3,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.397s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>40,157</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>29,712</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-HE4, Class A5,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.367s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>148,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>119,880</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Aviation Capital Group Trust 144A</FONT>&nbsp; </TD>
     <TD 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>FRB Ser. 03-2A, Class G1, 3.888s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>248,256</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>124,128</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bear Stearns Asset Backed</FONT>&nbsp; </TD>
     <TD 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>Securities, Inc.</FONT>&nbsp; </TD>
     <TD 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>FRB Ser. 04-FR3, Class M6,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.457s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>286,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>169,470</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-PC1, Class M9,</FONT>&nbsp; </TD>
     <TD 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>4.957s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>185,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,850</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-HE1, Class M3,</FONT>&nbsp; </TD>
     <TD 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>4.137s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>223,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>64,670</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bear Stearns Asset Backed</FONT>&nbsp; </TD>
     <TD 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>Securities, Inc. 144A FRB</FONT>&nbsp; </TD>
     <TD 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>Ser. 06-HE2, Class M10, 5.457s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>270,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,732</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bombardier Capital Mortgage</FONT>&nbsp; </TD>
     <TD 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>Securitization Corp.</FONT>&nbsp; </TD>
     <TD 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>Ser. 00-A, Class A4, 8.29s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>492,293</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>315,740</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 00-A, Class A2, 7.575s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,309,038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>714,508</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 99-B, Class A4, 7.3s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>647,669</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>395,979</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 99-B, Class A3, 7.18s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,089,965</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>660,449</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 00-A, Class A1,</FONT>&nbsp; </TD>
     <TD 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>2.648s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>141,606</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>66,721</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="61%"></TD>
     <TD width="8%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>ASSET-BACKED</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>SECURITIES (13.8%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Capital Auto Receivables Asset</FONT>&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>Trust 144A Ser. 06-1, Class D,</FONT>&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>7.16s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$500,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$475,918</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Citigroup Mortgage Loan Trust, Inc.</FONT>&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>FRB Ser. 05-HE4, Class M11,</FONT>&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>5.707s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>304,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>30,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-HE4, Class M12,</FONT>&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>5.257s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>53,839</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,692</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-OPT1, Class M1,</FONT>&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>3.627s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>47,073</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>29,440</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Conseco Finance</FONT>&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>Securitizations Corp.</FONT>&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>Ser. 00-2, Class A5, 8.85s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,379,474</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,101,899</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 00-4, Class A6, 8.31s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,278,798</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,436,209</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 00-5, Class A7, 8.2s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>476,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>342,625</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 00-1, Class A5, 8.06s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>935,093</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>647,365</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 00-4, Class A5, 7.97s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>185,964</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>133,950</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 00-5, Class A6, 7.96s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>668,995</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>510,242</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 02-1, Class M1F, 7.954s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>44,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>39,299</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-3, Class M2, 7.44s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>59,427</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,648</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-4, Class A4, 7.36s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>199,080</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>172,191</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 00-6, Class A5, 7.27s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>73,383</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>63,072</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-1, Class A5, 6.99s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,329,219</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,968,172</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-3, Class A4, 6.91s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,835,114</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,446,440</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 02-1, Class A, 6.681s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>839,960</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>805,436</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 02-1, Class M1A, 4.54s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,249,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,635,657</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 01-4, Class M1, 4.24s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>295,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>98,137</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Countrywide Asset</FONT>&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>Backed Certificates</FONT>&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>FRB Ser. 05-BC3, Class M1,</FONT>&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>3.727s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>47,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>28,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-14, Class 3A2,</FONT>&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>3.447s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>26,874</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>24,186</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Crest, Ltd. 144A Ser. 03-2A,</FONT>&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>Class E2, 8s, 2038 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>431,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>267,220</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DB Master Finance, LLC 144A</FONT>&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>Ser. 06-1, Class M1, 8.285s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>277,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>207,509</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Equifirst Mortgage Loan Trust FRB</FONT>&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>Ser. 05-1, Class M5, 3.877s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>92,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>21,160</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>First Franklin Mortgage Loan Asset</FONT>&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>Backed Certificates FRB</FONT>&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>Ser. 06-FF7, Class 2A3, 3.357s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>173,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>105,945</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fremont Home Loan Trust</FONT>&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>FRB Ser. 05-E, Class 2A4, 3.537s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>244,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>175,680</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-2, Class 2A3, 3.377s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>353,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>257,690</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Gears Auto Owner Trust 144A</FONT>&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>Ser. 05-AA, Class E1, 8.22s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>687,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>650,525</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Granite Mortgages PLC</FONT>&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>FRB Ser. 03-2, Class 3C, 7.589s,</FONT>&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>2043 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>736,381</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,224,319</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 03-2, Class 2C1, 5.2s,</FONT>&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>2043 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,430,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,909,682</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Green Tree Financial Corp.</FONT>&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>Ser. 94-6, Class B2, 9s, 2020</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$861,059</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>812,065</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 94-4, Class B2, 8.6s, 2019</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>365,488</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>223,240</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 93-1, Class B, 8.45s, 2018</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>374,240</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>334,077</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 99-5, Class A5, 7.86s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,976,395</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,386,537</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 96-8, Class M1, 7.85s, 2027</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>387,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>342,056</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 95-8, Class B1, 7.3s, 2026</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>362,579</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>304,380</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 95-4, Class B1, 7.3s, 2025</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>371,800</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>335,116</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 96-10, Class M1, 7.24s, 2028</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>41,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>29,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 97-6, Class M1, 7.21s, 2029</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,087,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>809,928</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 98-2, Class A6, 6.81s, 2027</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>399,822</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>390,744</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 99-3, Class A7, 6.74s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>733,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>687,183</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>30</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>ASSET-BACKED</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>SECURITIES (13.8%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
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<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Green Tree Financial Corp.</FONT>&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>FRN 6.53s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$183,816</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$170,366</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 99-2, Class A7, 6.44s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>45,712</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>39,236</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 99-1, Class A6, 6.37s, 2025</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>17,411</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 98-4, Class A5, 6.18s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>463,821</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>424,241</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 99-1, Class A5, 6.11s, 2023</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>223,975</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>221,804</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Greenpoint Manufactured Housing</FONT>&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>Ser. 00-3, Class IA, 8.45s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,660,683</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,424,406</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 99-5, Class M1A, 8.3s, 2026</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>157,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>143,255</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 99-5, Class A4, 7.59s, 2028</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>44,639</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>43,746</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GS Auto Loan Trust 144A Ser. 04-1,</FONT>&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>Class D, 5s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>365,777</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>342,002</FONT>&nbsp; </TD></TR>
<TR>
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<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GSAMP Trust FRB Ser. 06-HE5,</FONT>&nbsp; </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>Class A2C, 3.357s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>526,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>322,280</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Guggenheim Structured</FONT>&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>Real Estate Funding, Ltd. 144A</FONT>&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>FRB Ser. 05-2A, Class E, 5.207s,</FONT>&nbsp; </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>2030 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>379,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>165,547</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-1A, Class E, 5.007s,</FONT>&nbsp; </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>2030 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>83,828</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>56,165</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Home Equity Asset Trust FRB</FONT>&nbsp; </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>Ser. 06-1, Class 2A4, 3.537s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>122,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>75,030</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
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     <TD noWrap align=left><FONT face=sans-serif size=1>JPMorgan Mortgage</FONT>&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>Acquisition Corp. FRB</FONT>&nbsp; </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>Ser. 06-FRE1, Class A4, 3.497s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>103,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>63,088</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lehman ABS Manufactured Housing</FONT>&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>Contract Ser. 01-B, Class A4,</FONT>&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>5.27s, 2018</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,182,036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,004,354</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lehman XS Trust FRB Ser. 07-6,</FONT>&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>Class 2A1, 3.417s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,194,566</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>772,659</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>LNR CDO, Ltd. 144A FRB Ser. 02-1A,</FONT>&nbsp; </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>Class FFL, 5.926s, 2037</FONT>&nbsp; </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>(Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,260,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>567,000</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Local Insight Media Finance, LLC</FONT>&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>Ser. 07-1W, Class A1, 5.53s, 2012 </FONT><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,715,324</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,368,023</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Long Beach Mortgage Loan Trust</FONT>&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>FRB Ser. 05-2, Class M4,</FONT>&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>3.827s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>255,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>79,050</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-4, Class 2A4, 3</FONT>&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>.467s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>117,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>56,429</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-1, Class 2A3,</FONT>&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>3.397s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>161,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>120,750</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lothian Mortgages PLC 144A FRB</FONT>&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>Ser. 3A, Class D, 6.597s, 2039</FONT>&nbsp; </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>(United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>900,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,478,351</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Madison Avenue Manufactured</FONT>&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>Housing Contract FRB Ser. 02-A,</FONT>&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>Class B1, 6.457s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,046,356</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>741,093</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>MASTR Asset Backed Securities</FONT>&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>Trust FRB Ser. 06-FRE2, Class A4,</FONT>&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>3.357s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>61,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>40,528</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mid-State Trust Ser. 11, Class B,</FONT>&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>8.221s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>112,436</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>85,204</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Morgan Stanley ABS Capital I</FONT>&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>FRB Ser. 04-HE8, Class B3,</FONT>&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>6.407s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>69,835</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>13,967</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-HE2, Class M5,</FONT>&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>3.887s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>160,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>28,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-HE1, Class M3,</FONT>&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>3.727s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>160,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>57,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-NC4, Class M2,</FONT>&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>3.507s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>223,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>17,840</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>ASSET-BACKED</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>SECURITIES (13.8%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Navistar Financial Corp.</FONT>&nbsp; </TD>
     <TD 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>Owner Trust</FONT>&nbsp; </TD>
     <TD 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>Ser. 05-A, Class C, 4.84s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$72,629</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$65,102</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 04-B, Class C, 3.93s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>44,238</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>39,024</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>New Century Home Equity Loan Trust</FONT>&nbsp; </TD>
     <TD 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>FRB Ser. 03-4, Class M3, 5.257s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>13,595</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>544</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Novastar Home Equity Loan</FONT>&nbsp; </TD>
     <TD 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>FRB Ser. 06-1, Class A2C,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.367s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>146,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>120,450</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-2, Class A2C,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.357s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>146,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>101,762</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Oakwood Mortgage</FONT>&nbsp; </TD>
     <TD 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>Investors, Inc.</FONT>&nbsp; </TD>
     <TD 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>Ser. 96-C, Class B1, 7.96s, 2027</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,008,054</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>565,663</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 99-D, Class A1, 7.84s, 2029</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>885,433</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>717,201</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 00-A, Class A2, 7.765s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>127,879</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>99,259</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 95-B, Class B1, 7.55s, 2021</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>350,897</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>222,942</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 00-D, Class A4, 7.4s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,022,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>630,778</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 02-B, Class A4, 7.09s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>369,919</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>322,237</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 99-B, Class A4, 6.99s, 2026</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>928,948</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>737,749</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 00-D, Class A3, 6.99s, 2022</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>310,700</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>309,065</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.97s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>54,122</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>46,258</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-D, Class A4, 6.93s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>682,742</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>463,653</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-E, Class A4, 6.81s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>892,547</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>706,992</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 99-B, Class A3, 6.45s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>221,305</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>188,002</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-C, Class A2, 5.92s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>909,648</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>462,762</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 02-C, Class A1, 5.41s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,127,522</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>896,154</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-D, Class A2, 5.26s, 2019</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>136,471</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>85,444</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-E, Class A2, 5.05s, 2019</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>947,778</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>590,917</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 02-A, Class A2, 5.01s, 2020</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>238,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>193,255</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Oakwood Mortgage</FONT>&nbsp; </TD>
     <TD 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>Investors, Inc. 144A</FONT>&nbsp; </TD>
     <TD 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>Ser. 01-B, Class A4, 7.21s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>176,355</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>143,639</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 01-B, Class A2, 2.863s, 2018</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>47,612</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>36,262</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ocean Star PLC 144A FRB Ser. 05-A,</FONT>&nbsp; </TD>
     <TD 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>Class E, 7.404s, 2012 (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>238,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>179,976</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option One Mortgage Loan Trust FRB</FONT>&nbsp; </TD>
     <TD 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>Ser. 05-4, Class M11, 5.707s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>509,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>13,998</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Park Place Securities, Inc.</FONT>&nbsp; </TD>
     <TD 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>FRB Ser. 05-WCH1, Class M4,</FONT>&nbsp; </TD>
     <TD 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>4.037s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>104,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 04-MCW1, Class A2,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.587s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>109,631</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>96,328</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>People&#146;s Financial Realty Mortgage</FONT>&nbsp; </TD>
     <TD 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>Securities Trust FRB Ser. 06-1,</FONT>&nbsp; </TD>
     <TD 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>Class 1A2, 3.337s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>225,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>126,000</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Residential Asset Mortgage</FONT>&nbsp; </TD>
     <TD 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>Products, Inc.</FONT>&nbsp; </TD>
     <TD 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>FRB Ser. 06-NC3, Class A2,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.397s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>155,711</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>127,496</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-RZ1, Class A2,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.367s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>176,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>135,080</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Residential Asset</FONT>&nbsp; </TD>
     <TD 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>Securities Corp.</FONT>&nbsp; </TD>
     <TD 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>FRB Ser. 05-EMX1, Class M2,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.937s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>362,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>130,320</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-KS3, Class AII, 3.667s, 2031 </FONT><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,482,241</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,217,222</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Residential Asset Securities Corp.</FONT>&nbsp; </TD>
     <TD 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>144A FRB Ser. 05-KS10, Class B,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.957s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>385,641</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,856</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>31</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<A name="page_33"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>ASSET-BACKED</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>SECURITIES (13.8%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securitized Asset Backed</FONT>&nbsp; </TD>
     <TD 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>Receivables, LLC</FONT>&nbsp; </TD>
     <TD 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>FRB Ser. 05-HE1, Class M2,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.857s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$160,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$36,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-NC2, Class A2B,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.347s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>165,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>96,525</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>SG Mortgage Securities Trust FRB</FONT>&nbsp; </TD>
     <TD 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>Ser. 06-OPT2, Class A3D, PO,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.417s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>246,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>105,780</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Soundview Home Equity</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Loan Trust</FONT>&nbsp; </TD>
     <TD 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>FRB Ser. 06-OPT3, Class 2A3,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.377s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>117,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>93,289</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-3, Class A3, 3.367s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>529,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>423,888</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Soundview Home Equity Loan Trust</FONT>&nbsp; </TD>
     <TD 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>144A FRB Ser. 05-4, Class M10,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.707s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>392,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,800</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>South Coast Funding 144A FRB</FONT>&nbsp; </TD>
     <TD 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>Ser. 3A, Class A2, 4.003s, 2038</FONT>&nbsp; </TD>
     <TD 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>(Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>140,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>700</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Structured Asset Investment Loan</FONT>&nbsp; </TD>
     <TD 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>Trust FRB Ser. 06-BNC2, Class A6,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.467s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>117,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>22,820</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Structured Asset Investment Loan</FONT>&nbsp; </TD>
     <TD 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>Trust 144A FRB Ser. 05-HE3,</FONT>&nbsp; </TD>
     <TD 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>Class M11, 5.707s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>31,494</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>151</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Structured Asset Receivables Trust</FONT>&nbsp; </TD>
     <TD 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>144A FRB Ser. 05-1, 3.286s, 2015 </FONT><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,756,006</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,568,054</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>TIAA Real Estate CDO, Ltd.</FONT>&nbsp; </TD>
     <TD 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>Ser. 03-1A, Class E, 8s, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>467,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>194,081</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>TIAA Real Estate CDO, Ltd. 144A</FONT>&nbsp; </TD>
     <TD 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>Ser. 02-1A, Class IV, 6.84s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>390,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>245,981</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Whinstone Capital Management, Ltd.</FONT>&nbsp; </TD>
     <TD 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>144A FRB Ser. 1A, Class B3, 3.7s,</FONT>&nbsp; </TD>
     <TD 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>2044 (United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>256,909</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>204,425</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total asset-backed securities (cost $66,085,118)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$53,919,123</FONT>&nbsp; </TD></TR>
<TR>
     <TD>&nbsp; </TD>
     <TD></TD>
     <TD>&nbsp; </TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>SENIOR LOANS (13.2%)* </FONT><B><SUP><FONT face=sans-serif size=1>c</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Basic Materials (1.4%)</FONT>&nbsp; </TD>
     <TD 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>Aleris International, Inc. bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN Ser. B, 5 1/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$409,804</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$326,477</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Domtar Corp. bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>4.804s, 2014 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>308,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>281,307</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Georgia-Pacific, LLC bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN Ser. B, 4.544s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>995,258</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>876,346</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Georgia-Pacific, LLC bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN Ser. B2, 4.299s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>284,178</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>250,224</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Graphic Packaging Corp. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN Ser. C, 5.981s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>325,199</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>289,753</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Hexion Specialty Chemicals, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>bank term loan FRN Ser. C,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.063s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,750</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>15,010</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Huntsman International, LLC bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN Ser. B, 5.459s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,420,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,238,950</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Momentive Performance</FONT>&nbsp; </TD>
     <TD 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>Materials, Inc. bank term loan</FONT>&nbsp; </TD>
     <TD 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>FRN 6s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>402,625</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>348,875</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>NewPage Holding Corp. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN 7s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>337,450</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>305,498</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Novelis, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. B, 4.81s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>230,484</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>200,060</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>SENIOR LOANS (13.2%)* </FONT><B><SUP><FONT face=sans-serif size=1>c </FONT></SUP></B><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Basic Materials </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD 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>Novelis, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. B, 4.81s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$507,066</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$440,133</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Rockwood Specialties Group, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>bank term loan FRN Ser. E,</FONT>&nbsp; </TD>
     <TD 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>4.299s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>864,675</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>778,568</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,351,201</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Capital Goods (1.1%)</FONT>&nbsp; </TD>
     <TD 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>Allied Waste Industries, Inc. bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN 6.82s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>340,023</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>326,665</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Allied Waste Industries, Inc. bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN 5.471s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>475,803</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>457,111</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Berry Plastics Holding Corp. bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN 4.798s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>147,750</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>119,160</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Graham Packaging Co., LP bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN 5.059s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>98,500</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>87,665</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Hawker Beechcraft</FONT>&nbsp; </TD>
     <TD 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>Acquisition Co., LLC bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN 2.601s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>51,780</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>45,067</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Hawker Beechcraft</FONT>&nbsp; </TD>
     <TD 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>Acquisition Co., LLC bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN Ser. B, 5.762s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>973,991</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>847,720</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Hexcel Corp. bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. B, 4.938s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>259,418</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>249,042</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Manitowoc Co., Inc. (The) bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN Ser. B, 6 1/2s, 2014 </FONT><B><SUP><FONT face=sans-serif size=1>U</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>575,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>546,538</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mueller Water Products, Inc. bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN Ser. B, 4.908s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>354,257</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>314,108</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Polypore, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. B, 6.03s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>312,105</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>287,136</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sensata Technologies BV bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN 4.543s, 2013 (Netherlands)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>278,249</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>231,468</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sequa Corp. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.812s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>434,094</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>378,205</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Transdigm, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.21s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>435,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>399,113</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Wesco Aircraft Hardware Corp. bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN 5.96s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>210,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>189,394</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,478,392</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Communication Services (1.2%)</FONT>&nbsp; </TD>
     <TD 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>Alltel Communications, Inc. bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN Ser. B2, 5.316s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>624,844</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>600,534</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Alltel Communications, Inc. bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN Ser. B3, 4.997s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>651,359</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>630,597</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Cricket Communications, Inc. bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN Ser. B, 7.262s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>34,734</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>32,979</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Crown Castle International Corp.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>bank term loan FRN 5.376s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>104,207</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>90,816</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fairpoint Communications, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>480,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>393,000</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Intelsat Corp. bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. B2, 5.288s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>266,119</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>240,394</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Intelsat Corp. bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. B2-A, 5.288s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>266,199</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>240,466</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Intelsat Corp. bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. B2-C, 5.288s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>266,119</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>240,394</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Intelsat, Ltd. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.883s, 2014 (Bermuda)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>460,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>391,000</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Intelsat, Ltd. bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. B, 5.288s, 2013 (Bermuda)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>589,500</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>533,498</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>32</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<A name="page_34"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>SENIOR LOANS (13.2%)* </FONT><B><SUP><FONT face=sans-serif size=1>c </FONT></SUP></B><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Communication Services </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD 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>Level 3 Communications, Inc. bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN 4.952s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$210,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$175,875</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>MetroPCS Wireless, Inc. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN 5.4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>453,405</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>402,559</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>PAETEC Holding Corp. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN 4.969s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>69,650</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>58,158</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>PAETEC Holding Corp. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN Ser. B1, 6.204s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>204,257</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>170,555</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Time Warner Telecom, Inc. bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN Ser. B, 5.71s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>316,772</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>298,821</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>West Corp. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.813s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>208,939</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>160,361</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,660,007</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Consumer Cyclicals (2.8%)</FONT>&nbsp; </TD>
     <TD 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>Allison Transmission bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN Ser. B, 5.377s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>439,881</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>361,802</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Aramark Corp. bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>2.025s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,544</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,823</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Aramark Corp. bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. B, 5.637s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>197,456</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>170,360</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CCM Merger, Inc. bank term loan</FONT>&nbsp; </TD>
     <TD 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>FRN Ser. B, 5.284s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>107,996</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>89,637</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Cenveo, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. C, 4.954s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>238,394</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>206,211</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Cenveo, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. DD, 4.954s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,944</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,871</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Cooper-Standard Automotive, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.313s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>221,773</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>188,507</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Cooper-Standard Automotive, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>bank term loan FRN Ser. C,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.313s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>554,121</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>471,003</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dana Corp. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.771s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>491,288</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>416,059</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dex Media West, LLC/Dex Media</FONT>&nbsp; </TD>
     <TD 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>Finance Co. bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. B, 7.405s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>250,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>215,000</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GateHouse Media, Inc. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN Ser. B, 5.07s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>220,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>101,200</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GateHouse Media, Inc. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN Ser. B, 4.81s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>513,424</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>236,175</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GateHouse Media, Inc. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN Ser. DD, 4.801s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>191,576</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>88,125</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Golden Nugget, Inc. bank term loan</FONT>&nbsp; </TD>
     <TD 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>FRN Ser. B, 5.43s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>101,818</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>79,418</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Golden Nugget, Inc. bank term loan</FONT>&nbsp; </TD>
     <TD 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>FRN Ser. DD, 4.84s, 2014 </FONT><B><SUP><FONT face=sans-serif size=1>U</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>58,182</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>45,382</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Goodman Global Holdings, Inc. bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN Ser. B, 7.708s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>898,895</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>879,809</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Goodyear Tire &amp; Rubber Co. (The)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>bank term loan FRN 4.54s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,760,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,482,800</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Harrah&#146;s Operating Co., Inc. bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN Ser. B2, 5.805s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>208,950</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>167,891</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Isle of Capri Casinos, Inc. bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN 5.512s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>207,181</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>165,055</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Isle of Capri Casinos, Inc. bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN Ser. A, 5.512s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>62,469</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>49,767</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Isle of Capri Casinos, Inc. bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN Ser. B, 5.512s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>82,873</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>66,022</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>SENIOR LOANS (13.2%)* </FONT><B><SUP><FONT face=sans-serif size=1>c </FONT></SUP></B><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Consumer Cyclicals </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD 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>Lear Corp bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.045s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$985,453</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$757,978</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Michaels Stores, Inc. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN Ser. B, 4.863s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>325,854</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>237,990</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>National Bedding Co. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN 5.353s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>90,540</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>69,263</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Navistar Financial Corp. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN 5.695s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>218,667</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>187,325</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Navistar International Corp. bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN 6.191s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>601,333</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>515,142</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Neiman Marcus Group, Inc. (The)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD 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>4.565s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>464,285</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>399,671</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Reader&#146;s Digest Association, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>(The) bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD 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>4.706s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>418,625</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>297,224</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Realogy Corp. bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>2.3s, 2013 </FONT><B><SUP><FONT face=sans-serif size=1>R</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>213,150</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>157,598</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Realogy Corp. bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. B, 5.57s, 2013 </FONT><B><SUP><FONT face=sans-serif size=1>R</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>791,700</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>585,363</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Tribune Co. bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. B, 5.786s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>948,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>495,330</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Tropicana Entertainment bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN Ser. B, 6 1/4s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>695,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>463,913</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>TRW Automotive, Inc. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN Ser. B, 4.471s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>183,150</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>171,245</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>United Components, Inc. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN Ser. D, 4.81s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>388,444</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>357,369</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Visant Holding Corp. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN Ser. C, 5.171s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>363,793</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>348,029</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Visteon Corp. bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. B, 5.47s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>866,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>498,816</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Visteon Corp. bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. B1, 6.1s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>34,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,584</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Yankee Candle Co., Inc. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN 5.764s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>124,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>101,577</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11,161,334</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Consumer Staples (3.3%)</FONT>&nbsp; </TD>
     <TD 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>Affinion Group, Inc. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN Ser. B, 5.345s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>902,719</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>825,988</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Cablevision Systems Corp. bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN 4.569s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>934,784</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>818,938</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Cebridge Connections, Inc. bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN Ser. B, 4.792s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>689,500</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>596,202</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Charter Communications</FONT>&nbsp; </TD>
     <TD 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>Operating, LLC bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.77s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>228,850</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>213,076</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Charter Communications, Inc. bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN 6.262s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>200,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>144,000</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Charter Communications, Inc. bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN 4.8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,184,830</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,729,658</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Cinemark USA, Inc. bank term loan</FONT>&nbsp; </TD>
     <TD 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>FRN 4.615s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>514,548</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>439,938</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Citadel Communications bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN Ser. B, 4.277s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>425,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>310,250</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dean Foods Co. bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. B, 5.269s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>738,750</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>647,145</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DirecTV Holdings, LLC bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN 5.601s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>279,300</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>264,357</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>33</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_35"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>SENIOR LOANS (13.2%)* </FONT><B><SUP><FONT face=sans-serif size=1>c </FONT></SUP></B><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Consumer Staples </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD 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>Idearc, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. B, 5.767s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,413,082</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$818,175</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Insight Midwest, LP bank term loan</FONT>&nbsp; </TD>
     <TD 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>FRN Ser. B, 4.49s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>130,326</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>118,661</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Jarden Corp. bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. B1, 5.512s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>270,781</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>235,918</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Jarden Corp. bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. B2, 5.512s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>123,092</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>107,244</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mediacom Communications Corp. bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN Ser. C, 4.744s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>816,393</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>716,385</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mediacom Communications Corp. bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN Ser. D2, 4.744s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>117,900</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>102,720</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>MGM Studios, Inc. bank term loan</FONT>&nbsp; </TD>
     <TD 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>FRN Ser. B, 6.051s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>879,750</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>616,705</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Pinnacle Foods Holding Corp. bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN Ser. B, 5.44s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>504,667</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>417,192</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>R.H. Donnelley, Inc. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN 6.828s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>518,790</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>452,385</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>R.H. Donnelley, Inc. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN Ser. D1, 6.826s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>289,569</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>254,531</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Rental Service Corp. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN 6.3s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>445,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>347,100</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Rite-Aid Corp. bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. B, 5.014s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>99,500</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>80,098</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Six Flags Theme Parks bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN 5.603s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>642,863</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>515,254</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Spectrum Brands, Inc. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN 2.336s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>30,543</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>22,296</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Spectrum Brands, Inc. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN Ser. B1, 6.732s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>529,867</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>386,803</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ticketmaster bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. B, 6.64s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>305,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>286,700</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Universal City Development</FONT>&nbsp; </TD>
     <TD 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>Partners bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. B, 5.921s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>969,872</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>931,077</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Univision Communications, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.121s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>285,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>182,400</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>VNU Group BV bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. B, 4.803s, 2013 (Netherlands)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>208,406</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>179,333</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Warner Music Group bank term loan</FONT>&nbsp; </TD>
     <TD 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>FRN Ser. B, 5.073s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>150,741</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>134,914</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Young Broadcasting, Inc. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN Ser. B, 5.32s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>262,508</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>198,194</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>13,093,637</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Energy (0.5%)</FONT>&nbsp; </TD>
     <TD 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>CR Gas Storage bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>4.847s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>50,048</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>44,731</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CR Gas Storage bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>4.843s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>20,727</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,524</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CR Gas Storage bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. B, 4.847s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>309,195</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>276,343</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CR Gas Storage bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. DD, 4.844s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>33,902</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>30,300</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Enterprise GP Holdings, LP bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN 4.916s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>105,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>97,125</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>EPCO Holding, Inc. bank term loan</FONT>&nbsp; </TD>
     <TD 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>FRN Ser. A, 4.563s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>220,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>209,275</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Hercules Offshore, Inc. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN Ser. B, 4.55s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>244,350</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>231,318</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>SENIOR LOANS (13.2%)* </FONT><B><SUP><FONT face=sans-serif size=1>c </FONT></SUP></B><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Energy </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD 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>MEG Energy Corp. bank term loan</FONT>&nbsp; </TD>
     <TD 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>FRN 5.76s, 2013 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$97,500</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$90,675</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>MEG Energy Corp. bank term loan</FONT>&nbsp; </TD>
     <TD 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>FRN Ser. DD, 5.76s, 2013 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>99,375</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>92,419</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Petroleum Geo-Services ASA bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN 5.51s, 2015 (Norway)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>143,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>137,101</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Quicksilver Resources, Inc. bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN 8.204s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>279,300</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>266,732</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Targa Resources, Inc. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN 5.97s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>269,428</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>241,138</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Targa Resources, Inc. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN 3.637s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>153,871</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>137,715</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,873,396</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Financial (0.1%)</FONT>&nbsp; </TD>
     <TD 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>General Growth Properties, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>bank term loan FRN Ser. A,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.64s, 2010 </FONT><B><SUP><FONT face=sans-serif size=1>R</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>78,700</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Hub International, Ltd. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN Ser. B, 5.301s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>141,544</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>122,259</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Hub International, Ltd. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN Ser. DD, 5.568s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>31,814</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>27,479</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Nuveen Investments, Inc. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN Ser. B, 6.726s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>358,200</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>304,470</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>532,908</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Health Care (0.9%)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Community Health Systems, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.277s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>585,226</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>512,072</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Community Health Systems, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>bank term loan FRN Ser. DD,</FONT>&nbsp; </TD>
     <TD 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>0 1/2s, 2014 </FONT><B><SUP><FONT face=sans-serif size=1>U</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>30,270</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>26,486</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Davita, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. B, 5.22s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>300,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>269,550</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Health Management Associates, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>bank term loan FRN 5.512s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,325,909</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,112,659</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Healthsouth Corp. bank term loan</FONT>&nbsp; </TD>
     <TD 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>FRN Ser. B, 4.994s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>365,396</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>327,943</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Hologic, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. B, 6s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>189,197</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>185,413</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IASIS Healthcare, LLC/IASIS</FONT>&nbsp; </TD>
     <TD 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>Capital Corp. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.043s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>366,949</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>311,907</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IASIS Healthcare, LLC/IASIS</FONT>&nbsp; </TD>
     <TD 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>Capital Corp. bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7.62s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>32,503</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>28,819</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IASIS Healthcare, LLC/IASIS</FONT>&nbsp; </TD>
     <TD 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>Capital Corp. bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. B, 5.704s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>351,366</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>311,545</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IASIS Healthcare, LLC/IASIS</FONT>&nbsp; </TD>
     <TD 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>Capital Corp. bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. DD, 5.704s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>121,580</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>107,801</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>LifePoint, Inc. bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. B, 4.435s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>232,437</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>210,355</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sun Healthcare Group, Inc. bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN 2.701s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>35,012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>31,511</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sun Healthcare Group, Inc. bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN Ser. B, 4.804s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>108,913</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>98,022</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sun Healthcare Group, Inc. bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN Ser. DD, 5.422s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>21,195</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,076</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,553,159</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>34</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
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<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>SENIOR LOANS (13.2%)* </FONT><B><SUP><FONT face=sans-serif size=1>c </FONT></SUP></B><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Technology (0.7%)</FONT>&nbsp; </TD>
     <TD 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>Activant Solutions Holdings, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD 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>4.804s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$173,827</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$139,931</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Compucom Systems, Inc. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN 7.21s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>202,950</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>184,685</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>First Data Corp. bank term loan</FONT>&nbsp; </TD>
     <TD 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>FRN Ser. B1, 5.963s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>390,579</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>331,992</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>First Data Corp. bank term loan</FONT>&nbsp; </TD>
     <TD 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>FRN Ser. B3, 5.982s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>292,597</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>249,805</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Flextronics International, Ltd.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.066s, 2014 (Singapore)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>605,203</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>512,532</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Flextronics International, Ltd.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.041s, 2014 (Singapore)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>173,909</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>147,279</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freescale Semiconductor, Inc. bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN Ser. B, 5.47s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>137,947</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>111,047</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JDA Software Group, Inc. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN Ser. B, 5.034s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>23,118</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>22,194</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sabre Holdings Corp. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN 4.666s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>291,542</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>195,750</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>SunGard Data Systems, Inc. bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN 4.553s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>799,939</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>693,447</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Travelport bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.262s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,335</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,036</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Travelport bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. B, 6.012s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>115,464</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>91,794</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Travelport bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. DD, 5.954s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>125,157</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100,689</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,786,181</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Transportation (0.4%)</FONT>&nbsp; </TD>
     <TD 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>Ceva Group PLC bank term loan FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7.736s, 2015 (Netherlands)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,810,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,285,100</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Delta Airlines, Inc. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN 5.64s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,250</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,778</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>UAL Corp. bank term loan FRN</FONT>&nbsp; </TD>
     <TD 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>Ser. B, 5.457s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>128,867</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>78,179</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,365,057</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Utilities &amp; Power (0.8%)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dynegy Holdings, Inc. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN 5.21s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>765,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>650,250</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Energy Future Holdings Corp. bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN Ser. B2, 6.228s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>688,571</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>580,982</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Energy Future Holdings Corp. bank</FONT>&nbsp; </TD>
     <TD 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>term loan FRN Ser. B3, 6.28s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>638,550</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>537,408</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>NRG Energy, Inc. bank term loan</FONT>&nbsp; </TD>
     <TD 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>FRN 7.84s, 2014 </FONT><B><SUP><FONT face=sans-serif size=1>U</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>180,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>166,500</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>NRG Energy, Inc. bank term loan</FONT>&nbsp; </TD>
     <TD 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>FRN 5.262s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>585,047</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>512,566</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>NRG Energy, Inc. bank term loan</FONT>&nbsp; </TD>
     <TD 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>FRN 4.451s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>287,427</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>251,818</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Reliant Energy, Inc. bank term</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>loan FRN 3.6s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>450,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>372,000</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,071,524</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total senior loans (cost $60,459,686)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$51,926,796</FONT>&nbsp; </TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="61%"></TD>
     <TD align=left width="8%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FOREIGN GOVERNMENT BONDS</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>AND NOTES (11.2%)*</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Argentina (Republic of) bonds 7s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$47,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$32,383</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Argentina (Republic of) bonds</FONT>&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>Ser. $V, 10 1/2s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>ARS</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,039,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>405,251</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Argentina (Republic of) bonds FRB</FONT>&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>zero %, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,431,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>622,485</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Argentina (Republic of) sr. unsec.</FONT>&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>unsub. bonds 7s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>653,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>364,048</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Argentina (Republic of) sr. unsec.</FONT>&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>unsub. bonds FRB 3.127s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,819,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,921,888</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brazil (Federal Republic of)</FONT>&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>bonds 6s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>790,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>766,300</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brazil (Federal Republic of)</FONT>&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>notes zero %, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BRL</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,390</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,477,290</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brazil (Federal Republic of)</FONT>&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>notes zero %, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BRL</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>657</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>314,196</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Colombia (Republic of) notes</FONT>&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>10s, 2012 </FONT><B><SUP><FONT face=sans-serif size=1>S</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$3,497,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,881,670</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ecuador (Republic of)</FONT>&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>bonds Ser. REGS, 12s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,645,056</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,505,226</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ecuador (Republic of) 144A unsec.</FONT>&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>bonds 12s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>465,120</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>425,585</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ecuador (Republic of) regs</FONT>&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>notes 9 3/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>125,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>106,250</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ghana (Republic of) bonds 8 1/2s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>285,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>255,788</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Indonesia (Republic of) 144A</FONT>&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>sr. unsec. bonds 6 3/4s, 2014</FONT>&nbsp; </TD>
     <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=right><FONT face=sans-serif size=1>1,518,450</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Japan (Government of) CPI Linked</FONT>&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>bonds Ser. 12, 1.2s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>380,825,600</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,406,369</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Japan (Government of) CPI Linked</FONT>&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>bonds Ser. 8, 1s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPY </FONT></TD>
     <TD noWrap align=right>&nbsp;<FONT face=sans-serif size=1>1,784,316,600&nbsp; </FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>15,901,437</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mexican (Government of)</FONT>&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>bonds Ser. M 10, 8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>MXN</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>17,460,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,563,436</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Spain (Government of) bonds 5.4s,</FONT>&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>2011</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,456,848</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Turkey (Republic of) bonds 16s,</FONT>&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>2012</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>TRL</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,395,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,023,219</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ukraine (Government of) 144A</FONT>&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>bonds 6 3/4s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$795,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>612,150</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ukraine (Government of) 144A</FONT>&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>sr. unsub. 6.58s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>600,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>483,750</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Venezuela (Republic of)</FONT>&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>notes 10 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,485,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,261,350</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Venezuela (Republic of) unsec.</FONT>&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>note FRN Ser. REGS, 3.791s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>770,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>619,850</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Venezuela (Republic of)</FONT>&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>unsub. bonds 5 3/8s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>945,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>833,963</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Total foreign government bonds and notes</FONT>&nbsp; </TD>
     <TD 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>(cost $44,847,774)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$43,759,182</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>35</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_37"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>U.S. GOVERNMENT AND AGENCY</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>MORTGAGE OBLIGATIONS (10.5%)*</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>U.S. Government Guaranteed Mortgage Obligations (0.5%)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Government National Mortgage Association</FONT>&nbsp; </TD>
     <TD 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>Pass-Through Certificates</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 1/2s, with due dates from</FONT>&nbsp; </TD>
     <TD 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>August 20, 2037 to October 20, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,774,071</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,818,769</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,818,769</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>U.S. Government Agency Mortgage Obligations (10.0%)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Federal Home Loan Mortgage</FONT>&nbsp; </TD>
     <TD 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>Corporation Pass-Through</FONT>&nbsp; </TD>
     <TD 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>Certificates 6s, July 1, 2021</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$47,948</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$48,847</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Federal National Mortgage Association</FONT>&nbsp; </TD>
     <TD 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>Pass-Through Certificates</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 1/2s, with due dates from</FONT>&nbsp; </TD>
     <TD 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>March 1, 2036 to December 1, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,421,715</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,459,201</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6s, with due dates from</FONT>&nbsp; </TD>
     <TD 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>August 1, 2037 to September 1, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,263,677</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,324,485</FONT>&nbsp; </TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>U.S. GOVERNMENT AND AGENCY</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>MORTGAGE OBLIGATIONS (10.5%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Federal National Mortgage Association</FONT>&nbsp; </TD>
     <TD 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>Pass-Through Certificates</FONT>&nbsp; </TD>
     <TD 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>6s, May 1, 2021</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$3,753,072</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$3,829,893</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6s, TBA, October 1, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>16,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>16,192,499</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5 1/2s, with due dates from</FONT>&nbsp; </TD>
     <TD 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>May 1, 2037 to December 1, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,594,220</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,575,416</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5 1/2s, with due dates from</FONT>&nbsp; </TD>
     <TD 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>March 1, 2020 to January 1, 2021</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,435,026</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,449,081</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5 1/2s, TBA, October 1, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,987,813</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5s, May 1, 2021</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>85,374</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>84,904</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>4 1/2s, with due dates from</FONT>&nbsp; </TD>
     <TD 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>August 1, 2033 to June 1, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,506,291</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,371,871</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>39,324,010</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Total U.S. government and agency mortgage obligations</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>(cost $40,896,316)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$41,142,779</FONT>&nbsp; </TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="54%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>PURCHASED OPTIONS OUTSTANDING (2.0%)*</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Expiration date/</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Contract</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=1>strike price</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to</FONT>&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>receive a fixed rate of 5.355% 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></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>maturing on November 12, 2019.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Nov-09/5.355</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$18,927,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,336,814</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with Goldman Sachs International for the right to</FONT>&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>receive a fixed rate of 5.355% 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></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>maturing November 12, 2019.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Nov-09/5.355</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,927,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,336,814</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with Goldman Sachs International for the right to</FONT>&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>pay a fixed rate of 5.355% 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></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>maturing on November 12, 2019.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Nov-09/5.355</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,927,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>382,640</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to</FONT>&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>receive a fixed rate of 4.83% 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></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>November 10, 2018.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Nov-08/4.83</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>34,218,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,150,751</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay</FONT>&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>a fixed rate 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></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>November 12, 2019.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Nov-09/5.355</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,927,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>407,498</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to</FONT>&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>pay a fixed rate of 4.83% 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></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>on November 10, 2018.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Nov-08/4.83</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>34,218,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>265,532</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right</FONT>&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>to receive a fixed rate of 5.03% 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></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>maturing on February 16, 2020.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Feb-10/5.03</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>32,120,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,767,564</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to</FONT>&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>pay a fixed rate of 5.03% 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></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>February 16, 2020.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Feb-10/5.03</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>32,120,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,126,448</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total purchased options outstandings (cost $6,918,548)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$7,774,061</FONT>&nbsp; </TD></TR>
<TR>
     <TD>&nbsp; </TD>
     <TD colSpan=2></TD>
     <TD>&nbsp; </TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CONVERTIBLE BONDS AND NOTES (0.1%)*</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>General Cable Corp. cv. company guaranty sr. unsec. notes 1s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$444,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$341,880</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total convertible bonds and notes (cost $356,183)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$341,880</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3></TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>COMMON STOCKS (&#151;%)*</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Shares</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>AboveNet, Inc. &#134;</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>307</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$17,806</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bohai Bay Litigation, LLC (Units) </FONT><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>991</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,017</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>VFB LLC (acquired 10/27/00, cost $594,553) </FONT><B><SUP><FONT face=sans-serif size=1>F </FONT></SUP></B><FONT face=sans-serif size=1>&#135; &#134;</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>948,004</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,610</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total common stocks (cost $605,468)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$51,433</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>36</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<A name="page_38"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CONVERTIBLE PREFERRED STOCKS (&#151;%)*</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Shares</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Emmis Communications Corp. Ser. A,$3.125 cum. cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,393</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$40,681</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lehman Brothers Holdings, Inc. Ser. P, 7.25% cv. pfd. (In default) &#134;</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>667</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>667</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total convertible preferred stocks (cost $738,520)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$41,348</FONT>&nbsp; </TD></TR>
<TR>
     <TD>&nbsp; </TD>
     <TD></TD>
     <TD>&nbsp; </TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="39%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>WARRANTS (&#151;%)* &#134;</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Expiration date</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Strike Price</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Warrants</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>AboveNet, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9/08/10</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$24.00</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>118</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$3,658</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=1>Dayton Superior Corp. 144A </FONT><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6/15/09</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.01</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,020</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,837</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=1>New ASAT Finance, Ltd. (Cayman Islands) </FONT><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2/01/11</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.01</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,380</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10</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=1>Smurfit Kappa Group PLC 144A (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10/01/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR .001</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>508</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11,375</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=1>Total warrants (cost $38,587)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$16,880</FONT>&nbsp; </TD></TR>
<TR>
     <TD>&nbsp; </TD>
     <TD colSpan=3></TD>
     <TD>&nbsp; </TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="61%"></TD>
     <TD width="8%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>SHORT-TERM INVESTMENTS (7.8%)*</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal amount/shares</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Short-term investments held as collateral for loaned securities with yields ranging from 0.50%</FONT>&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>to 3.01% and due dates ranging from October 1, 2008 to November 10, 2008 </FONT><B><SUP><FONT face=sans-serif size=1>d</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,183,294</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,182,030</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>U.S. Treasury Bills for an effective yield of 0.199%, maturity date October 9, 2008 #</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,300,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,299,676</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Federated Prime Obligations Fund</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>21,304,670</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>21,304,670</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Egypt Treasury Bill for an effective yield of 10.58%, maturity date December 2, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>EGP</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,500,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>810,157</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total short-term investments (cost $30,596,533)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$30,596,533</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4></TD></TR>
<TR>
     <TD colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>TOTAL INVESTMENTS</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total investments (cost $522,039,224)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$482,960,023</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1><BR>
Key to holding&#146;s currency abbreviations</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="5%"></TD>
     <TD width="94%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>ARS</FONT>&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><FONT face=sans-serif size=1>AUD</FONT>&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><FONT face=sans-serif size=1>BRL</FONT>&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><FONT face=sans-serif size=1>CAD</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Canadian Dollar</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CHF</FONT>&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><FONT face=sans-serif size=1>EGP</FONT>&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><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Euro</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT>&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><FONT face=sans-serif size=1>INR</FONT>&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><FONT face=sans-serif size=1>JPY</FONT>&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><FONT face=sans-serif size=1>MXN</FONT>&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><FONT face=sans-serif size=1>RUB</FONT>&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><FONT face=sans-serif size=1>SEK</FONT>&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><FONT face=sans-serif size=1>TRL</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Turkish Lira</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>ZAR</FONT>&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>* Percentages indicated are based on net assets of $391,973,353.</FONT></P>
<P align=left><FONT face=sans-serif size=1>&nbsp; &#134; Non-income-producing security.</FONT></P>
<P align=left><FONT face=sans-serif size=1><FONT face=sans-serif size=1>&#134;</FONT><FONT face=sans-serif size=1>&#134;</FONT> 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>&nbsp; &#135; Restricted, excluding 144A securities, as to public resale. The total market value of restricted securities held at September 30, 2008 was $19,610 or less than 0.1% of net assets.</FONT></P>
<P align=left><FONT face=sans-serif size=1>&#135;&#135; 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># A portion of this security was pledged and segregated with the custodian to cover margin requirements for futures contracts at September 30, 2008.</FONT></P>
<P align=left><B><SUP><FONT face=sans-serif size=1>c </FONT></SUP></B><FONT face=sans-serif size=1>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 September 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 (Notes 1 and 6).</FONT></P>
<P align=left><B><SUP><FONT face=sans-serif size=1>d </FONT></SUP></B><FONT face=sans-serif size=1>See Note 1 to the financial statements.</FONT></P>
<P align=left><B><SUP><FONT face=sans-serif size=1>F </FONT></SUP></B><FONT face=sans-serif size=1>Is valued at fair value following procedures approved by the Trustees.</FONT></P>
<P align=left><B><SUP><FONT face=sans-serif size=1>R </FONT></SUP></B><FONT face=sans-serif size=1>Real Estate Investment Trust.</FONT></P>
<P align=left><FONT face=sans-serif size=2>37</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<A name="page_39"></A>
<P align=left><B><SUP><FONT face=sans-serif size=1>S </FONT></SUP></B><FONT face=sans-serif size=1>Securities on loan, in part or in entirety, at September 30, 2008.</FONT></P>
<P align=left><B><SUP><FONT face=sans-serif size=1>U </FONT></SUP></B><FONT face=sans-serif size=1>These securities, in part or in entirety, represent unfunded loan commitments (Note 7).</FONT></P>
<P align=left><FONT face=sans-serif size=1>At September 30, 2008, liquid assets totaling $15,691,457 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 (Note 1).</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 September 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 September 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 September 30, 2008 (as a percentage of Portfolio Value):</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="15%"></TD>
     <TD align=right width="12%"></TD>
     <TD width="10%"></TD>
     <TD width="14%"></TD>
     <TD align=right width="12%"></TD>
     <TD width="10%"></TD>
     <TD width="14%"></TD>
     <TD align=right width="12%"></TD></TR>
<TR vAlign=bottom>
     <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>83.2%</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <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>0.7%</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Turkey</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>0.2%</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Japan</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4.0</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brazil</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>0.5</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Singapore</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>0.1</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>United Kingdom</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2.6</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ireland</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>0.5</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>France</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>0.1</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Luxembourg</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1.4</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ecuador</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>0.4</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Jamaica</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>0.1</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Argentina</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1.1</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mexico</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>0.4</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ghana</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>0.1</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Canada</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1.0</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Indonesia</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>0.3</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Other</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>0.2</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Colombia</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>0.8</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Spain</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>0.3</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100.0%</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Venezuela</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>0.8</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bermuda</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>0.3</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Netherlands</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>0.7</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ukraine</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>0.2</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD></TR></TABLE><BR>
<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><FONT face=sans-serif size=1>FORWARD CURRENCY CONTRACTS TO BUY at 9/30/08</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Aggregate</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Delivery</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized appreciation/</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>(aggregate face value $58,606,709)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>face value</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=right><FONT face=sans-serif size=1>(depreciation)</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=6>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Australian Dollar</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$9,051,639</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$10,474,598</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/15/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$(1,422,959)</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=1>Canadian Dollar</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>858,901</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>892,561</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/15/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(33,660)</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=1>Danish Krone</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>255,145</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>257,369</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/17/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,224)</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=1>Euro</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>15,527,187</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>15,803,520</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/17/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(276,333)</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=1>Japanese Yen</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,530,652</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,456,216</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/19/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>74,436</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=1>Malaysian Ringgit</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,805,354</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,885,880</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/19/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(80,526)</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=1>Mexican Peso</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,506</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,553</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/15/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(47)</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=1>Norwegian Krone</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,407,597</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,907,661</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/17/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(500,064)</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=1>Polish Zloty</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,486,977</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,384,763</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/17/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>102,214</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=1>South African Rand</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,196,652</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,342,391</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/15/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(145,739)</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=1>Swedish Krona</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,924,840</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,978,738</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/17/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(53,898)</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=1>Swiss Franc</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,157,697</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,220,459</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/17/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(62,762)</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=1>Total</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$(2,401,562)</FONT>&nbsp; </TD></TR></TABLE><BR>
<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><FONT face=sans-serif size=1>FORWARD CURRENCY CONTRACTS TO SELL at 9/30/08</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Aggregate</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Delivery</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized appreciation/</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>(aggregate face value $60,628,924)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>face value</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=right><FONT face=sans-serif size=1>(depreciation)</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=6>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Australian Dollar</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$2,895,081</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$3,002,247</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/15/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$107,166</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=1>British Pound</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>15,011,737</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,856,723</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/17/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(155,014)</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=1>Canadian Dollar</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,115,638</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,215,462</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/15/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>99,824</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=1>Euro</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>13,173,812</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>13,435,764</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/17/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>261,952</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=1>Hungarian Forint</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,557,372</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,538,549</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/17/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(18,823)</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=1>Japanese Yen</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,164,093</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,148,865</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/19/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(15,228)</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=1>Mexican Peso</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,585,329</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,646,937</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/15/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>61,608</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=1>Norwegian Krone</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,044,751</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,261,843</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/17/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>217,092</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=1>South African Rand</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,196,652</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,231,241</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/15/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>34,589</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=1>Swedish Krona</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,177,113</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,277,939</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/17/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100,826</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=1>Swiss Franc</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>13,265</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>13,354</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/17/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>89</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=1>Total</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$694,081</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>38</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_40"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="46%"></TD>
     <TD width="15%"></TD>
     <TD width="13%"></TD>
     <TD width="8%"></TD>
     <TD width="10%"></TD>
     <TD width="8%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FUTURES CONTRACTS OUTSTANDING at 9/30/08</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>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=1>Expiration</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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>contracts</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</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=right><FONT face=sans-serif size=1>(depreciation)</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=6>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Australian Government Treasury Bond 10 yr (Long)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,122,831</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dec-08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$3,026</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=1>Canadian Government Bond 10 yr (Long)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>660,733</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dec-08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(8,822)</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=1>Euro-Bobl 5 yr (Long)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>197</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>30,434,469</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dec-08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>293,456</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=1>Euro-Bund 10 yr (Short)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>27</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,374,812</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dec-08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(100,324)</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=1>Euro-Dollar 90 day (Long)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,585,888</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dec-08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(13,022)</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=1>Euro-Dollar 90 day (Short)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>125</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>30,300,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Jun-09</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>64,948</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=1>Euro-Dollar 90 day (Short)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>227</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>54,976,563</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sep-09</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>54,221</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=1>Euro-Dollar 90 day (Short)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>617</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>148,943,800</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dec-09</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>344,897</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=1>Euro-Dollar 90 day (Short)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>21</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,061,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mar-10</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(4,182)</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=1>Euro-Schatz 2 yr (Short)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>217</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>31,894,113</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dec-08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(263,471)</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=1>Japanese Government Bond 10 yr (Short)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>17</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>21,991,911</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dec-08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>51,941</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=1>Sterling Interest Rate 90 day (Long)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>84</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>17,784,223</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Jun-09</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>39,133</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=1>Sterling Interest Rate 90 day (Long)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>59</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,501,791</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sep-09</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>50,357</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=1>U.K. Gilt 10 yr (Long)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,395,976</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dec-08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,656</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=1>U.S. Treasury Bond 20 yr (Long)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1553</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>181,967,922</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dec-08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>252,432</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=1>U.S. Treasury Note 2 yr (Short)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3905</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>833,473,438</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dec-08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(5,512,281)</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=1>U.S. Treasury Note 5 yr (Short)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2333</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>261,842,797</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dec-08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,365,383)</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=1>U.S. Treasury Note 10 yr (Long)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>39</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,470,375</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dec-08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(38,060)</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=1>Total</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$(6,149,478)</FONT>&nbsp; </TD></TR></TABLE><BR>
<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><FONT face=sans-serif size=1>WRITTEN OPTIONS OUTSTANDING at 9/30/08 (premiums received $2,141,204)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Contract</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>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=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>strike price</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>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=1>to pay a fixed rate of 5.00% 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=1>maturing on December 19, 2018.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,060,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dec-08/5.00</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$50,657</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=1>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=1>to receive a fixed rate of 5.00% 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=1>maturing on December 19, 2018.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,060,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dec-08/5.00</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,123</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=1>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=1>to pay a fixed rate of 5.51% 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=1>maturing on May 14, 2022.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>25,011,500</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>May-12/5.51</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,925,886</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=1>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=1>to receive a fixed rate of 5.51% 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=1>maturing on May 14, 2022.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>25,011,500</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>May-12/5.51</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,025,972</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=1>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=1>to receive a fixed rate of 4.82% 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=1>maturing on September 12, 2018.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,469,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sept-13/4.82</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>55,602</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=1>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=1>to pay a fixed rate of 4.82% 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=1>maturing on September 12, 2018.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,469,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sept-13/4.82</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>49,020</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=1>Total</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$3,117,260</FONT>&nbsp; </TD></TR></TABLE><BR>
<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><FONT face=sans-serif size=1>TBA SALE COMMITMENTS OUTSTANDING at 9/30/08 (proceeds receivable $11,189,844)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Settlement</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Agency</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</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=right><FONT face=sans-serif size=1>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FNMA, 6s, October 1, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$8,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/14/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$8,096,250</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=1>FNMA, 5 1/2s, October 1, 2038</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/14/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,987,813</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=1>Total</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$11,084,063</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>39</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_41"></A>
<P align=left><FONT face=sans-serif size=1>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/08</FONT></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="22%"></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></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>&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;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>premium</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>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Swap</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Notional</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>received</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>Payments made by</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments received by</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized appreciation/</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>counterparty</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(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 noWrap align=left colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><I><FONT face=sans-serif size=1>Bank of America, N.A.</FONT></I></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$4,400,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$&#151;</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>$(56,126)</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>46,512</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>212,927</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>23,500,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/18/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.14688%</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>(138,106)</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>3,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/29/18</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>4.75%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>75,315</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>12,570,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/26/18</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>4.54375%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>92,476</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>20,480,000&nbsp;</FONT>&nbsp; </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>E</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/28/28</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.3175%</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>(313,549)</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>5,930,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>E</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/4/28</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.2375%</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>(67,923)</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>215,046,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/10/10</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>3.22969%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(412,715)</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>18,200,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>E</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/17/28</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.9775%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(29,848)</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>12,570,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>E</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/18/28</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.765%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(153,103)</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>7,133,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/18/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.36125%</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>369,373</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>621,434,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/18/10</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>2.86667%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(5,700,700)</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/19/18</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>4.07%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(64,488)</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>13,250,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/26/38</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>4.725%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>125,309</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>5,076,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>15,845</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/1/18</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>4.30%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(62,326)</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>829,035</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>164,450</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(597,289)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><I><FONT face=sans-serif size=1>Citibank, N.A.</FONT></I></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(246,486)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$42,130,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(1,835,298)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>28,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/21/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.80625%</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>(835,044)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>MXN</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>33,510,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/18/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1 month MXN-TIIE-BANXICO</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9.175%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>64,254</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>MXN</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,055,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/22/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1 month MXN-TIIE-BANXICO</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9.21%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>20,538</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>CAD</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,400,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/8/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.119%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month CAD-BA-CDOR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,842</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>AUD</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,435,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>E</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/13/18</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>6.67%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>53,300</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$29,007,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/26/10</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>3.34125%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,799</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>ZAR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>17,770,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/27/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9.86%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month ZAR-JIBAR-SAFEX</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(13,193)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>ZAR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,885,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/2/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9.97%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month ZAR-JIBAR-SAFEX</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(11,750)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$3,726,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/8/18</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>4.3152%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(42,855)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>49,031,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/10/10</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>3.1825%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(138,597)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>AUD</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,800,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>E</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/11/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.1%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month AUD-BBR-BBSW</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>31,569</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$95,602,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/17/13</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>3.4975%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,384,799)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,895,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/18/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.45155%</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>256,709</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>302,431,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/18/10</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>2.92486%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,432,285)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,480,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/25/38</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>4.9425%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>736,691</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>$24,650,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(549,090)</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(2,168,024)</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(363,724)</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>14,501,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(936,437)</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(1,826,931)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><I><FONT face=sans-serif size=1>Citibank, N.A., London</FONT></I></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>206,851</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><I><FONT face=sans-serif size=1>Credit Suisse International</FONT></I></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>69,366</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(237,001)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(262,083)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>62,486</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$563,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(24,265)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,340,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>E</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/13/28</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>5.22%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>218,631</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>40</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_42"></A>
<P align=left><FONT face=sans-serif size=1>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/08 </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I></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="22%"></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></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>&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;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;</TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>premium</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>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Swap</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Notional</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>received</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>Payments made by</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments received by</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized appreciation/</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>counterparty</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(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 noWrap align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><I><FONT face=sans-serif size=1>Credit Suisse International cont.</FONT></I></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$9,550,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>E</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/13/28</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.46%</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>$(212,679)</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>11,827,400</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/16/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.143%</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>42,991</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>9,182,600</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/16/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.299%</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>119,495</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>4,042,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/18/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.41338%</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>175,321</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>124,287,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/18/10</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>2.91916%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,013,499)</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>3,709,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/19/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.635%</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>72,026</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>13,961,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/23/10</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>3.32%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(21,088)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>SEK</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>37,490,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/29/18</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>(64,828)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,880,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/29/18</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>4.85%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>61,979</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>SEK</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,372,500</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/30/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.76%</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>(11,921)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>970,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/30/18</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>4.81%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11,277</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>$18,615,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/23/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.7375%</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>(183,389)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><I><FONT face=sans-serif size=1>Deutsche Bank AG</FONT></I></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,268,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/23/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.75%</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>(91,403)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,268,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/24/38</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>4.977%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>877,977</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(44,965)</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>189,679</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>99,174</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><I><FONT face=sans-serif size=1>Goldman Sachs International</FONT></I></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>SEK</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>88,030,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>E</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(57,115)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>SEK</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>21,090,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>E</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(45,866)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$24,463,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(1,365,482)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>474,770</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(98,247)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>805</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$12,358,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>215,009</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>30,676,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(245,455)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(59,479)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>54,836</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$120,229,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(526,739)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(12,935)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>18,985</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(149,779)</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(319,096)</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(1,697,230)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>23,274</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>694,380,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>E</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(55,253)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(222,246)</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&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>E</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>1,062,962</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(81,144)</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(49,428)</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>761,866</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>93,857,600</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>1,266,051</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(1,417,319)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,990,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>E</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(107,149)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><I><FONT face=sans-serif size=1>JPMorgan Chase Bank, N.A.</FONT></I></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$112,807,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(2,870,709)</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>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>49,665</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(7,579)</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>30,546</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>15,289,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(788,508)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>41</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_43"></A>
<P align=left><FONT face=sans-serif size=1>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/08 </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I></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="22%"></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></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>&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;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>premium</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>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Swap</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Notional</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>received</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>Payments made by</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments received by</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized appreciation/</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>counterparty</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(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 noWrap align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><I><FONT face=sans-serif size=1>JPMorgan Chase Bank, N.A. cont.</FONT></I></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&nbsp;$84,261,000</FONT>&nbsp;</TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$&#151;</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>$(2,249,722)</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(1,241,041)</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(979,894)</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>452,547</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(215,847)</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>360,128</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(561,370)</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(726,301)</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(1,043,800)</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>79,647</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>6,423,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/16/10</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>3.384%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,715</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>3,400,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/17/18</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>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(22,448)</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>19,148,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/22/10</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>3.565%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>90,363</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>MXN</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>33,510,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/19/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1 month MXN-TIIE-BANXICO</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9.235%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>71,609</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$49,717,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/28/10</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>3.5141%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>185,601</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>AUD</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,160,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>EF</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/6/18</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>6.865%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>289,570</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>CAD</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,510,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/5/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.172%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month CAD-BA-CDOR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(771)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$17,500,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>E</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/20/28</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.37%</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>(311,150)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>ZAR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11,390,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/27/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9.86%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month ZAR-JIBAR-SAFEX</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(8,456)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>AUD</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,435,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>EF</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/2/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.53%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month AUD-BBR-BBSW</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(63,683)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>ZAR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,695,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/8/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9.95%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month ZAR-JIBAR-SAFEX</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(7,202)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>ZAR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11,390,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/9/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9.94%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month ZAR-JIBAR-SAFEX</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(19,343)</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>$17,500,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>E</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/17/28</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.9675%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(37,275)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,737,320,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/18/15</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>1.19%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,654,294)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>JPY</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>32,620,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/18/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.17%</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>8,658</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>$17,560,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/23/38</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.70763%</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>(53,256)</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>884,420</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>427,232</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(238,730)</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(81,076)</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(1,515,121)</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>22,964,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(2,325,431)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(1,727,778)</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>1,277,607</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(1,419,420)</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(90,354)</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(2,472,794)</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>890,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>55,634</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(366,002)</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(944,523)</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(2,836,562)</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>996,910</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>16,700,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>1,360,419</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>292,440</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(1,028,335)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><I><FONT face=sans-serif size=1>Merrill Lynch Capital Services, Inc.</FONT></I></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>54,651,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>4.6165%</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>(2,142,516)</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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </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>(171,154)</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>23,910,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>7/22/10</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>3.5375%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100,098</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>1.99625%</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>(245,208)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>42</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_44"></A>
<P align=left><FONT face=sans-serif size=1>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/08 </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD align=right width="5%"></TD>
     <TD width="15%"></TD>
     <TD width="3%"></TD>
     <TD width="8%"></TD>
     <TD width="5%"></TD>
     <TD width="12%"></TD>
     <TD width="22%"></TD>
     <TD width="19%"></TD>
     <TD width="11%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Upfront</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>premium</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>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Swap</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Notional</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>received</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>Payments made by</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments received by</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized appreciation/</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>counterparty</FONT>&nbsp; &nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(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 noWrap align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><I><FONT face=sans-serif size=1>Merrill Lynch Derivative Products AG</FONT></I></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/11/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.05625%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month JPY-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$(135,079)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><I><FONT face=sans-serif size=1>Morgan Stanley Capital Services, Inc.</FONT></I></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </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>4,961</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>5.21%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(154,104)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$448,000</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/29/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.26021%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-LIBOR-BBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(28,851)</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,871,000</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/13/18</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-EURIBOR-Reuters</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.761%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>65,029</FONT>&nbsp; </TD></TR>
<TR>
     <TD align=right colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$(44,565,747)</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><B><SUP><FONT face=sans-serif size=1>E </FONT></SUP></B><FONT face=sans-serif size=1>See Note 1 to the financial statements regarding extended effective dates.</FONT></P>
<P align=left><B><SUP><FONT face=sans-serif size=1>F </FONT></SUP></B><FONT face=sans-serif size=1>Is valued at fair value following procedures approved by the Trustees.</FONT></P>
<P align=left><FONT face=sans-serif size=1>TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/08</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="5%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD align=center width="10%">&nbsp;</TD>
     <TD width="14%"></TD>
     <TD width="19%"></TD>
     <TD width="20%"></TD>
     <TD width="12%"></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=center>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Termi-</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Swap</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Notional</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>nation</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fixed payments received (paid)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total return 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><FONT face=sans-serif size=1>counterparty</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=center>&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>by 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=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><I><FONT face=sans-serif size=1>Bank of America, N.A.</FONT></I></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$23,496,000&nbsp; </FONT></TD>
     <TD noWrap align=center>&nbsp;<B><SUP><FONT face=sans-serif size=1>1F</FONT></SUP></B></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/1/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Banc of America Securities AAA 10 year</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>The spread return of Banc of</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$(2,720,343)</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=center>&nbsp;</TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index multiplied by the modified duration</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>America Securities CMBS 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=center>&nbsp;</TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>factor minus 20 bp</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10 year Index</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Goldman Sachs International</FONT></I>&nbsp; </TD>
     <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>&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 USD-LIBOR-BBA)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ford Credit Auto Owner Trust</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,321</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=center>&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 Class D</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,720,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&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 Eurozone HICP</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>201,621</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=center>&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=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,600,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&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 Price Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(149,777)</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=center>&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=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,600,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&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 Eurozone HICP</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>172,351</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=center>&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=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,600,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&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 Price Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(165,868)</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=center>&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=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,600,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&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 Eurozone HICP</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>187,496</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=center>&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=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,760,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&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 Retail Price</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(123,830)</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=center>&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=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,433,000 &nbsp;</FONT></TD>
     <TD noWrap align=center>&nbsp;<B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B></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 UK Retail Price</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(384,775)</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=center>&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 tobacco</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,912,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&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 UK Retail Price</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>192,303</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=center>&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 tobacco</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Merrill Lynch Capital Services</FONT></I>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$68,804,968</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/14/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(2.87%) 5.00%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>FNMA 5.00% 30 YR TBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(606,657)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>UBS AG</FONT></I>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>133,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/14/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(2.87%) 5.50%</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>FNMA 5.50% 30 YR TBA</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,260,710</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Total</FONT></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$(135,448)</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><B><SUP><FONT face=sans-serif size=1>F </FONT></SUP></B><FONT face=sans-serif size=1>Is valued at fair value following procedures approved by the Trustees.</FONT></P>
<P align=left><B><SUP><FONT face=sans-serif size=1>1 </FONT></SUP></B><FONT face=sans-serif size=1>Fund receives the net fixed and total return payment if positive and pays the net fixed and total return payment if negative.</FONT></P>
<P align=left><FONT face=sans-serif size=2>43</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<TR>
     <TD width="24%"></TD>
     <TD width="13%"></TD>
     <TD align=center width="5%"></TD>
     <TD width="12%"></TD>
     <TD width="5%"></TD>
     <TD width="13%"></TD>
     <TD width="15%"></TD>
     <TD width="13%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=1>CREDIT DEFAULT CONTRACTS OUTSTANDING at 9/30/08</FONT></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fixed payments</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Upfront 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=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>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>Swap counterparty / Referenced debt*</FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;</TD>
     <TD noWrap align=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=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=right><FONT face=sans-serif size=1>(depreciation)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Bank of America, N.A.</FONT></I>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Abitibibowater Inc., 6 1/2%, 6/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$&#151;</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=left></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>$48</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Clear Channel Communications, 5 3/4%, 1/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>345,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>635 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(508)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX NA CMBX BBB Index</FONT>&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&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B></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>92,770</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 9 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=left></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>657,740</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Financial Security Assurance Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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=left></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>(161,118)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lehman Brothers Holdings, 6 5/8%, 1/18/12</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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=left></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>(1,017,415)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Nalco, Co. 7.75%,11/15/11</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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=left></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>(1,241)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Visteon Corp., 7%, 3/10/14</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(127,500)</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>480,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></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>(500 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>103,802</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Barclays Bank PLC</FONT></I>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<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>&#151;</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=left></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>18,574</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Peru CD</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>
     <TD noWrap align=left></TD>
     <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>17,123</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Bear Stearns Credit Products, Inc.</FONT></I>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Claire&#146;s Stores, 9 5/8%, 6/1/15</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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=left></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>(20,757)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Citibank, N.A.</FONT></I>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Abitibibowater Inc., 6 1/2%, 6/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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=left></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>604</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Abitibibowater Inc., 6 1/2%, 6/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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=left></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>841</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Abitibibowater Inc., 6 1/2%, 6/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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=left></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>922</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Advanced Micro Devices Inc., 7.75%, 11/1/12</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,155,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></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>(130,512)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE A Index</FONT>&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=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>369 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(696,705)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE AAA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>171,737</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>906,388</FONT>&nbsp; </TD>
     <TD noWrap align=left></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>40,196</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE AAA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>717,663</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,892,880</FONT>&nbsp; </TD>
     <TD noWrap align=left></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>152,703</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE AAA Index</FONT>&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=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>76 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(423,024)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX NA HE AAA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>105,675</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>977,438</FONT>&nbsp; </TD>
     <TD noWrap align=left></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>25,066</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX NA HE AAA Index</FONT>&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>4,198,033</FONT>&nbsp; </TD>
     <TD noWrap align=left></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>8,948</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX NA HE AAA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>465,426</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,223,270</FONT>&nbsp; </TD>
     <TD noWrap align=left></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>100,701</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX NA HE PEN AAA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>611,503</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,437,433</FONT>&nbsp; </TD>
     <TD noWrap align=left></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>(32,486)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX NA HE PEN AAA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>686,668</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,197,110</FONT>&nbsp; </TD>
     <TD noWrap align=left></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>87,893</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freescale Semiconductor, 8 7/8%, 12/15/14</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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=left></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>(32,930)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lear Corp., term loan</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>265,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B></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>35,232</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lear Corp., term loan</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>265,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B></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>700 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(5,148)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Argentina, 8.28%, 12/31/33</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>330,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B></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>(1,170 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(17,559)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Argentina, 8.28%, 12/31/33</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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=left></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>(945 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,307</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Venezuela, 9 1/4%, 9/15/27</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>300,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B></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>940 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,561</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sanmina-Sci Corp., 8 1/8%, 3/1/16</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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=left></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>(6,267)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sanmina-Sci Corp., 8 1/8%, 3/1/16</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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=left></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>(35)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sara Lee Corp., 6 1/8%, 11/1/32</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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=left></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>133</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Seat Pagine Gialle S.P.A., 8%, 4/30/14</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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=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>815 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(99,703)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Wind Acquisition 9 3/4%, 12/1/15</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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=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>(495 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,207</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Credit Suisse First Boston International</FONT></I>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ukraine Government, 7.65%, 6/11/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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=left></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>(128,098)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Credit Suisse International</FONT></I>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Advanced Micro Devices, 7 3/4%, 11/1/12</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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=left></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>(24,994)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE AAA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>292,504</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,503,147</FONT>&nbsp; </TD>
     <TD noWrap align=left></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>85,849</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX NA HE AAA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,595,625</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,875,000</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>76 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>186,875</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 10</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>203,700</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,940,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></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>15,074</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 10</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,402,500</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>13,200,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></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>119,064</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 10</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,356,745</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>65,710,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></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>986,633</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CMB NA CMBX AA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(17,979)</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>45,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B></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>(165 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(5,505)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CMB NA CMBX AA Index</FONT>&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=left></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>(36,609)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CMB NA CMBX AAA Index</FONT>&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=left></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>60,733</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CMB NA CMBX AAA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>769,810</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,914,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></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>333,777</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CMB NA CMBX AAA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>722,002</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,583,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></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>226,560</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CMB NA CMBX AAA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>739,618</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,583,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></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>244,177</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CMB NA CMBX AAA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>622,000</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,583,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></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>126,558</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CMB NA CMBX AAA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>188,449</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,396,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></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>64,566</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>44</FONT></P>
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     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=1>CREDIT DEFAULT CONTRACTS OUTSTANDING at 9/30/08 </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I></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></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Upfront 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>Swap counterparty / Referenced debt*</FONT>&nbsp;&nbsp;&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 colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Credit Suisse International cont.</FONT></I></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>DJ CMB NA CMBX AAA Index</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$785,303</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$6,889,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2/17/51</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>35 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$ 173,966</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CMB NA CMBX AAA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(99,505)</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,267,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></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>10,191</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CMB NA CMBX AAA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(47,211)</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>633,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></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>8,962</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dynegy Holdings Inc., 6 7/8%, 4/1/11</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(30,157)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freeport-McMoRan Copper &amp; Gold, Inc., bank term loan</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(6,857)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freeport-McMoRan Copper &amp; Gold, Inc., bank term loan</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(970)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Harrahs Operating Co. Inc., 5 5/8%, 6/1/15</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(5,014)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>MediaCom LLC/ Cap Corp., 9 1/2%, 1/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>95,000</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>735 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,875)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>MediaCom LLC/ Cap Corp., 9 1/2%, 1/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>34,000</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>725 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(691)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Peru, 8 3/4%, 11/21/33</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(39,912)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Deutsche Bank AG</FONT></I>&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=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX NA HE A Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,361,360</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,496,000</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>814</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX NA HE AAA Index</FONT>&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>941,524</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>21,317</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX NA HE AAA Index</FONT>&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>2,979,875</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>(16,567)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX NA HE PEN AAA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>608,711</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,437,433</FONT>&nbsp; </TD>
     <TD noWrap align=center></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>(31,753)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 10</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,330,460</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>58,690,000</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>999,888</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 10</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,391,413</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>59,270,000</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>1,057,575</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ iTraxx Europe Series 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>3,665</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ iTraxx Europe Series 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>90,747</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>General Electric Capital Corp., 6%, 6/15/12</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(49,932)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Grohe Holding GmBh, 8 5/8%, 10/1/14</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(931)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Grohe Holding GmBh, 8 5/8%, 10/1/14</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(3,358)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>India Government Bond, 5.87%, 1/2/10</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$5,800,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B></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>24,548</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>iStar Financial, Inc., 6%, 12/15/10</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>26,662</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>(15,101)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Korea Monetary STAB Bond, 5%, 2/14/09</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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></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>2,225</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Korea Monetary STAB Bond, 5.04%, 1/24/09</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>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>3,925</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Korea Monetary STAB Bond, 5.15%, 2/12/10</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,365,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B></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>4,956</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Malaysian Government, 6.844%, 10/1/09</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(1,558)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Nalco, Co. 7.75%, 11/15/11</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(111)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Argentina, 8.28%, 12/31/33</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>117,078</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Brazil, 12 1/4%, 3/6/30</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(60,912)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of China, zero coupon, 12/5/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,275,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B></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>14,681</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Indonesia, 6.75%, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(35,188)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Peru, 8 3/4%, 11/21/33</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(39,220)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of South Korea, 5.45%, 1/23/10</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>870,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B></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>1,712</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Turkey, 11 7/8%, 1/15/30</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(49,672)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Venezuela, 9 1/4%, 9/15/27</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(144,603)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Venezuela, 9 1/4%, 9/15/27</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>940 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,598</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Smurfit Kappa Funding, 10 1/8%, 10/1/12</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(5,890)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Smurfit Kappa Funding, 7 3/4%, 4/1/15</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>425,000</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>715 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(20,733)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>United Mexican States, 7.5%, 4/8/33</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(68,801)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>United Mexican States, 7.5%, 4/8/33</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(39,409)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Virgin Media Finance PLC, 8 3/4%, 4/15/14</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(37,952)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Virgin Media Finance PLC, 8 3/4%, 4/15/14</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>535 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(26,163)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Goldman Sachs International</FONT></I>&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=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Advanced Micro Devices, 7 3/4%, 11/1/12</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(23,761)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Any one of the underlying securities in the basket</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=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>of BB CMBS securities</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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><B><FONT face=sans-serif size=1>a</FONT></B>&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>(625,233)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE A Index</FONT>&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>(180,853)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE AAA Index</FONT>&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></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>(194,385)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX NA HE AAA Index</FONT>&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>1,446,259</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>(8,041)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA CMBX AAA Index</FONT>&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>(60,106)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 9 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>(1,598,562)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 9 Index 25-35% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,840,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B></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>137,868</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 9 Index 25-35% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,840,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B></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>(133,217)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>45</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>CREDIT DEFAULT CONTRACTS OUTSTANDING at 9/30/08 </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Upfront 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>Swap counterparty / 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 colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Goldman Sachs International cont.</FONT></I>&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=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 9 Index 25-35% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$3,280,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/10</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>305 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$(12,095)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 10 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>102,813</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 10 Index 30-100% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>24,127,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B></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>(34,936)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lehman Brothers Holdings, 6 5/8%, 1/18/12</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>1,018,021</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lighthouse International Co, SA, 8%, 4/30/14</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(106,000)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Merrill Lynch &amp; Co., 5%, 1/15/15</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>202,118</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Rhodia SA, Euribor+275, 10/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>12,568</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Rhodia SA, Euribor+275, 10/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>8,588</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Smurfit Kappa Funding, 7 3/4%, 4/1/15</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>390,000</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>720 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(19,353)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Wind Acquisition 9 3/4%, 12/1/15</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>5,397</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Wind Acquisition 9 3/4%, 12/1/15</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>13,272</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>JPMorgan Chase Bank, N.A.</FONT></I>&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=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Codere Finance (Luxembourg) S.A., 8.25%, 6/15/15</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(2,210)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE AAA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>189,164</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$972,095</FONT>&nbsp; </TD>
     <TD noWrap align=center></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>55,519</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 9 Index 25-35% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,911,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B></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>(138,567)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 10 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>(35,293)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 10 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>(4,682)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 9 Index, 30-100% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,440,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B></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>122,400</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CMB NA CMBX AAA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(50,232)</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>645,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B></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>7,974</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ iTraxx Europe Crossover Series 8 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>(52,980)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freeport-McMoRan Copper &amp; Gold, Inc., bank term loan</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(3,072)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>General Growth Properties, conv. bond 3.98%, 4/15/27</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,375,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B></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>775 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(289,501)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>iStar Financial, Inc., 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></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>(13,577)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Argentina, 8.28%, 12/31/33</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(196,932)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Hungary, 4 3/4%, 2/3/15</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>1,062</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Turkey, 11 7/8%, 1/15/30</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(61,713)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Turkey, 11 7/8%, 1/15/30</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(47,551)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Turkey, 11 7/8%, 1/15/30</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(6,869)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Russian Federation, 7 1/2%, 3/31/30</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(220,978)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sanmina-Sci Corp., 8 1/8%, 3/1/16</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(4,309)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Smurfit-Stone Container Enterprises, 7 1/2%, 6/1/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>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>(6,090)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>JPMorgan Securities, Inc.</FONT></I>&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=left>&nbsp; </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>1,024,075</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11,918,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B></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>(51,425)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Merrill Lynch Capital Services, Inc.</FONT></I>&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=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bombardier, Inc, 6 3/4%, 5/1/12</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>11,432</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>D.R. Horton Inc., 7 7/8%, 8/15/11</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>8,596</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Pulte Homes Inc., 5.25%, 1/15/14</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(40,562)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Merrill Lynch International</FONT></I>&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=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dynegy Holdings Inc., 6 7/8%, 4/1/11</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(30,305)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>KinderMorgan, 6 1/2%, 9/1/12</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>16,462</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left><I><FONT face=sans-serif size=1>Morgan Stanley Capital Services, Inc.</FONT></I>&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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     <TD noWrap align=left><FONT face=sans-serif size=1>Advanced Micro Devices, 7 3/4%, 11/1/12</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(58,658)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Aramark Services, Inc., 8.5%, 2/1/15</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(4,624)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
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</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bombardier, Inc, 6 3/4%, 5/1/12</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>13,330</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bundesrepublic of Deutschland, 6%, 6/20/16</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>(20,594)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
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</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></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>(20,678)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX NA CMBX BBB Index</FONT>&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></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>32,606</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 7 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>96,970</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series 9 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>(132,669)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 10 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>460,160</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 10 Index 30-100% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>43,955,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B></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>(102,635)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 10 Index 30-100% tranche</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11,855,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B></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>42,779</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series 7 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=center>&nbsp; </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>(87,798)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CMB NA CMBX AA Index</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(276,753)</FONT>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,213,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></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>(48,476)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ 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=center>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,245,000</FONT>&nbsp; </TD>
     <TD noWrap align=center></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>214,909</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
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     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>CREDIT DEFAULT CONTRACTS OUTSTANDING at 9/30/08 </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp; </TD>
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     <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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Upfront premium</FONT>&nbsp; </TD>
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     <TD noWrap align=right><FONT face=sans-serif size=1>Notional</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>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>Swap counterparty / Referenced debt*</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>received (paid)**</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT>&nbsp; </TD>
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     <TD noWrap align=left><I><FONT face=sans-serif size=1>Morgan Stanley Capital Services, Inc. cont.</FONT></I>&nbsp; </TD>
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     <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>$3,570,928</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$32,905,500</FONT>&nbsp; </TD>
     <TD noWrap align=left></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>$609,031</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Dominican Republic, 8 5/8%, 4/20/27</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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=left></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>47,353</FONT>&nbsp; </TD></TR>
<TR>
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<HR noShade SIZE=1>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Dynegy Holdings Inc., 6 7/8%, 4/1/11</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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=left></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>(16,729)</FONT>&nbsp; </TD></TR>
<TR>
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<HR noShade SIZE=1>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freeport-McMoRan Copper &amp; Gold, Inc., bank term loan</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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=left></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>(18,724)</FONT>&nbsp; </TD></TR>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freeport-McMoRan Copper &amp; Gold, Inc., bank term loan</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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=left></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>(1,157)</FONT>&nbsp; </TD></TR>
<TR>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Nalco, Co. 7.75%, 11/15/11</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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=left></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>(1,536)</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Nalco, Co. 7.75%, 11/15/11</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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=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>460 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,181</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Austria, 5 1/4%, 1/4/11</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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=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>(17 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,569</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Venezuela, 9 1/4%, 9/15/27</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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=left></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>(75,751)</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left><I><FONT face=sans-serif size=1>UBS, AG</FONT></I>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
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     <TD noWrap align=left>&nbsp; </TD>
     <TD 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>Meritage Homes Corp., 7%, 5/1/14</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>135,000&nbsp;</FONT> </TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B></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>(760 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(4,238)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,238,694</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>&nbsp;*Payments related to the reference debt are made upon a credit default event.</FONT></P>
<P align=left><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></P>
<P align=left><B><SUP><FONT face=sans-serif size=1>a </FONT></SUP></B><FONT face=sans-serif size=1>Terminating on the date on which the notional amount is reduced to zero or the date on which the assets securing the reference entity are liquidated. </FONT></P>
<P align=left><B><SUP><FONT face=sans-serif size=1>F </FONT></SUP></B><FONT face=sans-serif size=1>Is valued at fair value following procedures approved by the Trustees.</FONT></P>
<P align=left><FONT face=sans-serif size=1>The accompanying notes are an integral part of these financial statements.</FONT></P>
<P align=left><FONT face=sans-serif size=2>47</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

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<A name="page_49"></A>
<P align=left><B><FONT face=sans-serif size=2>Statement of assets and liabilities </FONT></B><FONT face=sans-serif size=2>9/30/08</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="84%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>ASSETS</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Investment in securities, at value, including $1,154,151</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>of securities on loan (Note 1):</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Unaffiliated issuers (identified cost $522,039,224)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$482,960,023</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Cash</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,661,625</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Foreign currency (cost $257,598) (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>239,911</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dividends, interest and other receivables</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,585,951</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Receivable for securities sold</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,681,518</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Receivable for sales of delayed delivery securities</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>(Notes 1, 6 and 7)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11,213,135</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Unrealized appreciation on swap contracts (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>29,903,574</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Receivable for variation margin (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,728,548</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Receivable for open forward currency contracts (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,128,489</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Receivable for closed forward currency contracts (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,732,506</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Receivable for open swap contracts (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>15,845</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Receivable for closed swap contracts (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>13,803,592</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Premium paid on swap contract (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,138,272</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total assets</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>567,792,989</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2></TD></TR>
<TR>
     <TD colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIABILITIES</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Distributions payable to shareholders</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,070,198</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payable for securities purchased</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,749,185</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payable for purchases of delayed delivery securities</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>(Notes 1, 6 and 7)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>20,086,481</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payable for shares of the fund repurchased</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,370,074</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payable for compensation of Manager (Notes 2 and 5)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>823,533</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payable for investor servicing fees (Note 2)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,305</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payable for custodian fees (Note 2)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,901</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payable for Trustee compensation and expenses (Note 2)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>127,951</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payable for administrative services (Note 2)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,621</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payable for open forward currency contracts (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,835,970</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payable for closed forward currency contracts (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,248,317</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payable for open swap contracts (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,873,803</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payable for closed swap contracts (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,231,058</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Premium received on swap contracts (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>29,399,418</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Written options outstanding, at value</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>(premiums received $2,141,204) (Notes 1 and 3)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,117,260</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Unrealized depreciation on swap contracts (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>73,366,075</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payable for receivable purchase agreement (Note 2)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>169,014</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>TBA sales commitments, at value</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>(proceeds receivable $11,189,844) (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11,084,063</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Collateral on securities loaned, at value (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,182,030</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Other accrued expenses</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>59,379</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total liabilities</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>175,819,636</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net assets</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$391,973,353</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="84%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>REPRESENTED BY</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Paid-in capital (Unlimited shares authorized) (Notes 1 and 4)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$585,852,423</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Undistributed net investment income (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>32,192,969</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Accumulated net realized loss on investments and</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>foreign currency transactions (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(134,913,194)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net unrealized depreciation of investments and</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>assets and liabilities in foreign currencies</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(91,158,845)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total &#151; Representing net assets applicable to</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>capital shares outstanding</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$391,973,353</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2></TD></TR>
<TR>
     <TD colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net asset value per share</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>($391,973,353 divided by 66,640,509 shares)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$5.88</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>The accompanying notes are an integral part of these financial statements.</FONT></P>
<P align=left><FONT face=sans-serif size=2>48</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_50"></A>
<P align=left><B><FONT face=sans-serif size=2>Statement of operations </FONT></B><FONT face=sans-serif size=2>Year ended 9/30/08</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="84%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>INVESTMENT INCOME</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Interest (net of foreign tax of $55,993)(including</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>interest income of $800,249 from investments in</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>affiliated issuers) (Note 5)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$41,754,623</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dividends</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,553</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securities lending</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>21,792</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total investment income</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>41,783,968</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2></TD></TR>
<TR>
     <TD colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>EXPENSES</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Compensation of Manager (Note 2)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,787,224</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Investor servicing fees (Note 2)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>255,594</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Custodian fees (Note 2)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>95,420</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Trustee compensation and expenses (Note 2)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>38,766</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Administrative services (Note 2)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>25,989</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Other</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>664,609</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fees waived and reimbursed by Manager (Note 5)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(15,864)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total expenses</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,851,738</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Expense reduction (Note 2)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(115,210)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net expenses</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,736,528</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>&nbsp;&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net investment income</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>37,047,440</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net realized gain on investments (Notes 1 and 3)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,653,685</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net increase from payment by affiliate (Note 2)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>179,419</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net realized loss on swap contracts (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(6,766,448)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net realized loss on futures contracts (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(13,425,043)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net realized loss on foreign currency transactions (Note 1)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(3,209,081)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net realized gain on written options (Notes 1 and 3)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,210,299</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net unrealized depreciation of assets and liabilities in</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>foreign currencies during the year</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,990,850)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net unrealized depreciation of investments, futures</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>contracts, swap contracts, written options, and TBA sale</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>commitments during the year</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(92,090,753)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net loss on investments</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(94,438,772)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net decrease in net assets resulting from operations</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$(57,391,332)</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><B><FONT face=sans-serif size=2>Statement of changes in net assets</FONT></B></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DECREASE IN NET ASSETS</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=right><FONT face=sans-serif size=1>Year ended</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Year ended</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9/30/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9/30/07</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Operations:</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net investment income</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$37,047,440</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$31,959,763</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net realized loss on investments</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>and foreign currency transactions</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(357,169)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(4,719,765)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net unrealized appreciation (depreciation)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>of investments and assets and liabilities in</FONT>&nbsp; </TD>
     <TD 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>foreign currencies</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(94,081,603)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,592,414</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net increase (decrease) in net assets</FONT>&nbsp; </TD>
     <TD 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>resulting from operations</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(57,391,332)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>32,832,412</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Distributions to shareholders (Note 1):</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>From net investment income</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(36,112,991)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(32,136,740)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Decrease from shares repurchased (Note 4)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(93,333,036)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(86,295,031)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total decrease in net assets</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(186,837,359)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(85,599,359)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3></TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>NET ASSETS</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Beginning of year</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>578,810,712</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>664,410,071</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>End of year </FONT><FONT face=sans-serif size=1>(including undistributed net</FONT>&nbsp; </TD>
     <TD 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>investment income of $32,192,969 and</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>$12,989,996, respectively)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$391,973,353</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$578,810,712</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>NUMBER OF FUND SHARES</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Shares outstanding at beginning of year</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>81,137,030</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>93,824,140</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Shares repurchased (Note 4)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(14,496,521)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(12,681,340)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Retirement of shares held by the fund</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(5,770)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Shares outstanding at end of year</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>66,640,509</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>81,137,030</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>The accompanying notes are an integral part of these financial statements.</FONT></P>
<P align=left><FONT face=sans-serif size=2>49</FONT></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_51"></A>
<P align=left><B><FONT face=sans-serif size=2>Financial highlights </FONT></B><FONT face=sans-serif size=2>(For a common share outstanding throughout the period)</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="30%"></TD>
     <TD width="4%"></TD>
     <TD width="10%"></TD>
     <TD width="4%"></TD>
     <TD width="10%"></TD>
     <TD width="4%"></TD>
     <TD width="10%"></TD>
     <TD width="4%"></TD>
     <TD width="10%"></TD>
     <TD width="4%"></TD>
     <TD width="10%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>PER-SHARE OPERATING PERFORMANCE</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=center colSpan=2><FONT face=sans-serif size=1>Year ended</FONT></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD></TD>
     <TD></TD>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9/30/08</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9/30/07</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9/30/06</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9/30/05</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9/30/04</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net asset value, beginning of period</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$7.13</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$7.08</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$7.07</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$7.13</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$6.99</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Investment operations:</FONT></I>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=11>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net investment income </FONT><B><SUP><FONT face=sans-serif size=1>a</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.49 </FONT><B><SUP><FONT face=sans-serif size=1>d</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.36 </FONT><B><SUP><FONT face=sans-serif size=1>d</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.34 </FONT><B><SUP><FONT face=sans-serif size=1>d</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.32 </FONT><B><SUP><FONT face=sans-serif size=1>d</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.40 </FONT><B><SUP><FONT face=sans-serif size=1>d</FONT></SUP></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=11>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net realized and unrealized gain (loss) on investments</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1.28)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.01</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(.04)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.04</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.23</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=11>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total from investment operations</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(.79)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.37</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.30</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.36</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.63</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=1>Less distributions:</FONT></I>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=11>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>From net investment income</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(.49)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(.36)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(.35)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(.42)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(.49)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=11>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total distributions</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(.49)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(.36)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(.35)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(.42)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(.49)</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Increase from shares repurchased</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.03</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.04</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.06</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=11>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net asset value, end of period</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$5.88</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$7.13</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$7.08</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$7.07</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$7.13</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=11>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Market value, end of period</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$5.39</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$6.41</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$6.15</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$6.25</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$6.73</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=11>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total return at market value (%) </FONT><B><SUP><FONT face=sans-serif size=1>b</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(8.92)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10.15</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4.17</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(0.98)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12.95</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=11>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>RATIOS AND SUPPLEMENTAL DATA</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=11>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net assets, end of period (in thousands)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$391,973</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$578,811</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$664,410</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$709,266</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$715,596</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=11>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ratio of expenses to average net assets (%) </FONT><B><SUP><FONT face=sans-serif size=1>c</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.96 </FONT><B><SUP><FONT face=sans-serif size=1>d</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.90 </FONT><B><SUP><FONT face=sans-serif size=1>d</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.89 </FONT><B><SUP><FONT face=sans-serif size=1>d</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.87 </FONT><B><SUP><FONT face=sans-serif size=1>d</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>.86 </FONT><B><SUP><FONT face=sans-serif size=1>d</FONT></SUP></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=11>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ratio of net investment income to average net assets (%)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7.29 </FONT><B><SUP><FONT face=sans-serif size=1>d</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5.01 </FONT><B><SUP><FONT face=sans-serif size=1>d</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4.84 </FONT><B><SUP><FONT face=sans-serif size=1>d</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4.43 </FONT><B><SUP><FONT face=sans-serif size=1>d</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5.61 </FONT><B><SUP><FONT face=sans-serif size=1>d</FONT></SUP></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=11>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Portfolio turnover (%)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>158.75 </FONT><B><SUP><FONT face=sans-serif size=1>e</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>77.78 </FONT><B><SUP><FONT face=sans-serif size=1>e</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>113.12 </FONT><B><SUP><FONT face=sans-serif size=1>e</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>165.33 </FONT><B><SUP><FONT face=sans-serif size=1>e</FONT></SUP></B>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>113.46</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=11>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><B><SUP><FONT face=sans-serif size=1>a </FONT></SUP></B><FONT face=sans-serif size=1>Per share net investment income has been determined on the basis of weighted average number of shares outstanding during the period. </FONT></P>
<P align=left><B><SUP><FONT face=sans-serif size=1>b </FONT></SUP></B><FONT face=sans-serif size=1>Total return assumes dividend reinvestment. </FONT></P>
<P align=left><B><SUP><FONT face=sans-serif size=1>c </FONT></SUP></B><FONT face=sans-serif size=1>Includes amounts paid through expense offset arrangements (Note 2).</FONT></P>
<P align=left><B><SUP><FONT face=sans-serif size=1>d </FONT></SUP></B><FONT face=sans-serif size=1>Reflects waivers of certain fund expenses in connection with investments in Putnam Prime Money Market Fund during the period. As a result of such waivers, the expenses of the fund reflect a reduction of the following amounts (Note 5):</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="25%"></TD>
     <TD width="25%"></TD>
     <TD width="25%"></TD>
     <TD width="25%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Percentage of average net assets</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>September 30, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&lt;0.01%</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>September 30, 2007</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>0.02</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>September 30, 2006</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>0.02</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>September 30, 2005</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>0.02</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>September 30, 2004</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&lt;0.01</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR></TABLE><BR>
<P align=left><B><SUP><FONT face=sans-serif size=1>e </FONT></SUP></B><FONT face=sans-serif size=1>Portfolio turnover excludes dollar roll transactions.</FONT></P>
<P align=left><FONT face=sans-serif size=1>The accompanying notes are an integral part of these financial statements.</FONT></P>
<P align=left><FONT face=sans-serif size=2>50</FONT></P>
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<P align=left><B><FONT face=sans-serif size=2>Notes to financial statements </FONT></B><FONT face=sans-serif size=2>9/30/08</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Note 1: Significant accounting policies</FONT></B></P>
<P align=left><FONT face=sans-serif size=1>Putnam Master Intermediate Income Trust (the &#147;fund&#148;), a Massachusetts business trust, is registered under the Investment Company Act of 1940, as amended, as a diversified, closed-end management investment company and is authorized to issue an unlimited number of shares. The fund&#146;s investment objective is to seek, with equal emphasis, high current income and relative stability of net asset value, by allocating its investments among the U.S. investment grade sector, high-yield sector and international sector. The fund invests in higher yielding, lower rated bonds that have a higher rate of default. The fund may invest a significant portion of their assets in securitized debt instruments, including mortgage-backed and asset-backed investments. The yields and values of these investments are sensitive to changes in interest rates, the rate of principal payments on the underlying assets and the market&#146;s perception of the issuers. The market for these i
nvestments may be volatile and limited, which may make them difficult to buy or sell.</FONT></P>
<P align=left><FONT face=sans-serif size=1>In the normal course of business, the fund enters into contracts that may include agreements to indemnify another party under given circumstances. The fund&#146;s maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the fund. However, the fund&#146;s management team expects the risk of material loss to be remote.</FONT></P>
<P align=left><FONT face=sans-serif size=1>The following is a summary of significant accounting policies consistently followed by the fund in the preparation of its financial statements. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.</FONT></P>
<P align=left><FONT face=sans-serif size=1><B>A) Security valuation </B></FONT><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 &#151; as in the case of some securities traded over-the-counter &#151; a security is valued at its last reported bid price. Market quotations are not considered to be readily available for certain debt obligations; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Investment Management, LLC (&#147;Putnam Management&#148;), the fund&#146;s manager, a wholly-owned subsidiary of Putnam, LLC. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, genera
lly recognized by institutional traders, between securities. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors, including movements in the U.S. securities markets. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. To the extent a pricing service or dealer is unable to value a security or provides a valuation which Putnam Management does not believe accurately reflects the security&#146;s fair value, th
e security will be valued at fair value by Putnam Management. Certain investments, including certain restricted securities and derivatives, are also valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. </FONT><FONT face=sans-serif size=1>By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and does not reflect an actual market price, which may be different by a material amount.</FONT></P>
<P align=left><FONT face=sans-serif size=1><B>B) Joint trading account </B></FONT><FONT face=sans-serif size=1>Pursuant to an exemptive order from the Securities and Exchange Commission (the &#147;SEC&#148;), the fund may transfer uninvested cash balances, including cash collateral received under security lending arrangements, into a joint trading account along with the cash of other registered investment companies and certain other accounts managed by Putnam Management. These balances may be invested in issues of short-term investments having maturities of up to 397 days for collateral received under security lending arrangements and up to 90 days for other cash investments.</FONT></P>
<P align=left><FONT face=sans-serif size=1><B>C) Security transactions and related investment income </B></FONT><FONT face=sans-serif size=1>Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis.</FONT></P>
<P align=left><FONT face=sans-serif size=1>Interest income is recorded on the accrual basis. Dividend income, net of applicable withholding taxes, is recognized on the ex-dividend date except that certain dividends from foreign securities, if any, are recognized as soon as the fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Dividends representing a return of capital or capital gains, if any, are reflected as a reduction of cost and/or as a realized gain. All premiums/discounts are amortized/accreted on a yield-to-maturity basis.</FONT></P>
<P align=left><FONT face=sans-serif size=1>Securities purchased or sold on a delayed delivery basis may be settled a month or more after the trade date; interest income is accrued based on the terms of the securities. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under the contract.</FONT></P>
<P align=left><FONT face=sans-serif size=1>The fund earned certain fees in connection with its senior loan purchasing activities. These fees are treated as market discount and are recorded as income in the Statement of operations.</FONT></P>
<P align=left><FONT face=sans-serif size=1><B>D) Stripped securities</B> </FONT><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><FONT face=sans-serif size=1><B>E) Foreign currency translation </B></FONT><FONT face=sans-serif size=1>The accounting records of the fund are maintained in U.S. dollars. The market value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on closed fo
rward currency contracts, disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the fund&#146;s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of open forward currency</FONT></P>
<P align=left><FONT face=sans-serif size=2>51</FONT></P>
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<A name="page_53"></A>
<P align=left><FONT face=sans-serif size=1>contracts and assets and liabilities other than investments at the period end, resulting from changes in the exchange rate. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations, not present with domestic investments.</FONT></P>
<P align=left><FONT face=sans-serif size=1><B>F) Forward currency contracts </B></FONT><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 r
ecords a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the Statement of assets and liabilities. Forward currency contracts outstanding at period end, if any, are listed after the fund&#146;s portfolio.</FONT></P>
<P align=left><FONT face=sans-serif size=1><B>G) Futures and options contracts </B></FONT><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, owned or expects to purchase, or for other investment purposes. The fund may also write options on swaps or securities it owns or in which it may invest to increase its current returns.</FONT></P>
<P align=left><FONT face=sans-serif size=1>The potential risk to the fund is that the change in value of futures and options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, or if the counterparty to the contract is unable to perform. Risks may exceed amounts recognized on the Statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the 
cost of investments.</FONT></P>
<P align=left><FONT face=sans-serif size=1>Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as &#147;variation margin.&#148; Exchange traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. Options traded over-the-counter are valued using prices supplied by dealers. Futures and written option contracts outstanding at period end, if any, are listed after the fund&#146;s portfolio.</FONT></P>
<P align=left><FONT face=sans-serif size=1><B>H) Total return swap contracts </B></FONT><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 realized </FONT><FONT face=sans-serif size=1>gains or losses. Certain total return swap contracts may include extended effective dates. Payments related to these swap contracts is accrued based on the terms of the contract. The fund could be exposed to credit or mark
et risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities. Total return swap contracts outstanding at period end, if any, are listed after the fund&#146;s portfolio.</FONT></P>
<P align=left><FONT face=sans-serif size=1><B>I) Interest rate swap contracts </B></FONT><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. An interest rate swap can be purchased or sold with an upfront premium. An upfront payment received by the fund is recorded as a liability on the fund&#146;s books. An upfront payment made by the fund is recorded as an asset on the fund&#146;s books. Interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain interest rate swap contracts may include extended effective dates. Payments related to these swap contracts is accrued based on the terms of the contract. The fund coul
d be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities. Interest rate swap contracts outstanding at period end, if any, are listed after the fund&#146;s portfolio.</FONT></P>
<P align=left><FONT face=sans-serif size=1><B>J) Credit default cont</B>racts </FONT><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 
based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses. In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index, the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased comparable publicly traded securities or that the counterparty may default on its obligation to perform. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. Credit default contracts outstanding at period end, if any, are listed after the fund&#146;s portfolio.</FONT></P>
<P align=left><FONT face=sans-serif size=1><B>K) TBA purchase commitments </B></FONT><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 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</FONT></P>
<P align=left><FONT face=sans-serif size=2>52</FONT></P>
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<P align=left><FONT face=sans-serif size=1>purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund&#146;s other assets. Unsettled TBA purchase commitments are valued at fair value of the underlying securities, according to the procedures described under &#147;Security valuation&#148; above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss.</FONT></P>
<P align=left><FONT face=sans-serif size=1>Although the fund will generally enter into TBA purchase commitments with the intention of acquiring securities for its portfolio or for delivery pursuant to options contracts it has entered into, the fund may dispose of a commitment prior to settlement if Putnam Management deems it appropriate to do so.</FONT></P>
<P align=left><FONT face=sans-serif size=1><B>L) TBA sale commitments </B></FONT><FONT face=sans-serif size=1>The fund may enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as &#147;cover&#148; for the transaction.</FONT></P>
<P align=left><FONT face=sans-serif size=1>Unsettled TBA sale commitments are valued at the fair value of the underlying securities, generally according to the procedures described under &#147;Security valuation&#148; above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. TBA sale commitments outstanding at period end, if any, are listed after the fund&#146;s portfolio.</FONT></P>
<P align=left><FONT face=sans-serif size=1><B>M) Dollar rolls </B></FONT><FONT face=sans-serif size=1>To enhance returns, the fund may enter into dollar rolls (principally using TBAs) in which the fund sells securities for delivery in the current month and simultaneously contracts to purchase similar securities on a specified future date. During the period between the sale and subsequent purchase, the fund will not be entitled to receive income and principal payments on the securities sold. The fund will, however, retain the difference between the initial sales price and the forward price for the future purchase. The fund will also be able to earn interest on the cash proceeds that are received from the initial sale, on settlement date. The fund may be exposed to market or credit risk if the price of the security changes unfavorably or the counterparty fails to perform under the terms of the agreement.</FONT></P>
<P align=left><FONT face=sans-serif size=1><B>N) Securities lending </B></FONT><FONT face=sans-serif size=1>The fund may lend securities, through its agents, to qualified borrowers in order to earn additional income. The loans are collateralized by cash and/or securities in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The risk of borrower default will be borne by the fund&#146;s agents; the fund will bear the risk of loss with respect to the investment of the cash collateral. Income from securities lending is included in investment income on the Statement of operations. At September 30, 2008, the value of securities loaned amounted to $1,154,151. The fund received cash collateral of $1,182,030 which is pooled with collateral of other Putnam funds into 52 issues of short-term investments.</FONT></P>
<P align=left><FONT face=sans-serif size=1><B>O) Federal taxes </B></FONT><FONT face=sans-serif size=1>It is the policy of the fund to distribute all of its taxable income within the prescribed time and otherwise comply with the provisions of the Internal Revenue Code of 1986, as amended (the &#147;Code&#148;), applicable to regulated investment companies. It is also the intention of the fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Code. Therefore, no provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains.</FONT></P>
<P align=left><FONT face=sans-serif size=1>At September 30, 2008 the fund had a capital loss carryover of $118,517,373 available to the extent allowed by the Code to offset future net capital gain, if any. The amount of the carryover and the expiration dates are:</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD align=left width="12%"></TD>
     <TD width="42%"></TD>
     <TD align=right width="20%"></TD>
     <TD width="25%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Loss Carryover</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Expiration</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>$24,593,458</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>September 30, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD align=left colSpan=3>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>27,431,170</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>September 30, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD align=left colSpan=3>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>47,564,236</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>September 30, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD align=left colSpan=3>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7,342,291</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>September 30, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD align=left colSpan=3>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>11,586,218</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>September 30, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD align=left colSpan=3>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>Pursuant to federal income tax regulations applicable to regulated investment companies, the fund has elected to defer to its fiscal year ending September 30, 2009 $20,254,805 of losses recognized during the period November 1, 2007 to September 30, 2008.</FONT></P>
<P align=left><FONT face=sans-serif size=1><B>P) Distributions to shareholders </B></FONT><FONT face=sans-serif size=1>Distributions to shareholders from net investment income are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. These differences include temporary and/or permanent differences of foreign currency gains and losses, post-October loss deferrals, the expiration of a capital loss carryover, dividends payable, unrealized gains and losses on certain futures contracts, realized gains and losses on certain futures contracts, interest only securities and swaps. Reclassifications are made to the fund&#146;s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) und
er income tax regulations. For the year ended September 30, 2008, the fund reclassified $18,268,524 to increase undistributed net investment income and $25,050,309 to decrease paid-in-capital, with an increase to accumulated net realized gains and losses of $6,781,785.</FONT></P>
<P align=left><FONT face=sans-serif size=1>The tax basis components of distributable earnings and the federal tax cost as of September 30, 2008 were as follows:</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="33%"></TD>
     <TD align=right width="33%"></TD>
     <TD width="33%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Unrealized appreciation</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$15,149,171</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Unrealized depreciation</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(56,585,819)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net unrealized depreciation</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(41,436,648)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Undistributed ordinary income</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>29,459,511</FONT>&nbsp; </TD>
     <TD noWrap align=center></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Capital loss carryforward</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(118,517,373)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Post-October loss</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(20,254,805)</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Cost for federal income tax purposes</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$524,396,671</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR></TABLE><BR>
<P align=left><B><FONT face=sans-serif size=2>Note 2: Management fee, administrative services and</FONT></B><BR>
<B><FONT face=sans-serif size=2>other transactions</FONT></B></P>
<P align=left><FONT face=sans-serif size=1>The fund pays Putnam Management for management and investment advisory services quarterly based on the average net assets (including assets, but excluding liabilities, attributable to leverage for investment purposes) of the fund. The fee is based on the following annual rates: 0.75% of the first $500 million of average weekly assets, 0.65% of the next $500 million, 0.60% of the next $500 million and 0.55% of the next $5 billion, with additional breakpoints at higher asset levels.</FONT></P>
<P align=left><FONT face=sans-serif size=1>Putnam Investments Limited (&#147;PIL&#148;), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund as determined by Putnam Management from time to time. Putnam Management pays a quarterly sub-management fee to PIL for its services at an annual rate of 0.40% of the average net assets (including assets, but excluding liabilities, attributable to leverage for investment purposes) of the portion of the fund managed by PIL.</FONT></P>
<P align=left><FONT face=sans-serif size=1>In October 2007, Putnam Management agreed to reimburse the fund in the amount of $176,732 in connection with the misidentification in 2006 of the characteristics of certain securities in the fund&#146;s portfolio. The reimbursement by Putnam Management had less than a 0.05% impact on total return during the period.</FONT></P>
<P align=left><FONT face=sans-serif size=2>53</FONT></P>
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<P align=left><FONT face=sans-serif size=1>Putnam Management voluntarily reimbursed the fund $2,687 for a trading error which occurred during the period. The effect of the loss incurred and the reimbursement by Putnam Management of such amounts had no impact on total return.</FONT></P>
<P align=left><FONT face=sans-serif size=1>The fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees.</FONT></P>
<P align=left><FONT face=sans-serif size=1>On September 26, 2008, the fund entered into an Agreement with another registered investment company (each a &#147;Seller&#148;) managed by Putnam Management. Under the Agreement, the Seller sold to the fund the right to receive, in the aggregate, $655,833 in net payments from Lehman Brothers Special Financing, Inc. in connection with certain terminated derivatives transactions (the &#147;Receivable&#148;), in exchange for an initial payment plus (or minus) additional amounts based on the fund&#146;s ultimate realized gain (or loss) with respect to the Receivable. The Receivable will be offset against the fund&#146;s net payable to Lehman Brothers Special Financing, Inc. The Agreement, which is included in the Statement of assets and liabilities, is valued at fair value following procedures approved by the Trustees. All remaining payments under the Agreement will be recorded as realized gain or loss.</FONT></P>
<P align=left><FONT face=sans-serif size=1>Custodial services for the fund&#146;s assets were provided by Putnam Fiduciary Trust Company (&#147;PFTC&#148;), an affiliate of Putnam Management, and by State Street Bank and Trust Company (&#147;State Street&#148;). Custody fees are based on the fund&#146;s asset level, the number of its security holdings, transaction volumes and with respect to PFTC, certain fees related to the transition of assets to State Street. Putnam Investor Services, a division of PFTC, provided investor servicing agent functions to the fund. Putnam Investor Services was paid a monthly fee for investor servicing at an annual rate of 0.05% of the fund&#146;s average net assets. During the year ended September 30, 2008, the fund incurred $264,843 for custody and investor servicing agent functions provided by PFTC.</FONT></P>
<P align=left><FONT face=sans-serif size=1>The fund has entered into expense offset arrangements with PFTC and State Street whereby PFTC&#146;s and State Street&#146;s fees are reduced by credits allowed on cash balances. For the year ended September 30, 2008, the fund&#146;s expenses were reduced by $115,210 under the expense offset arrangements.</FONT></P>
<P align=left><FONT face=sans-serif size=1>Each independent Trustee of the fund receives an annual Trustee fee, of which $375, as a quarterly retainer, has been allocated to the fund, and an additional fee for each Trustees meeting attended. Trustees receive additional fees for attendance at certain committee meetings and industry seminars and for certain compliance-related matters. Trustees also are reimbursed for expenses they incur relating to their services as Trustees.</FONT></P>
<P align=left><FONT face=sans-serif size=1>The fund has adopted a Trustee Fee Deferral Plan (the &#147;Deferral Plan&#148;) which allows the Trustees to defer the receipt of all or a portion of Trustees fees payable on or after July 1, 1995. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan.</FONT></P>
<P align=left><FONT face=sans-serif size=1>The fund has adopted an unfunded noncontributory defined benefit pension plan (the &#147;Pension Plan&#148;) covering all Trustees of the fund who have served as a Trustee for at least five years and were first elected prior to 2004. Benefits under the Pension Plan are equal to 50% of the Trustee&#146;s average annual attendance and retainer fees for the three years ended December 31, 2005. The retirement benefit is payable during a Trustee&#146;s lifetime, beginning the year following retirement, for the number of years of service through December 31, 2006. Pension expense for the fund is included in Trustee compensation and expenses in the Statement of operations. Accrued pension liability is included in Payable for Trustee compensation and expenses in the Statement of assets and liabilities. The Trustees have terminated the Pension Plan with respect to any Trustee first elected after 2003.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Note 3: Purchases and sales of securities</FONT></B></P>
<P align=left><FONT face=sans-serif size=1>During the year ended September 30, 2008, cost of purchases and proceeds from sales of investment securities other than U.S. government securities </FONT><FONT face=sans-serif size=1>and short-term investments aggregated $785,874,039 and $847,998,479, respectively. Purchases and sales of U.S. government securities aggregated $28,436,179 and $24,740,589, respectively.</FONT></P>
<P align=left><FONT face=sans-serif size=1>Written option transactions during the year ended September 30, 2008 are summarized as follows:</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="25%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="44%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Contract</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Premiums</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Amounts</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Received</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD noWrap align=left colSpan=4>
<HR noShade SIZE=1>
</TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Written options outstanding</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></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>at beginning of period</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,440,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$221,499</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>USD</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>164,259,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,145,074</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Options opened</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>USD</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>706,280,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,706,366</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Options exercised</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>USD</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Options expired</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>USD</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>398,758,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,086,585</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Options closed</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,440,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>221,499</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>USD</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>416,700,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,623,651</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Written options outstanding</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></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>at end of period</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>USD</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>55,081,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$2,141,204</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>At September 30, 2008, Putnam, LLC owned 106 class A shares of the fund (less than 0.01% of class A shares outstanding), valued at $573.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Note 4: Share repurchase program</FONT></B></P>
<P align=left><FONT face=sans-serif size=1>In September 2008, the Trustees approved the renewal of the repurchase program to allow the fund to repurchase up to 10% of its outstanding common shares over the 12-month period ending October 7, 2009 (based on shares outstanding as of October 7, 2008). Prior to this renewal, the Trustees had approved a repurchase program to allow the fund to repurchase up to 10% of its outstanding common shares over the 12 month period ending October 7, 2008 (based on shares outstanding as of October 5, 2007). Repurchases are made when the fund&#146;s shares are trading at less than net asset value and in accordance with procedures approved by the fund&#146;s Trustees.</FONT></P>
<P align=left><FONT face=sans-serif size=1>For the year ended September 30, 2008, the fund repurchased 2,365,955 common shares for an aggregate purchase price of $12,786,078, which reflects a weighted-average discount from net asset value per share of 11.38%.</FONT></P>
<P align=left><FONT face=sans-serif size=1>In April 2008, the fund repurchased 12,130,566 common shares pursuant to an issuer tender offer commenced on February 29, 2008, for up to 15% of its outstanding common shares, at $6.64 per share, for an aggregate purchase price of $80,546,958. The tender offer purchase price represented a discount of 1% from the net asset value of the fund&#146;s common shares as of April 11, 2008.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Note 5: Investment in Putnam Prime Money Market Fund</FONT></B></P>
<P align=left><FONT face=sans-serif size=1>The fund invested in Putnam Prime Money Market Fund, an open-end management investment company managed by Putnam Management. Investments in Putnam Prime Money Market Fund were valued at its closing net asset value each business day. Management fees paid by the fund were reduced by an amount equal to the management fees paid by Putnam Prime Money Market Fund with respect to assets invested by the fund in Putnam Prime Money Market Fund. For the year ended September 30, 2008, management fees paid were reduced by $15,864 relating to the fund&#146;s investment in Putnam Prime Money Market Fund. Income distributions earned by the fund were recorded as interest income in the Statement of operations and totaled $800,249 for the year ended September 30, 2008. During the year ended September 30, 2008, cost of purchases and proceeds of sales of investments in Putnam Prime Money Market Fund aggregated $241,078,713 and $298,040,815, respectively.</FONT></P>
<P align=left><FONT face=sans-serif size=2>54</FONT></P>
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<P align=left><FONT face=sans-serif size=1>On September 17, 2008, the Trustees of the Putnam Prime Money Market Fund voted to close that fund effective September 17, 2008. On September 24, 2008 the fund received shares of Federated Prime Obligations Fund, an unaffiliated management investment company registered under the Investment Company Act of 1940, in liquidation of its shares of Putnam Prime Money Market Fund.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Note 6: Senior loan commitments</FONT></B></P>
<P align=left><FONT face=sans-serif size=1>Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder&#146;s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Note 7: Unfunded loan commitments</FONT></B></P>
<P align=left><FONT face=sans-serif size=1>As of September 30, 2008, the fund had unfunded loan commitments of $619,058, which could be extended at the option of the borrower, pursuant to the following loan agreements with the following borrowers:</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="33%"></TD>
     <TD width="33%"></TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Borrower</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unfunded Commitments</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <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></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <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>38,788</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Manitowoc Co., Inc. (The)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>370,000</FONT>&nbsp; </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=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></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR></TABLE><BR>
<P align=left><B><FONT face=sans-serif size=2>Note 8: Regulatory matters and litigation</FONT></B></P>
<P align=left><FONT face=sans-serif size=1>In late 2003 and 2004, Putnam Management settled charges brought by the Securities and Exchange Commission and the Massachusetts Securities Division in connection with excessive short-term trading in Putnam funds. Distribution of payments from Putnam Management to certain open-end Putnam funds and their shareholders is expected to be completed in the next several months. These allegations and related matters have served as the general basis for certain lawsuits, including purported class action lawsuits against Putnam Management and, in a limited number of cases, some Putnam funds. Putnam Management believes that these lawsuits will have no material adverse effect on the funds or on Putnam Management&#146;s ability to provide investment management services. In addition, Putnam Management has agreed to bear any costs incurred by the Putnam funds as a result of these matters.</FONT></P>
<P align=left><FONT face=sans-serif size=1>In September 2007, Putnam Management consented to an order issued by the SEC and agreed to pay a monetary penalty to the SEC relating to the omission of required information from notices sent with distributions to shareholders of your fund prior to June 2002.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Note 9: New accounting pronouncements</FONT></B></P>
<P align=left><FONT face=sans-serif size=1>In June 2006, the Financial Accounting Standards Board (&#147;FASB&#148;) issued Interpretation No. 48, </FONT><I><FONT face=sans-serif size=1>Accounting for Uncertainty in Income Taxes </FONT></I><FONT face=sans-serif size=1>(the &#147;Interpretation&#148;). The Interpretation prescribes a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken by a filer in the filer&#146;s tax return. Upon adoption, the Interpretation did not have a material effect on the fund&#146;s financial statements. However, the conclusions regarding the Interpretation may be subject to review and adjustment at a later date based on factors including, but not limited to, further implementation guidance expected from the FASB, </FONT><FONT face=sans-serif size=1>and on-going analysis of tax laws, regulations and interpretations thereof. Each of the fund&#146;s federal tax returns for the prior three fiscal years remains subject to 
examination by the Internal Revenue Service</FONT></P>
<P align=left><FONT face=sans-serif size=1>In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157, </FONT><I><FONT face=sans-serif size=1>Fair Value Measurements </FONT></I><FONT face=sans-serif size=1>(the &#147;Standard&#148;). The Standard defines fair value, sets out a framework for measuring fair value and expands disclosures about fair value measurements. The Standard applies to fair value measurements already required or permitted by existing standards. The Standard is effective for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. Putnam Management does not believe the adoption of the Standard will impact the amounts reported in the financial statements; however, additional disclosures will be required about the inputs used to develop the measurements of fair value.</FONT></P>
<P align=left><FONT face=sans-serif size=1>In March 2008, Statement of Financial Accounting Standards No. 161, </FONT><I><FONT face=sans-serif size=1>Disclosures about Derivative Instruments and Hedging Activities </FONT></I><FONT face=sans-serif size=1>(&#147;SFAS 161&#148;) &#151;an amendment of FASB Statement No. 133, was issued and is effective for fiscal years beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about how and why an entity uses derivative instruments and how derivative instruments affect an entity&#146;s financial position. Putnam Management is currently evaluating the impact the adoption of SFAS 161 will have on the fund&#146;s financial statement disclosures.</FONT></P>
<P align=left><FONT face=sans-serif size=1>In September 2008, FASB Staff Position FAS 133-1 and FIN 45-4, </FONT><I><FONT face=sans-serif size=1>&#147;Disclosures about Credit Derivatives and Certain Guarantees: An Amendment of FASB Statement No. 133 and FASB Interpretation No. 45; and Clarification of the Effective Date of FASB Statement No. 161&#148; </FONT></I><FONT face=sans-serif size=1>(&#147;Amendment&#148;) was issued and is effective for annual and interim reporting periods ending after November 15, 2008. The Amendment requires enhanced disclosures regarding a fund&#146;s credit derivatives holdings and hybrid financial instruments containing embedded credit derivatives. Management is currently evaluating the impact the adoption of the Amendment will have on the Funds&#146; financial statement disclosures.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Note 10: Market conditions</FONT></B></P>
<P align=left><FONT face=sans-serif size=1>Recent events in the financial sector have resulted in an unusually high degree of volatility in the financial markets. The fund&#146;s investments in the financial sector , as reflected in the fund&#146;s schedule of investments, exposes investors to the negative (or positive) performance resulting from these events.</FONT></P>
<P align=left><FONT face=sans-serif size=2>55</FONT></P>
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<P align=left><FONT face=sans-serif size=5>Federal tax information (unaudited)</FONT></P>
<P align=left><FONT face=serif size=2>The fund designated 0.01% of ordinary income distributions as qualifying for the dividends received deduction for corporations.</FONT></P>
<P align=left><FONT face=serif size=2>For its tax year ended September 30, 2008, the fund hereby designates 0.01%, or the maximum amount allowable, of its taxable </FONT><FONT face=serif size=2>ordinary income distributions as qualified dividends taxed at the individual net capital gain rates.</FONT></P>
<P align=left><FONT face=serif size=2>The Form 1099 you receive in January 2009 will show the tax status of all distributions paid to your account in calender 2008.</FONT></P>
<P align=left><FONT face=sans-serif size=5>Compliance certifications (unaudited)</FONT></P>
<P align=left><FONT face=serif size=2>On February 28, 2008, your fund submitted a CEO annual certification to the New York Stock Exchange (&#147;NYSE&#148;) on which the fund&#146;s principal executive officer certified that he was not aware, as of that date, of any violation by the fund of the NYSE&#146;s Corporate Governance listing standards. In addition, as required by Section 302 of </FONT><FONT face=serif size=2>the Sarbanes-Oxley Act of 2002 and related SEC rules, the fund&#146;s principal executive and principal financial officers have made quarterly certifications, included in filings with the SEC on Forms N-CSR and N-Q, relating to, among other things, the fund&#146;s disclosure controls and procedures and internal control over financial reporting.</FONT></P>
<P align=left><FONT face=sans-serif size=5>Shareholder meeting results (unaudited)</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>January 31, 2008 annual meeting</FONT></B></P>
<P align=left><FONT face=serif size=2>At the meeting, each of the nominees for Trustees was elected, as follows:</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="33%"></TD>
     <TD align=center width="33%"></TD>
     <TD align=center width="33%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>Votes for</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>Votes withheld</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Jameson A. Baxter</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>73,616,877</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>2,332,146</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Charles B. Curtis</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>73,589,618</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>2,359,405</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Robert J, Darretta</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>73,523,937</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>2,425,086</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Myra R. Drucker</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>73,625,095</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>2,323,928</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>John A. Hill</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>73,605,460</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>2,343,563</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Paul L. Joskow</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>73,573,111</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>2,375,912</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Elizabeth T. Kennan</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>73,599,542</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>2,349,481</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Kenneth R. Leibler</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>73,593,242</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>2,355,781</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Robert E. Patterson</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>73,654,056</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>2,294,967</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>W. Thomas Stephens*</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>73,596,956</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>2,352,067</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Richard B. Worley</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>73,630,989</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>2,318,034</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Charles E. Haldeman, Jr.</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>73,618,165</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>2,330,858</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>George Putnam, III</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>73,651,256</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>2,297,767</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=serif size=2>A proposal to convert the fund to an open-end investment company was defeated as follows:</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="25%"></TD>
     <TD width="25%"></TD>
     <TD width="25%"></TD>
     <TD width="25%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Votes for</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Votes against</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Abstentions</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Broker Non Votes</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9,828,086</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>32,444,988</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>935,234</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>32, 740,715</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>All tabulations are rounded to the nearest whole number.</FONT><BR>
<BR>
<FONT face=sans-serif size=1>*Mr. Stephens retired from the Board of Trustees of the Putnam funds on March 14, 2008.</FONT></P>
<P align=left><FONT face=sans-serif size=2>56</FONT></P>
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<P align=left><FONT face=sans-serif size=5>About the Trustees</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Jameson A. Baxter</FONT></B><BR>
<BR>
<I><FONT face=sans-serif size=2>Born 1943, Trustee since 1994,</FONT></I><BR>
<I><FONT face=sans-serif size=2>Vice Chairman since 2005</FONT></I></P>
<P align=left><FONT face=serif size=2>Ms. Baxter is the President of Baxter Associates, Inc., a private investment firm.</FONT></P>
<P align=left><FONT face=serif size=2>Ms. Baxter serves as a Director of ASHTA Chemicals, Inc., and the Mutual Fund Directors Forum. Until 2007, she was a Director of Banta Corporation (a printing and supply chain management company), Ryerson, Inc. (a metals service corporation), and Advocate Health Care. Until 2004, she was a Director of BoardSource (formerly the National Center for Nonprofit Boards); and until 2002, she was a Director of Intermatic Corporation (a manufacturer of energy control products). She is Chairman Emeritus of the Board of Trustees, Mount Holyoke College, having served as Chairman for five years.</FONT></P>
<P align=left><FONT face=serif size=2>Ms. Baxter has held various positions in investment banking and corporate finance, including Vice President of and Consultant to First Boston Corporation and Vice President and Principal of the Regency Group. She is a graduate of Mount Holyoke College.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Charles B. Curtis</FONT></B><BR>
<BR>
<I><FONT face=sans-serif size=2>Born 1940, Trustee since 2001</FONT></I></P>
<P align=left><FONT face=serif size=2>Mr. Curtis is President and Chief Operating Officer of the Nuclear Threat Initiative (a private foundation dealing with national security issues), and serves as Senior Advisor to the United Nations Foundation.</FONT></P>
<P align=left><FONT face=serif size=2>Mr. Curtis is a member of the Council on Foreign Relations and serves as Director of Edison International and Southern California Edison. Until 2006, Mr. Curtis served as a member of the Trustee Advisory Council of the Applied Physics Laboratory, Johns Hopkins University. Until 2003, Mr. Curtis was a member of the Electric Power Research Institute Advisory Council and the University of Chicago Board of Governors for Argonne National Laboratory. Prior to 2002, Mr. Curtis was a member of the Board of Directors of the Gas Technology Institute and the Board of Directors of the Environment and Natural Resources Program Steering Committee, John F. </FONT><FONT face=serif size=2>Kennedy School of Government, Harvard University. Until 2001, Mr. Curtis was a member of the Department of Defense Policy Board and Director of EG&amp;G Technical Services, Inc. (a fossil energy research and development support company).</FONT></P>
<P align=left><FONT face=serif size=2>From August 1997 to December 1999, Mr. Curtis was a Partner at Hogan &amp; Hartson LLP, an international law firm headquartered in Washington, D.C. Prior to May 1997, Mr. Curtis was Deputy Secretary of Energy and Under Secretary of the U.S. Department of Energy. He served as Chairman of the Federal Energy Regulatory Commission from 1977 to 1981 and has held positions on the staff of the U.S. House of Representatives, the U.S. Treasury Department, and the SEC.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Robert J. Darretta</FONT></B><BR>
<BR>
<I><FONT face=sans-serif size=2>Born 1946, Trustee since 2007</FONT></I></P>
<P align=left><FONT face=serif size=2>Mr. Darretta serves as Director of United-Health Group, a diversified health-care company.</FONT></P>
<P align=left><FONT face=serif size=2>Until April 2007, Mr. Darretta was Vice Chairman of the Board of Directors of Johnson &amp; Johnson, one of the world&#146;s largest and most broadly based health-care companies. Prior to 2007, he had responsibility for Johnson &amp; Johnson&#146;s finance, investor relations, information technology, and procurement function. He served as Johnson &amp; Johnson Chief Financial Officer for a decade, prior to which he spent two years as Treasurer of the corporation and over ten years leading various Johnson &amp; Johnson operating companies.</FONT></P>
<P align=left><FONT face=serif size=2>Mr. Darretta received a B.S. in Economics from Villanova University.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Myra R. Drucker</FONT></B><BR>
<BR>
<I><FONT face=sans-serif size=2>Born 1948, Trustee since 2004</FONT></I></P>
<P align=left><FONT face=serif size=2>Ms. Drucker is Chair of the Board of Trustees of Commonfund (a not-for-profit firm specializing in managing assets for educational endowments and foundations), Vice Chair of the Board of Trustees of Sarah Lawrence College, and a member of the Investment Committee of the Kresge Foundation (a charitable trust). She is also a Director of New York Stock Exchange LLC (a wholly-owned subsidiary of NYSE </FONT><FONT face=serif size=2>Euronext), and a Director of Interactive Data Corporation (a provider of financial market data and analytics to financial institutions and investors).</FONT></P>
<P align=left><FONT face=serif size=2>Ms. Drucker is an ex-officio member of the New York Stock Exchange (NYSE) Pension Managers Advisory Committee, having served as Chair for seven years. She serves as an advisor to RCM Capital Management (an investment management firm) and to the Employee Benefits Investment Committee of The Boeing Company (an aerospace firm).</FONT></P>
<P align=left><FONT face=serif size=2>From November 2001 until August 2004, Ms. Drucker was Managing Director and a member of the Board of Directors of General Motors Asset Management and Chief Investment Officer of General Motors Trust Bank. From December 1992 to November 2001, Ms. Drucker served as Chief Investment Officer of Xerox Corporation (a document company). Prior to December 1992, Ms. Drucker was Staff Vice President and Director of Trust Investments for International Paper (a paper and packaging company).</FONT></P>
<P align=left><FONT face=serif size=2>Ms. Drucker received a B.A. degree in Literature and Psychology from Sarah Lawrence College and pursued graduate studies in economics, statistics, and portfolio theory at Temple University.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Charles E. Haldeman, Jr.*</FONT></B><BR>
<BR>
<I><FONT face=sans-serif size=2>Born 1948, Trustee since 2004 and</FONT></I><BR>
<I><FONT face=sans-serif size=2>President of the Funds since 2007</FONT></I></P>
<P align=left><FONT face=serif size=2>Mr. Haldeman is Chairman of Putnam Investment Management, LLC and President of the Putnam Funds. Prior to July 2008, he was President and Chief Executive Officer of Putnam, LLC (&#147;Putnam Investments&#148;) Prior to November 2003, Mr. Haldeman served as Co-Head of Putnam Investments&#146; Investment Division.</FONT></P>
<P align=left><FONT face=serif size=2>Prior to joining Putnam in 2002, he held executive positions in the investment management industry. He previously served as Chief Executive Officer of Delaware Investments and President and Chief Operating Officer of United Asset Management. Mr. Haldeman was also a</FONT></P>
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<P align=left><FONT face=serif size=2>Partner and Director of Cooke &amp; Bieler, Inc. (an investment management firm).</FONT></P>
<P align=left><FONT face=serif size=2>Mr. Haldeman currently serves on the Board of Governors of the Investment Company Institute and as Chair of the Board of Trustees of Dartmouth College. He also serves on the Partners HealthCare Investment Committee, the Tuck School of Business Overseers, and the Harvard Business School Board of Dean&#146;s Advisors. He is a graduate of Dartmouth College, Harvard Law School, and Harvard Business School. Mr. Haldeman is also a Chartered Financial Analyst (CFA) charterholder.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>John A. Hill</FONT></B><BR>
<BR>
<I><FONT face=sans-serif size=2>Born 1942, Trustee since 1985 and</FONT></I><BR>
<I><FONT face=sans-serif size=2>Chairman since 2000</FONT></I></P>
<P align=left><FONT face=serif size=2>Mr. Hill is founder and Vice-Chairman of First Reserve Corporation, the leading private equity buyout firm specializing in the worldwide energy industry, with offices in Greenwich, Connecticut; Houston, Texas; London, England; and Shanghai, China. The firm&#146;s investments on behalf of some of the nation&#146;s largest pension and endowment funds are currently concentrated in 26 companies with annual revenues in excess of $13 billion, which employ over 100,000 people in 23 countries.</FONT></P>
<P align=left><FONT face=serif size=2>Mr. Hill is Chairman of the Board of Trustees of the Putnam Mutual Funds, a Director of Devon Energy Corporation and various private companies owned by First Reserve, and serves as a Trustee of Sarah Lawrence College where he chairs the Investment Committee.</FONT></P>
<P align=left><FONT face=serif size=2>Prior to forming First Reserve in 1983, Mr. Hill served as President of F. Eberstadt and Company, an investment banking and investment management firm. Between 1969 and 1976, Mr. Hill held various senior positions in Washington, D.C. with the federal government, including Deputy Associate Director of the Office of Management and Budget and Deputy Administrator of the Federal Energy Administration during the Ford Administration.</FONT></P>
<P align=left><FONT face=serif size=2>Born and raised in Midland, Texas, he received his B.A. in Economics from Southern Methodist University and pursued graduate studies as a Woodrow Wilson Fellow.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Paul L. Joskow</FONT></B><BR>
<BR>
<I><FONT face=sans-serif size=2>Born 1947, Trustee since 1997</FONT></I></P>
<P align=left><FONT face=serif size=2>Dr. Joskow is an economist and President of the Alfred P. Sloan Foundation (a philanthropic institution focused primarily on research and education on issues related to science, technology, and economic performance). He is on leave from his position as the Elizabeth and James Killian Professor of Economics and Management at the Massachusetts Institute of Technology (MIT), where he has been on the faculty since 1972. Dr. Joskow was the Director of the Center for Energy and Environmental Policy Research at MIT from 1999 through 2007.</FONT></P>
<P align=left><FONT face=serif size=2>Dr. Joskow serves as a Trustee of Yale University, as a Director of TransCanada Corporation (an energy company focused on natural gas transmission and power services) and of Exelon Corporation (an energy company focused on power services), and as a member of the Board of Overseers of the Boston Symphony Orchestra. Prior to August 2007, he served as a Director of National Grid (a UK-based holding company with interests in electric and gas transmission and distribution and telecommunications infrastructure). Prior to July 2006, he served as President of the Yale University Council and continues to serve as a member of the Council. Prior to February 2005, he served on the board of the Whitehead Institute for Biomedical Research (a non-profit research institution). Prior to February 2002, he was a Director of State Farm Indemnity Company (an automobile insurance company), and prior to March 2000, he was a Director of New England Electric System (a public utility holding comp
any).</FONT></P>
<P align=left><FONT face=serif size=2>Dr. Joskow has published six books and numerous articles on industrial organization, government regulation of industry, and competition policy. He is active in industry restructuring, environmental, energy, competition, and privatization policies &#151; serving as an advisor to governments and corporations worldwide. Dr. Joskow holds a Ph.D. and MPhil from Yale University and a B.A. from Cornell University.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Elizabeth T. Kennan</FONT></B><BR>
<BR>
<I><FONT face=sans-serif size=2>Born 1938, Trustee since 1992</FONT></I></P>
<P align=left><FONT face=serif size=2>Dr. Kennan is a Partner of Cambus-Kenneth Farm (thoroughbred horse and cattle breeding). She is President Emeritus of Mount Holyoke College.</FONT></P>
<P align=left><FONT face=serif size=2>Dr. Kennan served as Chairman and is now Lead Director of Northeast Utilities. She is a Trustee of the National Trust for Historic Preservation, of Centre College, and of Midway College in Midway, Kentucky. Until 2006, she was a member of The Trustees of Reservations. Prior to 2001, Dr. Kennan served on the oversight committee of the Folger Shakespeare Library. Prior to June 2005, she was a Director of Talbots, Inc., and she has served as Director on a number of other boards, including Bell Atlantic, Chastain Real Estate, Shawmut Bank, Berkshire Life Insurance, and Kentucky Home Life Insurance. Dr. Kennan has also served as President of Five Colleges Incorporated and as a Trustee of Notre Dame University, and is active in various educational and civic associations.</FONT></P>
<P align=left><FONT face=serif size=2>As a member of the faculty of Catholic University for twelve years, until 1978, Dr. Kennan directed the post-doctoral program in Patristic and Medieval Studies, taught history, and published numerous articles and two books. Dr. Kennan holds a Ph.D. from the University of Washington in Seattle, an M.S. from St. Hilda&#146;s College at Oxford University, and an A.B. from Mount Holyoke College. She holds several honorary doctorates.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Kenneth R. Leibler</FONT></B><BR>
<BR>
<I><FONT face=sans-serif size=2>Born 1949, Trustee since 2006</FONT></I></P>
<P align=left><FONT face=serif size=2>Mr. Leibler is a founder and former Chairman of the Boston Options Exchange, an electronic marketplace for the trading of derivative securities.</FONT></P>
<P align=left><FONT face=serif size=2>Mr. Leibler currently serves as a Trustee of Beth Israel Deaconess Hospital in Boston. He is also Lead Director of Ruder Finn Group, a global communications and advertising firm, and a Director of Northeast Utilities, which operates New England&#146;s largest energy delivery system. Prior to December 2006, he served as a Director of the Optimum Funds group. Prior to October 2006, he served as a Director of ISO New England, the</FONT></P>
<P align=left><FONT face=sans-serif size=2>58</FONT></P>
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<P align=left><FONT face=serif size=2>organization responsible for the operation of the electric generation system in the New England states. Prior to 2000, Mr. Leibler was a Director of the Investment Company Institute in Washington, D.C.</FONT></P>
<P align=left><FONT face=serif size=2>Prior to January 2005, Mr. Leibler served as Chairman and Chief Executive Officer of the Boston Stock Exchange. Prior to January 2000, he served as President and Chief Executive Officer of Liberty Financial Companies, a publicly traded diversified asset management organization. Prior to June 1990, Mr. Leibler served as President and Chief Operating Officer of the American Stock Exchange (AMEX), and at the time was the youngest person in AMEX history to hold the title of President. Prior to serving as AMEX President, he held the position of Chief Financial Officer, and headed its management and marketing operations. Mr. Leibler graduated magna cum laude with a degree in Economics from Syracuse University, where he was elected Phi Beta Kappa.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Robert E. Patterson</FONT></B><BR>
<BR>
<I><FONT face=sans-serif size=2>Born 1945, Trustee since 1984</FONT></I></P>
<P align=left><FONT face=serif size=2>Mr. Patterson is Senior Partner of Cabot Properties, LP and Chairman of Cabot Properties, Inc. (a private equity firm investing in commercial real estate).</FONT></P>
<P align=left><FONT face=serif size=2>Mr. Patterson serves as Chairman Emeritus and Trustee of the Joslin Diabetes Center. Prior to June 2003, he was a Trustee of Sea Education Association. Prior to December 2001, Mr. Patterson was President and Trustee of Cabot Industrial Trust (a publicly traded real estate investment trust). Prior to February 1998, he was Executive Vice President and Director of Acquisitions of Cabot Partners Limited Partnership (a registered investment adviser involved in institutional real estate investments). Prior to 1990, he served as Executive Vice President of Cabot, Cabot &amp; Forbes Realty Advisors, Inc. (the predecessor company of Cabot Partners).</FONT></P>
<P align=left><FONT face=serif size=2>Mr. Patterson practiced law and held various positions in state government, and was the founding Executive Director of the </FONT><FONT face=serif size=2>Massachusetts Industrial Finance Agency. Mr. Patterson is a graduate of Harvard College and Harvard Law School.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>George Putnam, III</FONT></B><BR>
<BR>
<I><FONT face=sans-serif size=2>Born 1951, Trustee since 1984</FONT></I></P>
<P align=left><FONT face=serif size=2>Mr. Putnam is Chairman of New Generation Research, Inc. (a publisher of financial advisory and other research services), and President of New Generation Advisers, Inc. (a registered investment adviser to private funds). Mr. Putnam founded the New Generation companies in 1986.</FONT></P>
<P align=left><FONT face=serif size=2>Mr. Putnam is a Director of The Boston Family Office, LLC (a registered investment adviser). He is a Trustee of St. Mark&#146;s School and a Trustee of the Marine Biological Laboratory in Woods Hole, Massachusetts. Until 2006, he was a Trustee of Shore Country Day School, and until 2002, was a Trustee of the Sea Education Association.</FONT></P>
<P align=left><FONT face=serif size=2>Mr. Putnam previously worked as an attorney with the law firm of Dechert LLP (formerly known as Dechert Price &amp; Rhoads) in Philadelphia. He is a graduate of Harvard College, Harvard Business School, and Harvard Law School.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Robert L. Reynolds*</FONT></B><BR>
<BR>
<I><FONT face=sans-serif size=2>Born 1952, Trustee since 2008</FONT></I></P>
<P align=left><FONT face=serif size=2>Mr. Reynolds is President and Chief Executive Officer of Putnam Investments, and a member of Putnam Investments&#146; Executive Board of Directors. He has more than 30 years of investment and financial services experience.</FONT></P>
<P align=left><FONT face=serif size=2>Prior to joining Putnam Investments in 2008, Mr. Reynolds was Vice Chairman and Chief Operating Officer of Fidelity Investments from 2000 to 2007. During this time, he served on the Board of Directors for FMR Corporation, Fidelity Investments Insurance Ltd., Fidelity Investments Canada Ltd., and Fidelity Management Trust Company. He was also a Trustee of the Fidelity Family of Funds. From 1984 to 2000, Mr. Reynolds served in a number of increasingly responsible leadership roles at Fidelity.</FONT></P>
<P align=left><FONT face=serif size=2>Mr. Reynolds serves on several not-for-profit boards, including those of the West Virginia University Foundation, Concord Museum, Dana-Farber Cancer Institute, Lahey Clinic, and Initiative for a Competitive Inner City in Boston. He is a member of the Chief Executives Club of Boston, the National Innovation Initiative, and the Council on Competitiveness.</FONT></P>
<P align=left><FONT face=serif size=2>Mr. Reynolds received a B.S. in Business Administration/Finance from West Virginia University.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Richard B. Worley</FONT></B><BR>
<BR>
<I><FONT face=sans-serif size=2>Born 1945, Trustee since 2004</FONT></I></P>
<P align=left><FONT face=serif size=2>Mr. Worley is Managing Partner of Permit Capital LLC, an investment management firm.</FONT></P>
<P align=left><FONT face=serif size=2>Mr. Worley serves as a Trustee of the University of Pennsylvania Medical Center, The Robert Wood Johnson Foundation (a philanthropic organization devoted to health-care issues), and the National Constitution Center. He is also a Director of The Colonial Williamsburg Foundation (a historical preservation organization), and the Philadelphia Orchestra Association. Mr. Worley also serves on the investment committees of Mount Holyoke College and World Wildlife Fund (a wildlife conservation organization).</FONT></P>
<P align=left><FONT face=serif size=2>Prior to joining Permit Capital LLC in 2002, Mr. Worley served as President, Chief Executive Officer, and Chief Investment Officer of Morgan Stanley Dean Witter Investment Management and as a Managing Director of Morgan Stanley, a financial services firm. Mr. Worley also was the Chairman of Miller Anderson &amp; Sherrerd, an investment management firm that was acquired by Morgan Stanley in 1996.</FONT></P>
<P align=left><FONT face=serif size=2>Mr. Worley holds a B.S. degree from the University of Tennessee and pursued graduate studies in economics at the University of Texas.</FONT></P>
<P align=left><I><FONT face=sans-serif size=1>The address of each Trustee is One Post Office Square, Boston, MA 02109.</FONT></I></P>
<P align=left><I><FONT face=sans-serif size=1>As of September 30, 2008, there were 99 Putnam funds. All Trustees serve as Trustees of all Putnam funds. </FONT></I></P>
<P align=left><I><FONT face=sans-serif size=1>Each Trustee serves for an indefinite term, until his or her resignation, retirement at age 72, death, or removal.</FONT></I></P>
<P align=left><I><FONT face=sans-serif size=1>* Trustee who is an &#147;interested person&#148; (as defined in the Investment Company Act of 1940) of the fund, Putnam Management, and/or Putnam Retail Management. Mr. Reynolds is President and Chief Executive Officer of Putnam Investments. Mr. Haldeman is the President of your fund and each of the other Putnam funds and Chairman of Putnam Investment Management, LLC, and prior to July 2008 was President and Chief Executive Officer of Putnam Investments.</FONT></I></P>
<P align=left><FONT face=sans-serif size=2>59</FONT></P>
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<P align=left><FONT face=sans-serif size=5>Officers</FONT><BR>
<BR>
<FONT face=serif size=2>In addition to Charles E. Haldeman, Jr., the other officers of the fund are shown below:</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="33%"></TD>
     <TD width="33%"></TD>
     <TD width="17%"></TD>
     <TD width="16%"></TD></TR>
<TR>
     <TD></TD>
     <TD></TD>
     <TD colSpan=2></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2><B>Charles E. Porter</B> </FONT><I><FONT face=sans-serif size=2>(Born 1938)</FONT></I>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2><B>James P. Pappas</B> </FONT><I><FONT face=sans-serif size=2>(Born 1953)</FONT></I>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2><B>Wanda M. McManus</B> </FONT><I><FONT face=sans-serif size=2>(Born 1947)</FONT></I>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Executive Vice President, Principal Executive</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Vice President</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Vice President, Senior Associate Treasurer</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Officer, Associate Treasurer, and</FONT>&nbsp; </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Since 2004</FONT></I>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>and Assistant Clerk</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Compliance Liaison</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Managing Director, Putnam Investments and</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><I><FONT face=sans-serif size=2>Since 2005</FONT></I>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Since 1989</FONT></I>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Management. During 2002, Chief</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Operating Officer, Atalanta/Sosnoff</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2><B>Nancy E. Florek</B> </FONT><I><FONT face=sans-serif size=2>(Born 1957)</FONT></I>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2><B>Jonathan S. Horwitz</B> </FONT><I><FONT face=sans-serif size=2>(Born 1955)</FONT></I>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Management Corporation</FONT>&nbsp;&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Vice President, Assistant Clerk, Assistant</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Senior Vice President and Treasurer</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Treasurer and Proxy Manager</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Since 2004</FONT></I>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2><B>Francis J. McNamara, III</B> </FONT><I><FONT face=sans-serif size=2>(Born 1955)</FONT></I>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><I><FONT face=sans-serif size=2>Since 2005</FONT></I>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Prior to 2004, Managing Director,</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Vice President and Chief Legal Officer</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Investments</FONT>&nbsp; </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Since 2004</FONT></I>&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Senior Managing Director, Putnam</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2><B>Steven D. Krichmar</B> </FONT><I><FONT face=sans-serif size=2>(Born 1958)</FONT></I>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Investments, Putnam Management</FONT>&nbsp;&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Vice President and Principal Financial Officer</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>and Putnam Retail Management. Prior</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Since 2002</FONT></I>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>to 2004, General Counsel, State Street</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Senior Managing Director,</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Research &amp; Management Company</FONT>&nbsp;&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Investments</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2><B>Robert R. Leveille</B> </FONT><I><FONT face=sans-serif size=2>(Born 1969)</FONT></I>&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2><B>Janet C. Smith</B> </FONT><I><FONT face=sans-serif size=2>(Born 1965)</FONT></I>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Vice President and Chief Compliance Officer</FONT>&nbsp;&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Vice President, Principal Accounting Officer</FONT>&nbsp; </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Since 2007</FONT></I>&nbsp;&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>and Assistant Treasurer</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Managing Director, Putnam Investments,</FONT>&nbsp;&nbsp;</TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Since 2007</FONT></I>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Management, and Putnam Retail</FONT>&nbsp;&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Managing Director, Putnam Investments and</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Management. Prior to 2004, member of</FONT>&nbsp;&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Management</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Bell Boyd &amp; Lloyd LLC. Prior to 2003,</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR>
     <TD>&nbsp; </TD>
     <TD><FONT face=sans-serif size=2>Vice President and Senior Counsel,</FONT>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2><B>Susan G. Malloy</B> </FONT><I><FONT face=sans-serif size=2>(Born 1957)</FONT></I>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Liberty Funds Group LLC</FONT>&nbsp;&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Vice President and Assistant Treasurer</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Since 2007</FONT></I>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2><B>Mark C. Trenchard</B> </FONT><I><FONT face=sans-serif size=2>(Born 1962)</FONT></I>&nbsp;&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Managing Director, Putnam Investments</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Vice President and BSA Compliance Officer</FONT>&nbsp;&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR>
     <TD>&nbsp; </TD>
     <TD><I><FONT face=sans-serif size=2>Since 2002</FONT></I>&nbsp;&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2><B>Beth S. Mazor</B> </FONT><I><FONT face=sans-serif size=2>(Born 1958)</FONT></I>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Managing Director, Putnam Investments</FONT>&nbsp;&nbsp;</TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Vice President</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Since 2002</FONT></I>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2><B>Judith Cohen</B> </FONT><I><FONT face=sans-serif size=2>(Born 1945)</FONT></I>&nbsp;&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Managing Director, Putnam Investments</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Vice President, Clerk and Assistant Treasurer</FONT>&nbsp;&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=left width="33%"><I><FONT face=sans-serif size=2>Since 1993</FONT></I>&nbsp; </TD>
     <TD noWrap align=left width="33%" colSpan=2>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>The address of each Officer is One Post Office Square, Boston, MA 02109.</FONT></P>
<P align=left><FONT face=sans-serif size=2>60</FONT></P>
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<P align=left><FONT face=sans-serif size=5>Fund information</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>About Putnam Investments</FONT></B><BR>
<BR>
<FONT face=serif size=2>Founded over 70 years ago, Putnam Investments was built around the concept that a balance between risk and reward is the hallmark</FONT><BR>
<FONT face=serif size=2>of a well-rounded financial program. We manage nearly 100 mutual funds in growth, value, blend, fixed income, and international.</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="33%"></TD>
     <TD width="33%"></TD>
     <TD width="17%"></TD>
     <TD width="16%"></TD></TR>
<TR>
     <TD></TD>
     <TD></TD>
     <TD colSpan=2></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2><B>Investment Manager</B></FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Robert E. Patterson</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Mark C. Trenchard</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Investment</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>George Putnam, III</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><I><FONT face=sans-serif size=2>Vice President and BSA Compliance Officer</FONT></I>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Management, LLC</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Robert L. Reynolds</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>One Post Office Square</FONT>&nbsp;&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Richard B. Worley</FONT>&nbsp;&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Judith Cohen</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><I><FONT face=sans-serif size=2>Vice President, Clerk and Assistant Treasurer</FONT></I>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2><B>Investment Sub-Manager</B></FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2><B>Officers</B></FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Investments Limited</FONT>&nbsp;&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Charles E. Haldeman, Jr.</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Wanda M. McManus</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>57&#150;59 St James&#146;s Street</FONT>&nbsp; </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>President</FONT></I>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><I><FONT face=sans-serif size=2>Vice President, Senior Associate Treasurer</FONT></I>&nbsp;&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>London, England SW1A 1LD</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><I><FONT face=sans-serif size=2>and Assistant Clerk</FONT></I>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Charles E. Porter</FONT>&nbsp;&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2><B>Marketing Services</B></FONT>&nbsp; </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Executive Vice President, Principal</FONT></I>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Nancy E. Florek</FONT>&nbsp;&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Retail Management</FONT>&nbsp;&nbsp; </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Executive Officer, Associate Treasurer</FONT></I>&nbsp;&nbsp;</TD>
     <TD noWrap align=left colSpan=2><I><FONT face=sans-serif size=2>Vice President, Assistant Clerk, Assistant</FONT></I>&nbsp;&nbsp;&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>One Post Office Square</FONT>&nbsp; </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>and Compliance Liaison</FONT></I>&nbsp;&nbsp; </TD>
     <TD noWrap align=left colSpan=2><I><FONT face=sans-serif size=2>Treasurer and Proxy Manager</FONT></I>&nbsp;&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Boston, MA 02109</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Jonathan S. Horwitz</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2><B>Custodian</B></FONT>&nbsp; </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Senior Vice President and Treasurer</FONT></I>&nbsp;&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>State Street Bank and Trust Company</FONT>&nbsp;&nbsp; </TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Steven D. Krichmar</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT face=sans-serif size=2><B>Legal Counsel</B></FONT><B>&nbsp;</B></TD>
     <TD align=left><I><FONT face=sans-serif size=2>Vice President and Principal Financial Officer</FONT></I>&nbsp;</TD>
     <TD align=center>&nbsp;</TD>
     <TD align=center>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ropes &amp; Gray LLP</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Janet C. Smith</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2><B>Independent Registered Public</B></FONT><B>&nbsp;</B>&nbsp; </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Vice President, Principal Accounting Officer</FONT></I>&nbsp;&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2><B>Accounting Firm</B></FONT><B>&nbsp;</B></TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>and Assistant Treasurer</FONT></I>&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>KPMG LLP</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Susan G. Malloy</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2><B>Trustees</B></FONT><B>&nbsp;</B>&nbsp; </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Vice President and Assistant Treasurer</FONT></I>&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>John A. Hill, </FONT><I><FONT face=sans-serif size=2>Chairman</FONT></I>&nbsp;</TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Jameson A. Baxter, </FONT><I><FONT face=sans-serif size=2>Vice Chairman</FONT></I>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Beth S. Mazor</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Charles B. Curtis</FONT>&nbsp;&nbsp; </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Vice President</FONT></I>&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4><FONT face=sans-serif size=2>Robert J. Darretta</FONT>&nbsp;&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Myra R. Drucker</FONT>&nbsp;&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>James P. Pappas</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Charles E. Haldeman, Jr.</FONT>&nbsp;</TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Vice President</FONT></I>&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Paul L. Joskow</FONT>&nbsp;&nbsp;</TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Elizabeth T. Kennan</FONT>&nbsp;&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Francis J. McNamara, III</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Kenneth R. Leibler</FONT>&nbsp;&nbsp;&nbsp; </TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Vice President and Chief Legal Officer</FONT></I>&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Robert R. Leveille</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Vice President and Chief Compliance Officer</FONT></I>&nbsp; </TD>
     <TD noWrap align=left colSpan=2>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>Call 1-800-225-1581 weekdays between 8:30 a.m. and 8:00 p.m. or on Saturday between 9:00 a.m. and 5:00 p.m. Eastern Time, or visit our Web site (www.putnam.com) anytime for up-to-date information about the fund&#146;s NAV.</FONT></P>
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<P align=left><U><FONT face=sans-serif size=2>Item 2. Code of Ethics:</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>(a) The Fund&#146;s principal executive, financial and accounting officers are employees of Putnam Investment Management, LLC, the Fund's investment manager. As such they are subject to a comprehensive Code of Ethics adopted and administered by Putnam Investments which is designed to protect the interests of the firm and its clients. The Fund has adopted a Code of Ethics which incorporates the Code of Ethics of Putnam Investments with respect to all of its officers and Trustees who are employees of Putnam Investment Management, LLC. For this reason, the Fund has not adopted a separate code of ethics governing its principal executive, financial and accounting officers.</FONT></P>
<P align=left><FONT face=sans-serif size=2>(c ) In May 2008, the Code of Ethics of Putnam Investment Management, LLC was updated in its entirety to include the amendments adopted in August 2007 as well as a several additional technical, administrative and non-substantive changes.</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>Item 3. Audit Committee Financial Expert:</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>The Funds' Audit and Compliance Committee is comprised solely of Trustees who are "independent" (as such term has been defined by the Securities and Exchange Commission ("SEC") in regulations implementing Section 407 of the Sarbanes-Oxley Act (the "Regulations")). The Trustees believe that each of the members of the Audit and Compliance Committee also possess a combination of knowledge and experience with respect to financial accounting matters, as well as other attributes, that qualify them for service on the Committee. In addition, the Trustees have determined that each of Mr. Patterson, Mr. Leibler, Mr. Hill and Mr. Darretta meets the financial literacy requirements of the New York Stock Exchange's rules and qualifies as an "audit committee financial expert" (as such term has been defined by the Regulations) based on their review of his pertinent experience and education. Certain other Trustees, although not on the Audit and Compliance Committee, would also quali
fy as "audit committee financial experts." The SEC has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liability that are greater than the duties, obligations and liability imposed on such person as a member of the Audit and Compliance Committee and the Board of Trustees in the absence of such designation or identification.</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>Item 4. Principal Accountant Fees and Services:</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>The following table presents fees billed in each of the last two fiscal years for services rendered to the fund by the fund&#146;s independent auditor:</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="18%"></TD>
     <TD width="8%">&nbsp;</TD>
     <TD width="18%"></TD>
     <TD width="18%"></TD>
     <TD width="18%"></TD>
     <TD width="18%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Fiscal</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Audit-</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>year</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Audit</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Related</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Tax</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>All Other</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>ended</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Fees</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Fees</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Fees</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Fees</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>September 30, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>$89,000</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>$--</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>$6,000</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>$-</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>September 30, 2007</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>$73,650</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>$--</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>$5,450</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>$-</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=6>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>For the fiscal years ended September 30, 2008 and September 30, 2007, the fund&#146;s independent auditor billed aggregate non-audit fees in the amounts of </FONT><FONT face=sans-serif size=2>$74,733 </FONT><FONT face=sans-serif size=2>and </FONT><FONT face=sans-serif size=2>$5,450 </FONT><FONT face=sans-serif size=2>respectively, to the fund, Putnam Management and any entity controlling, controlled by or under common control with Putnam Management that provides ongoing services to the fund.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Audit Fees represent fees billed for the fund's last two fiscal years relating to the audit and review of the financial statements included in annual reports and registration statements, and other services that are normally provided in connection with statutory and regulatory filings or engagements.</FONT></P>
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<P align=left><FONT face=sans-serif size=2>Audit-Related Fees represent fees billed in the fund&#146;s last two fiscal years for services traditionally performed by the fund&#146;s auditor, including accounting consultation for proposed transactions or concerning financial accounting and reporting standards and other audit or attest services not required by statute or regulation.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Tax Fees represent fees billed in the fund&#146;s last two fiscal years for tax compliance, tax planning and tax advice services. Tax planning and tax advice services include assistance with tax audits, employee benefit plans and requests for rulings or technical advice from taxing authorities.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Pre-Approval Policies of the Audit and Compliance Committee. The Audit and Compliance Committee of the Putnam funds has determined that, as a matter of policy, all work performed for the funds by the funds&#146; independent auditors will be pre-approved by the Committee itself and thus will generally not be subject to pre-approval procedures.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The Audit and Compliance Committee also has adopted a policy to pre-approve the engagement by Putnam Management and certain of its affiliates of the funds&#146; independent auditors, even in circumstances where pre-approval is not required by applicable law. Any such requests by Putnam Management or certain of its affiliates are typically submitted in writing to the Committee and explain, among other things, the nature of the proposed engagement, the estimated fees, and why this work should be performed by that particular audit firm as opposed to another one. In reviewing such requests, the Committee considers, among other things, whether the provision of such services by the audit firm are compatible with the independence of the audit firm.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The following table presents fees billed by the fund&#146;s independent auditor for services required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.</FONT></P>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Fiscal</FONT>&nbsp; </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Audit-</FONT>&nbsp; </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=2>All</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Total</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>year</FONT>&nbsp; </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Related</FONT>&nbsp; </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Other</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Non-Audit</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>ended</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Fees</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Fees</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Fees</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Fees</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>September 30, 2008</FONT>&nbsp; </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=2>$ -</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>$ -</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>$ -</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>$ -</FONT>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>September 30, 2007</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>$ -</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>$ -</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>$ -</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>$ -</FONT>&nbsp; </TD></TR>
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<P align=left><U><FONT face=sans-serif size=2>Item 5. Audit Committee of Listed Registrants</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>(a) The fund has a separately-designated Audit and Compliance Committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. The Audit and Compliance Committee of the fund's Board of Trustees is composed of the following persons:</FONT></P>
<P align=left><FONT face=sans-serif size=2>Robert E. Patterson (Chairperson)</FONT><BR>
<FONT face=sans-serif size=2>Robert J. Darretta</FONT><BR>
<FONT face=sans-serif size=2>Myra R. Drucker</FONT><BR>
<FONT face=sans-serif size=2>John A. Hill</FONT><BR>
<FONT face=sans-serif size=2>Kenneth R. Leibler</FONT></P>
<P align=left><FONT face=sans-serif size=2>(b) Not applicable</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>Item 6. Schedule of Investments:</FONT></U></P>
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<P align=left><FONT face=sans-serif size=2>The registrant&#146;s schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above.</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies:</FONT></U></P>
<P align=left><B><FONT face=sans-serif size=4>Proxy voting guidelines of the Putnam funds</FONT></B></P>
<P align=left><FONT face=sans-serif>The proxy voting guidelines below summarize the funds&#146; positions on various issues of concern to investors, and give a general indication of how fund portfolio securities will be voted on proposals dealing with particular issues. The funds&#146; proxy voting service is instructed to vote all proxies relating to fund portfolio securities in accordance with these guidelines, except as otherwise instructed by the Proxy Coordinator, a member of the Office of the Trustees who is appointed to assist in the coordination and voting of the funds&#146; proxies.</FONT></P>
<P align=left><FONT face=sans-serif>The proxy voting guidelines are just that &#150; guidelines. The guidelines are not exhaustive and do not address all potential voting issues. Because the circumstances of individual companies are so varied, there may be instances when the funds do not vote in strict adherence to these guidelines. For example, the proxy voting service is expected to bring to the Proxy Coordinator&#146;s attention proxy questions that are company-specific and of a non-routine nature and that, even if covered by the guidelines, may be more appropriately handled on a case-by-case basis.</FONT></P>
<P align=left><FONT face=sans-serif>Similarly, Putnam Management&#146;s investment professionals, as part of their ongoing review and analysis of all fund portfolio holdings, are responsible for monitoring significant corporate developments, including proxy proposals submitted to shareholders, and notifying the Proxy Coordinator of circumstances where the interests of fund shareholders may warrant a vote contrary to these guidelines. In such instances, the investment professionals submit a written recommendation to the Proxy Coordinator and the person or persons designated by Putnam Management&#146;s Legal and Compliance Department to assist in processing referral items under the funds&#146; &#147;Proxy Voting Procedures.&#148; The Proxy Coordinator, in consultation with the funds&#146; Senior Vice President, Executive Vice President, and/or the Chair of the Board Policy and Nominating Committee, as appropriate, will determine how the funds&#146; proxies will be voted. When indicated, the Chair of the Board 
Policy and Nominating Committee may consult with other members of the Committee or the full Board of Trustees.</FONT></P>
<P align=left><FONT face=sans-serif>The following guidelines are grouped according to the types of proposals generally presented to shareholders. Part I deals with proposals submitted by management and approved and recommended by a company&#146;s board of directors. Part II deals with proposals submitted by shareholders. Part III addresses unique considerations pertaining to non-U.S. issuers.</FONT></P>
<P align=left><FONT face=sans-serif>The Trustees of the Putnam funds are committed to promoting strong corporate governance practices and encouraging corporate actions that enhance shareholder value through the judicious voting of the funds&#146; proxies. It is the funds&#146; policy to vote their proxies at all shareholder meetings where it is practicable to do so. In furtherance of this,</FONT></P>
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<P align=left><FONT face=sans-serif>the funds&#146; have requested that their securities lending agent recall each domestic issuer&#146;s voting securities that are on loan, in advance of the record date for the issuer&#146;s shareholder meetings, so that the funds may vote at the meetings.</FONT></P>
<P align=left><FONT face=sans-serif>The Putnam funds will disclose their proxy votes not later than August 31 of each year for the most recent 12-month period ended June 30, in accordance with the timetable established by SEC rules.</FONT></P>
<P align=left><B><FONT face=sans-serif>I. BOARD-APPROVED PROPOSALS</FONT></B></P>
<P align=left><FONT face=sans-serif>The vast majority of matters presented to shareholders for a vote involve proposals made by a company itself (sometimes referred to as &#147;management proposals&#148;), which have been approved and recommended by its board of directors. In view of the enhanced corporate governance practices currently being implemented in public companies and of the funds&#146; intent to hold corporate boards accountable for their actions in promoting shareholder interests, the funds&#146; proxies generally will be voted </FONT><B><U><FONT face=sans-serif>for </FONT></U></B><FONT face=sans-serif>the decisions reached by majority independent boards of directors, except as otherwise indicated in these guidelines. Accordingly, the funds&#146; proxies will be voted </FONT><B><U><FONT face=sans-serif>for </FONT></U></B><FONT face=sans-serif>board-approved proposals, except as follows:</FONT></P>
<P align=left><B><U><FONT face=sans-serif>Matters relating to the Board of Directors</FONT></U></B></P>
<P align=left><I><FONT face=sans-serif>Uncontested Election of Directors</FONT></I></P>
<P align=left><FONT face=sans-serif>The funds&#146; proxies will be voted </FONT><B><U><FONT face=sans-serif>for </FONT></U></B><FONT face=sans-serif>the election of a company&#146;s nominees for the board of directors, except as follows:</FONT></P>
<P align=left><FONT face=sans-serif><FONT size=1>&#9658;</FONT> </FONT><FONT face=sans-serif>The funds will </FONT><B><U><FONT face=sans-serif>withhold votes </FONT></U></B><FONT face=sans-serif>for the entire board of directors if</FONT></P>
<P align=left><FONT face=sans-serif>&#149; </FONT><FONT face=sans-serif>the board does not have a majority of independent directors,</FONT></P>
<P align=left><FONT face=sans-serif>&#149; </FONT><FONT face=sans-serif>the board has not established independent nominating, audit, and compensation committees,</FONT></P>
<P align=left><FONT face=sans-serif>&#149; </FONT><FONT face=sans-serif>the board has more than </FONT><U><FONT face=sans-serif>19 </FONT></U><FONT face=sans-serif>members or fewer than </FONT><U><FONT face=sans-serif>five </FONT></U><FONT face=sans-serif>members, absent special circumstances,</FONT></P>
<P align=left><FONT face=sans-serif>&#149; </FONT><FONT face=sans-serif>the board has not acted to implement a policy requested in a shareholder proposal that received the support of a majority of the shares of the company cast at its previous two annual meetings, or</FONT></P>
<P align=left><FONT face=sans-serif>&#149; </FONT><FONT face=sans-serif>the board has adopted or renewed a shareholder rights plan (commonly referred to as a &#147;poison pill&#148;) without shareholder approval during the current or prior calendar year.</FONT></P>
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<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will on a </FONT><B><U><FONT face=sans-serif>case-by-case basis withhold votes </FONT></U></B><FONT face=sans-serif>from the entire board of directors, or from particular directors as may be appropriate, if the board has approved compensation arrangements for one or more company executives that the funds determine are unreasonably excessive relative to the company&#146;s performance.</FONT></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will </FONT><B><U><FONT face=sans-serif>withhold votes </FONT></U></B><FONT face=sans-serif>for any nominee for director:</FONT></P>
<P align=left><FONT face=sans-serif>&#149; </FONT><FONT face=sans-serif>who is considered an independent director by the company and who has received compensation from the company other than for service as a director (e.g., investment banking, consulting, legal, or financial advisory fees),</FONT></P>
<P align=left><FONT face=sans-serif>&#149; </FONT><FONT face=sans-serif>who attends less than 75% of board and committee meetings without valid reasons for the absences (e.g., illness, personal emergency, etc.),</FONT></P>
<P align=left><FONT face=sans-serif>&#149; </FONT><FONT face=sans-serif>of a public company (Company A) who is employed as a senior executive of another company (Company B), if a director of Company B serves as a senior executive of Company A (commonly referred to as an &#147;interlocking directorate&#148;), or</FONT></P>
<P align=left><FONT face=sans-serif>&#149; </FONT><FONT face=sans-serif>who serves on more than </FONT><U><FONT face=sans-serif>five </FONT></U><FONT face=sans-serif>unaffiliated public company boards (for the purpose of this guideline, boards of affiliated registered investment companies will count as one board).</FONT></P>
<P align=left><U><FONT face=sans-serif>Commentary</FONT></U><FONT face=sans-serif>:</FONT></P>
<P align=left><B><FONT face=sans-serif>Board independence</FONT></B><FONT face=sans-serif>: Unless otherwise indicated, for the purposes of determining whether a board has a majority of independent directors and independent nominating, audit, and compensation committees, an &#147;independent director&#148; is a director who (1) meets all requirements to serve as an independent director of a company under the NYSE Corporate Governance Rules (e.g., no material business relationships with the company and no present or recent employment relationship with the company including employment of an immediate family member as an executive officer), and (2) has not accepted directly or indirectly any consulting, advisory, or other compensatory fee from the company other than in his or her capacity as a member of the board of directors or any board committee. The funds&#146; Trustees believe that the receipt of any amount of compensation for services other than service as a director raises significant independence issues
.</FONT></P>
<P align=left><B><FONT face=sans-serif>Board size</FONT></B><FONT face=sans-serif>: The funds&#146; Trustees believe that the size of the board of directors can have a direct impact on the ability of the board to govern effectively. Boards that have too many members can be unwieldy and ultimately inhibit their ability to oversee management performance. Boards that have too few members can stifle innovation and lead to excessive influence by management.</FONT></P>
<P align=left><B><FONT face=sans-serif>Time commitment</FONT></B><FONT face=sans-serif>: Being a director of a company requires a significant time commitment to adequately prepare for and attend the company&#146;s board and committee meetings. Directors must be able to commit the time and attention necessary to perform their fiduciary duties in proper fashion, particularly in times of crisis. The funds&#146;</FONT></P>
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<P align=left><FONT face=sans-serif>Trustees are concerned about over-committed directors. In some cases, directors may serve on too many boards to make a meaningful contribution. This may be particularly true for senior executives of public companies (or other directors with substantially full-time employment) who serve on more than a few outside boards. The funds may withhold votes from such directors on a case-by-case basis where it appears that they may be unable to discharge their duties properly because of excessive commitments.</FONT></P>
<P align=left><B><FONT face=sans-serif>Interlocking directorships</FONT></B><FONT face=sans-serif>: The funds&#146; Trustees believe that interlocking directorships are inconsistent with the degree of independence required for outside directors of public companies.</FONT></P>
<P align=left><B><FONT face=sans-serif>Corporate governance practices</FONT></B><FONT face=sans-serif>: Board independence depends not only on its members&#146; individual relationships, but also on the board&#146;s overall attitude toward management. Independent boards are committed to good corporate governance practices and, by providing objective independent judgment, enhancing shareholder value. The funds may withhold votes on a case-by-case basis from some or all directors who, through their lack of independence or otherwise, have failed to observe good corporate governance practices or, through specific corporate action, have demonstrated a disregard for the interests of shareholders. Such instances may include cases where a board of directors has approved compensation arrangements for one or more members of management that, in the judgment of the funds&#146; Trustees, are excessive by reasonable corporate standards relative to the company&#146;s record of performance.</FONT></P>
<P align=left><I><FONT face=sans-serif>Contested Elections of Directors</FONT></I></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will vote on a </FONT><B><U><FONT face=sans-serif>case-by-case basis </FONT></U></B><FONT face=sans-serif>in contested elections of directors.</FONT></P>
<P align=left><I><FONT face=sans-serif>Classified Boards</FONT></I></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will vote </FONT><B><U><FONT face=sans-serif>against </FONT></U></B><FONT face=sans-serif>proposals to classify a board, absent special circumstances indicating that shareholder interests would be better served by this structure.</FONT></P>
<P align=left><U><FONT face=sans-serif>Commentary</FONT></U><FONT face=sans-serif>: Under a typical classified board structure, the directors are divided into three classes, with each class serving a three-year term. The classified board structure results in directors serving staggered terms, with usually only a third of the directors up for re-election at any given annual meeting. The funds&#146; Trustees generally believe that it is appropriate for directors to stand for election each year, but recognize that, in special circumstances, shareholder interests may be better served under a classified board structure.</FONT></P>
<P align=left><I><FONT face=sans-serif>Other Board-Related Proposals</FONT></I></P>
<P align=left><FONT face=sans-serif>The funds will generally vote </FONT><B><U><FONT face=sans-serif>for </FONT></U></B><FONT face=sans-serif>proposals that have been approved by a majority independent board, and on a </FONT><B><U><FONT face=sans-serif>case-by-case basis </FONT></U></B><FONT face=sans-serif>on proposals that have been approved by a board that fails to meet the guidelines&#146; basic independence standards (i.e., majority of independent directors and independent nominating, audit, and compensation committees).</FONT></P>
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<P align=left><B><U><FONT face=sans-serif>Executive Compensation</FONT></U></B></P>
<P align=left><FONT face=sans-serif>The funds generally favor compensation programs that relate executive compensation to a company&#146;s long-term performance. The funds will vote on a </FONT><B><U><FONT face=sans-serif>case-by-case basis </FONT></U></B><FONT face=sans-serif>on board-approved proposals relating to executive compensation, except as follows:</FONT></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>Except where the funds are otherwise withholding votes for the entire board of directors, the funds will vote </FONT><B><U><FONT face=sans-serif>for </FONT></U></B><FONT face=sans-serif>stock option and restricted stock plans that will result in an average </FONT><U><FONT face=sans-serif>annual </FONT></U><FONT face=sans-serif>dilution of 1.67% or less (based on the disclosed term of the plan and including all equity-based plans).</FONT></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will vote </FONT><B><U><FONT face=sans-serif>against </FONT></U></B><FONT face=sans-serif>stock option and restricted stock plans that will result in an average </FONT><U><FONT face=sans-serif>annual </FONT></U><FONT face=sans-serif>dilution of greater than 1.67% (based on the disclosed term of the plan and including all equity-based plans).</FONT></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will vote </FONT><B><U><FONT face=sans-serif>against </FONT></U></B><FONT face=sans-serif>any stock option or restricted stock plan where the company&#146;s actual grants of stock options and restricted stock under all equity-based compensation plans during the prior three (3) fiscal years have resulted in an average annual dilution of greater than 1.67% .</FONT></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will vote </FONT><B><U><FONT face=sans-serif>against </FONT></U></B><FONT face=sans-serif>stock option plans that permit the replacing or repricing of underwater options (and against any proposal to authorize such replacement or repricing of underwater options).</FONT></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will vote </FONT><B><U><FONT face=sans-serif>against </FONT></U></B><FONT face=sans-serif>stock option plans that permit issuance of options with an exercise price below the stock&#146;s current market price.</FONT></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>Except where the funds are otherwise withholding votes for the entire board of directors, the funds will vote </FONT><B><U><FONT face=sans-serif>for </FONT></U></B><FONT face=sans-serif>an employee stock purchase plan that has the following features: (1) the shares purchased under the plan are acquired for no less than 85% of their market value; (2) the offering period under the plan is 27 months or less; and (3) dilution is 10% or less.</FONT></P>
<P align=left><U><FONT face=sans-serif>Commentary</FONT></U><FONT face=sans-serif>: Companies should have compensation programs that are reasonable and that align shareholder and management interests over the longer term. Further, disclosure of compensation programs should provide absolute transparency to shareholders regarding the sources and amounts of, and the factors influencing, executive compensation. Appropriately designed equity-based compensation plans can be an effective way to align the interests of long-term shareholders with the interests of management. The funds may vote against executive compensation proposals on a case-by-case basis where compensation is excessive by reasonable corporate standards, or where a company fails to provide transparent disclosure of executive compensation. In voting on a proposal relating to executive compensation, the funds will consider whether the proposal has been approved by an independent compensation committee of the board.</FONT></P>
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<P align=left><B><U><FONT face=sans-serif>Capitalization</FONT></U></B></P>
<P align=left><FONT face=sans-serif>Many proxy proposals involve changes in a company&#146;s capitalization, including the authorization of additional stock, the issuance of stock, the repurchase of outstanding stock, or the approval of a stock split. The management of a company&#146;s capital structure involves a number of important issues, including cash flow, financing needs, and market conditions that are unique to the circumstances of the company. As a result, the funds will vote on a </FONT><B><U><FONT face=sans-serif>case-by-case basis </FONT></U></B><FONT face=sans-serif>on board-approved proposals involving changes to a company&#146;s capitalization, except that where the funds are not otherwise withholding votes from the entire board of directors:</FONT></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will vote </FONT><B><U><FONT face=sans-serif>for </FONT></U></B><FONT face=sans-serif>proposals relating to the authorization and issuance of additional common stock (except where such proposals relate to a specific transaction).</FONT></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will vote </FONT><B><U><FONT face=sans-serif>for </FONT></U></B><FONT face=sans-serif>proposals to effect stock splits (excluding reverse stock splits).</FONT></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will vote </FONT><B><U><FONT face=sans-serif>for </FONT></U></B><FONT face=sans-serif>proposals authorizing share repurchase programs.</FONT></P>
<P align=left><U><FONT face=sans-serif>Commentary</FONT></U><FONT face=sans-serif>: A company may decide to authorize additional shares of common stock for reasons relating to executive compensation or for routine business purposes. For the most part, these decisions are best left to the board of directors and senior management. The funds will vote on a case-by-case basis, however, on other proposals to change a company&#146;s capitalization, including the authorization of common stock with special voting rights, the authorization or issuance of common stock in connection with a specific transaction (e.g., an acquisition, merger or reorganization), or the authorization or issuance of preferred stock. Actions such as these involve a number of considerations that may affect a shareholder&#146;s investment and that warrant a case-by-case determination.</FONT></P>
<P align=left><B><U><FONT face=sans-serif>Acquisitions, Mergers, Reincorporations, Reorganizations and Other Transactions</FONT></U></B></P>
<P align=left><FONT face=sans-serif>Shareholders may be confronted with a number of different types of transactions, including acquisitions, mergers, reorganizations involving business combinations, liquidations, and the sale of all or substantially all of a company&#146;s assets, which may require their consent. Voting on such proposals involves considerations unique to each transaction. As a result, the funds will vote on a </FONT><B><U><FONT face=sans-serif>case-by-case basis </FONT></U></B><FONT face=sans-serif>on board-approved proposals to effect these types of transactions, except as follows:</FONT></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will vote </FONT><B><U><FONT face=sans-serif>for </FONT></U></B><FONT face=sans-serif>mergers and reorganizations involving business combinations designed solely to reincorporate a company in Delaware.</FONT></P>
<P align=left><U><FONT face=sans-serif>Commentary</FONT></U><FONT face=sans-serif>: A company may reincorporate into another state through a merger or reorganization by setting up a &#147;shell&#148; company in a different state and then merging the company into the new company. While reincorporation into states with extensive and established corporate laws &#150; notably Delaware &#150; provides companies and shareholders with a more well-defined legal framework, shareholders must carefully consider the</FONT></P>
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<P align=left><FONT face=sans-serif>reasons for a reincorporation into another jurisdiction, including especially an offshore jurisdiction.</FONT></P>
<P align=left><B><U><FONT face=sans-serif>Anti-Takeover Measures</FONT></U></B></P>
<P align=left><FONT face=sans-serif>Some proxy proposals involve efforts by management to make it more difficult for an outside party to take control of the company without the approval of the company&#146;s board of directors. These include the adoption of a shareholder rights plan, requiring supermajority voting on particular issues, the adoption of fair price provisions, the issuance of blank check preferred stock, and the creation of a separate class of stock with disparate voting rights. Such proposals may adversely affect shareholder rights, lead to management entrenchment, or create conflicts of interest. As a result, the funds will vote </FONT><B><U><FONT face=sans-serif>against </FONT></U></B><FONT face=sans-serif>board-approved proposals to adopt such anti-takeover measures, except as follows:</FONT></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will vote on a </FONT><B><U><FONT face=sans-serif>case-by-case basis </FONT></U></B><FONT face=sans-serif>on proposals to ratify or approve shareholder rights plans; and</FONT></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will vote on a </FONT><B><U><FONT face=sans-serif>case-by-case basis </FONT></U></B><FONT face=sans-serif>on proposals to adopt fair price provisions.</FONT></P>
<P align=left><U><FONT face=sans-serif>Commentary</FONT></U><FONT face=sans-serif>: The funds&#146; Trustees recognize that poison pills and fair price provisions may enhance shareholder value under certain circumstances. As a result, the funds will consider proposals to approve such matters on a case-by-case basis.</FONT></P>
<P align=left><B><U><FONT face=sans-serif>Other Business Matters</FONT></U></B></P>
<P align=left><FONT face=sans-serif>Many proxies involve approval of routine business matters, such as changing a company&#146;s name, ratifying the appointment of auditors, and procedural matters relating to the shareholder meeting. For the most part, these routine matters do not materially affect shareholder interests and are best left to the board of directors and senior management of the company. The funds will vote </FONT><B><U><FONT face=sans-serif>for </FONT></U></B><FONT face=sans-serif>board-approved proposals approving such matters, except as follows:</FONT></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will vote on a </FONT><B><U><FONT face=sans-serif>case-by-case basis </FONT></U></B><FONT face=sans-serif>on proposals to amend a company&#146;s charter or bylaws (except for charter amendments necessary to effect stock splits, to change a company&#146;s name or to authorize additional shares of common stock).</FONT></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will vote </FONT><B><U><FONT face=sans-serif>against </FONT></U></B><FONT face=sans-serif>authorization to transact other unidentified, substantive business at the meeting.</FONT></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will vote on a </FONT><B><U><FONT face=sans-serif>case-by-case basis </FONT></U></B><FONT face=sans-serif>on proposals to ratify the selection of independent auditors if there is evidence that the audit firm&#146;s independence or the integrity of an audit is compromised.</FONT></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will vote on a </FONT><B><U><FONT face=sans-serif>case-by-case basis </FONT></U></B><FONT face=sans-serif>on other business matters where the funds are otherwise withholding votes for the entire board of directors.</FONT></P>
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<P align=left><U><FONT face=sans-serif>Commentary</FONT></U><FONT face=sans-serif>: Charter and bylaw amendments and the transaction of other unidentified, substantive business at a shareholder meeting may directly affect shareholder rights and have a significant impact on shareholder value. As a result, the funds do not view these items as routine business matters. Putnam Management&#146;s investment professionals and the funds&#146; proxy voting service may also bring to the Proxy Coordinator&#146;s attention company-specific items that they believe to be non-routine and warranting special consideration. Under these circumstances, the funds will vote on a case-by-case basis.</FONT></P>
<P align=left><FONT face=sans-serif>The fund&#146;s proxy voting service may identify circumstances that call into question an audit firm&#146;s independence or the integrity of an audit. These circumstances may include recent material restatements of financials, unusual audit fees, egregious contractual relationships, and aggressive accounting policies. The funds will consider proposals to ratify the selection of auditors in these circumstances on a case-by-case basis. In all other cases, given the existence of rules that enhance the independence of audit committees and auditors by, for example, prohibiting auditors from performing a range of non-audit services for audit clients, the funds will vote for the ratification of independent auditors.</FONT></P>
<P align=left><B><FONT face=sans-serif>II. SHAREHOLDER PROPOSALS</FONT></B></P>
<P align=left><FONT face=sans-serif>SEC regulations permit shareholders to submit proposals for inclusion in a company&#146;s proxy statement. These proposals generally seek to change some aspect of the company&#146;s corporate governance structure or to change some aspect of its business operations. The funds generally will vote </FONT><B><U><FONT face=sans-serif>in accordance with the recommendation of the company&#146;s board of directors </FONT></U></B><FONT face=sans-serif>on all shareholder proposals, except as follows:</FONT></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will vote </FONT><B><U><FONT face=sans-serif>for </FONT></U></B><FONT face=sans-serif>shareholder proposals to declassify a board, absent special circumstances which would indicate that shareholder interests are better served by a classified board structure.</FONT></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will vote </FONT><B><U><FONT face=sans-serif>for </FONT></U></B><FONT face=sans-serif>shareholder proposals to require shareholder approval of shareholder rights plans.</FONT></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will vote </FONT><B><U><FONT face=sans-serif>for </FONT></U></B><FONT face=sans-serif>shareholder proposals requiring companies to make cash payments under management severance agreements only if both of the following conditions are met:</FONT></P>
<P align=left><FONT face=sans-serif>&#149; </FONT><FONT face=sans-serif>the company undergoes a change in control, and</FONT></P>
<P align=left><FONT face=sans-serif>&#149; </FONT><FONT face=sans-serif>the change in control results in the termination of employment for the person receiving the severance payment.</FONT></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will vote </FONT><B><U><FONT face=sans-serif>on a case-by-case basis </FONT></U></B><FONT face=sans-serif>on shareholder proposals requiring companies to accelerate vesting of equity awards under management severance agreements only if both of the following conditions are met:</FONT></P>
<P align=left><FONT face=sans-serif>&#149; </FONT><FONT face=sans-serif>the company undergoes a change in control, and</FONT></P>
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<P align=left><FONT face=sans-serif>&#149; </FONT><FONT face=sans-serif>the change in control results in the termination of employment for the person receiving the severance payment.</FONT></P>
<P align=left><FONT face=sans-serif><FONT size=1>&#9658;</FONT> </FONT><FONT face=sans-serif>The funds will vote </FONT><B><U><FONT face=sans-serif>on a case-by-case basis </FONT></U></B><FONT face=sans-serif>on shareholder proposals to limit a company&#146;s ability to make excise tax gross-up payments under management severance agreements.</FONT></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will vote </FONT><B><U><FONT face=sans-serif>on a case-by-case basis </FONT></U></B><FONT face=sans-serif>on shareholder proposals requesting that the board adopt a policy to recoup, in the event of a significant restatement of financial results or significant extraordinary write-off, to the fullest extent practicable, for the benefit of the company, all performance-based bonuses or awards that were paid to senior executives based on the company having met or exceeded specific performance targets to the extent that the specific performance targets were not, in fact, met.</FONT></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will vote </FONT><B><U><FONT face=sans-serif>for </FONT></U></B><FONT face=sans-serif>shareholder proposals requiring a company to report on its executive retirement benefits (e.g., deferred compensation, split-dollar life insurance, SERPs and pension benefits).</FONT></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will vote </FONT><B><U><FONT face=sans-serif>for </FONT></U></B><FONT face=sans-serif>shareholder proposals requiring a company to disclose its relationships with executive compensation consultants (e.g., whether the company, the board or the compensation committee retained the consultant, the types of services provided by the consultant over the past five years, and a list of the consultant&#146;s clients on which any of the company&#146;s executives serve as a director).</FONT></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will vote </FONT><B><U><FONT face=sans-serif>for </FONT></U></B><FONT face=sans-serif>shareholder proposals that are consistent with the funds&#146; proxy voting guidelines for board-approved proposals.</FONT></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will vote on a </FONT><B><U><FONT face=sans-serif>case-by-case basis </FONT></U></B><FONT face=sans-serif>on other shareholder proposals where the funds are otherwise withholding votes for the entire board of directors.</FONT></P>
<P align=left><U><FONT face=sans-serif>Commentary</FONT></U><FONT face=sans-serif>: In light of the substantial reforms in corporate governance that are currently underway, the funds&#146; Trustees believe that effective corporate reforms should be promoted by holding boards of directors &#150; and in particular their independent directors &#150; accountable for their actions, rather than by imposing additional legal restrictions on board governance through piecemeal proposals. Generally speaking, shareholder proposals relating to business operations are often motivated primarily by political or social concerns, rather than the interests of shareholders as investors in an economic enterprise. As stated above, the funds&#146; Trustees believe that boards of directors and management are responsible for ensuring that their businesses are operating in accordance with high legal and ethical standards and should be held accountable for resulting corporate behavior. Accordingly, the funds will generally support the
 recommendations of boards that meet the basic independence and governance standards established in these guidelines. Where boards fail to meet these standards, the funds will generally evaluate shareholder proposals on a case-by-case basis.</FONT></P>
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<P align="left">
<FONT face="sans-serif">However, the funds generally support shareholder proposals to declassify a board or to require shareholder approval of shareholder rights plans The funds&#146; Trustees believe that these shareholder proposals further the
goals of reducing management entrenchment and conflicts of interest, and aligning management&#146;s interests with shareholders&#146; interests in evaluating proposed acquisitions of the company. The Trustees also believe that shareholder proposals
to limit severance payments may further these goals in some instances. In general, the funds favor arrangements in which severance payments are made to an executive only when there is a change in control and the executive loses his or her job as a
result. Arrangements in which an executive receives a payment upon a change of control even if the executive retains employment introduce potential conflicts of interest and may distract management focus from the long term success of the
company.</FONT></P>
<P align="left">
<FONT face="sans-serif">In evaluating shareholder proposals that address severance payments, the funds distinguish between cash and equity payments. The funds generally do not favor cash payments to executives upon a change in control transaction if
the executive retains employment. However, the funds recognize that accelerated vesting of equity incentives, even without termination of employment, may help to align management and shareholder interests in some instances, and will evaluate
shareholder proposals addressing accelerated vesting of equity incentive payments on a case-by-case basis.</FONT></P>
<P align="left">
<FONT face="sans-serif">When severance payments exceed a certain amount based on the executive&#146;s previous compensation, the payments may be subject to an excise tax. Some compensation arrangements provide for full excise tax gross-ups, which
means that the company pays the executive sufficient additional amounts to cover the cost of the excise tax. The funds are concerned that the benefits of providing full excise tax gross-ups to executives may be outweighed by the cost to the company
of the gross-up payments. Accordingly, the funds will vote on a case-by-case basis on shareholder proposals to curtail excise tax gross-up payments. The funds generally favor arrangements in which severance payments do not trigger an excise tax or
in which the company&#146;s obligations with respect to gross-up payments are limited in a reasonable manner.</FONT></P>
<P align="left">
<FONT face="sans-serif">The funds&#146; Trustees will also consider whether a company&#146;s severance payment arrangements, taking all of the pertinent circumstances into account, constitute excessive compensation.</FONT></P>
<P align="left">
<FONT face="sans-serif">The funds&#146; Trustees believe that performance-based compensation can be an effective tool for aligning management and shareholder interests. However, to fulfill its purpose, performance compensation should only be paid to
executives if the performance targets are actually met. A significant restatement of financial results or a significant extraordinary write-off may reveal that executives who were previously paid performance compensation did not actually deliver the
required business performance to earn that compensation. In these circumstances, it may be appropriate for the company to recoup this performance compensation. The fund will consider on a case by case basis shareholder proposals requesting that the
board adopt a policy to recoup, in the event of a significant restatement of financial results or significant extraordinary write-off, performance-based bonuses or awards paid to senior executives based on the company</FONT></P>

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<P align=left><FONT face=sans-serif>having met or exceeded specific performance targets to the extent that the specific performance targets were not, in fact, met. The fund does not believe that such a policy should necessarily disadvantage a company in recruiting executives, as executives should understand that they are only entitled to performance compensation based on the actual performance they deliver.</FONT></P>
<P align=left><FONT face=sans-serif>The funds&#146; Trustees also believe that shareholder proposals that are intended to increase transparency, particularly with respect to executive compensation, without establishing rigid restrictions upon a company&#146;s ability to attract and motivate talented executives, are generally beneficial to sound corporate governance without imposing undue burdens. The funds will generally support shareholder proposals calling for reasonable disclosure.</FONT></P>
<P align=left><B><FONT face=sans-serif>III. VOTING SHARES OF NON-U.S. ISSUERS</FONT></B></P>
<P align=left><FONT face=sans-serif>Many of the Putnam funds invest on a global basis, and, as a result, they may hold, and have an opportunity to vote, shares in non-U.S. issuers &#150; i.e., issuers that are incorporated under the laws of foreign jurisdictions and whose shares are not listed on a U.S. securities exchange or the NASDAQ stock market.</FONT></P>
<P align=left><FONT face=sans-serif>In many non-U.S. markets, shareholders who vote proxies of a non-U.S. issuer are not able to trade in that company&#146;s stock on or around the shareholder meeting date. This practice is known as &#147;share blocking.&#148; In countries where share blocking is practiced, the funds will vote proxies only with direction from Putnam Management&#146;s investment professionals.</FONT></P>
<P align=left><FONT face=sans-serif>In addition, some non-U.S. markets require that a company&#146;s shares be re-registered out of the name of the local custodian or nominee into the name of the shareholder for the shareholder to be able to vote at the meeting. This practice is known as &#147;share reregistration.&#148; As a result, shareholders, including the funds, are not able to trade in that company&#146;s stock until the shares are re-registered back in the name of the local custodian or nominee following the meeting. In countries where share re-registration is practiced, the funds will generally not vote proxies.</FONT></P>
<P align=left><FONT face=sans-serif>Protection for shareholders of non-U.S. issuers may vary significantly from jurisdiction to jurisdiction. Laws governing non-U.S. issuers may, in some cases, provide substantially less protection for shareholders than do U.S. laws. As a result, the guidelines applicable to U.S. issuers, which are premised on the existence of a sound corporate governance and disclosure framework, may not be appropriate under some circumstances for non-U.S. issuers. However, the funds will vote proxies of non-U.S. issuers </FONT><B><U><FONT face=sans-serif>in accordance with the guidelines applicable to U.S. issuers</FONT></U></B><FONT face=sans-serif>, except as follows:</FONT></P>
<P align=left><B><U><FONT face=sans-serif>Uncontested Election of Directors</FONT></U></B></P>
<P align=left><I><FONT face=sans-serif>Germany</FONT></I></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>For companies subject to &#147;co-determination,&#148; the funds will vote on a </FONT><B><U><FONT face=sans-serif>case by-case basis </FONT></U></B><FONT face=sans-serif>for the election of nominees to the supervisory board.</FONT></P>
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<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will </FONT><B><U><FONT face=sans-serif>withhold votes </FONT></U></B><FONT face=sans-serif>for the election of a former member of the company&#146;s managerial board to chair of the supervisory board.</FONT></P>
<P align=left><U><FONT face=sans-serif>Commentary</FONT></U><FONT face=sans-serif>: German corporate governance is characterized by a two-tier board system&#151;a managerial board composed of the company&#146;s executive officers, and a supervisory board. The supervisory board appoints the members of the managerial board. Shareholders elect members of the supervisory board, except that in the case of companies with more than 2,000 employees, company employees are allowed to elect half of the supervisory board members. This &#147;co-determination&#148; practice may increase the chances that the supervisory board of a large German company does not contain a majority of independent members. In this situation, under the Fund&#146;s proxy voting guidelines applicable to U.S. issuers, the funds would vote against all nominees. However, in the case of companies subject to &#147;co-determination,&#148; the Funds will vote for supervisory board members on a case-by-case basis, so that the funds can support independen
t nominees.</FONT></P>
<P align=left><FONT face=sans-serif>Consistent with the funds&#146; belief that the interests of shareholders are best protected by boards with strong, independent leadership, the funds will withhold votes for the election of former chairs of the managerial board to chair of the supervisory board.</FONT></P>
<P align=left><I><FONT face=sans-serif>Japan</FONT></I></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>For companies that have established a U.S.-style corporate governance structure, the funds will </FONT><B><U><FONT face=sans-serif>withhold votes </FONT></U></B><FONT face=sans-serif>for the entire board of directors if</FONT></P>
<P align=left><FONT face=sans-serif>&#149; </FONT><FONT face=sans-serif>the board does not have a majority of </FONT><U><FONT face=sans-serif>outside directors</FONT></U><FONT face=sans-serif>,</FONT></P>
<P align=left><FONT face=sans-serif>&#149; </FONT><FONT face=sans-serif>the board has not established nominating and compensation committees composed of a majority of </FONT><U><FONT face=sans-serif>outside directors</FONT></U><FONT face=sans-serif>, or</FONT></P>
<P align=left><FONT face=sans-serif>&#149; </FONT><FONT face=sans-serif>the board has not established an audit committee composed of a majority of </FONT><U><FONT face=sans-serif>independent directors</FONT></U><FONT face=sans-serif>.</FONT></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will </FONT><B><U><FONT face=sans-serif>withhold votes </FONT></U></B><FONT face=sans-serif>for the appointment of members of a company&#146;s board of statutory auditors if a majority of the members of the board of statutory auditors is not independent.</FONT></P>
<P align=left><U><FONT face=sans-serif>Commentary</FONT></U><FONT face=sans-serif>:</FONT></P>
<P align=left><B><FONT face=sans-serif>Board structure</FONT></B><FONT face=sans-serif>: Recent amendments to the Japanese Commercial Code give companies the option to adopt a U.S.-style corporate governance structure (i.e., a board of directors and audit, nominating, and compensation committees). The funds will vote </FONT><B><U><FONT face=sans-serif>for </FONT></U></B><FONT face=sans-serif>proposals to amend a company&#146;s articles of incorporation to adopt the U.S.-style corporate structure.</FONT></P>
<P align=left><B><FONT face=sans-serif>Definition of outside director and independent director</FONT></B><FONT face=sans-serif>: Corporate governance principles in Japan focus on the distinction between outside directors and independent directors. Under these principles, an outside director is a director who is not and has</FONT></P>
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<P align=left><FONT face=sans-serif>never been a director, executive, or employee of the company or its parent company, subsidiaries or affiliates. An outside director is &#147;independent&#148; if that person can make decisions completely independent from the managers of the company, its parent, subsidiaries, or affiliates and does not have a material relationship with the company (i.e., major client, trading partner, or other business relationship; familial relationship with current director or executive; etc.). The guidelines have incorporated these definitions in applying the board independence standards above.</FONT></P>
<P align=left><I><FONT face=sans-serif>Korea</FONT></I></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will </FONT><B><U><FONT face=sans-serif>withhold votes </FONT></U></B><FONT face=sans-serif>for the entire board of directors if</FONT></P>
<P align=left><FONT face=sans-serif>&#149; </FONT><FONT face=sans-serif>the board does not have a majority of outside directors,</FONT></P>
<P align=left><FONT face=sans-serif>&#149; </FONT><FONT face=sans-serif>the board has not established a nominating committee composed of at least a majority of outside directors, or</FONT></P>
<P align=left><FONT face=sans-serif>&#149; </FONT><FONT face=sans-serif>the board has not established an audit committee composed of at least three members and in which at least two-thirds of its members are outside directors.</FONT></P>
<P align=left><U><FONT face=sans-serif>Commentary</FONT></U><FONT face=sans-serif>: For purposes of these guideline, an &#147;outside director&#148; is a director that is independent from the management or controlling shareholders of the company, and holds no interests that might impair performing his or her duties impartially from the company, management or controlling shareholder. In determining whether a director is an outside director, the funds will also apply the standards included in Article 415-2(2) of the Korean Commercial Code (i.e., no employment relationship with the company for a period of two years before serving on the committee, no director or employment relationship with the company&#146;s largest shareholder, etc.) and may consider other business relationships that would affect the independence of an outside director.</FONT></P>
<P align=left><I><FONT face=sans-serif>Russia</FONT></I></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will vote on a </FONT><B><U><FONT face=sans-serif>case-by-case basis </FONT></U></B><FONT face=sans-serif>for the election of nominees to the board of directors.</FONT></P>
<P align=left><U><FONT face=sans-serif>Commentary</FONT></U><FONT face=sans-serif>: In Russia, director elections are typically handled through a cumulative voting process. Cumulative voting allows shareholders to cast all of their votes for a single nominee for the board of directors, or to allocate their votes among nominees in any other way. In contrast, in &#147;regular&#148; voting, shareholders may not give more than one vote per share to any single nominee. Cumulative voting can help to strengthen the ability of minority shareholders to elect a director.</FONT></P>
<P align=left><FONT face=sans-serif>In Russia, as in some other emerging markets, standards of corporate governance are usually behind those in developed markets. Rather than vote against the entire board of directors, as the funds generally would in the case of a company whose board fails to meet the funds&#146; standards for independence, the funds may, on a case by case basis, cast all of their votes for one or more independent director nominees. The funds believe that</FONT></P>
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<P align=left><FONT face=sans-serif>it is important to increase the number of independent directors on the boards of Russian companies to mitigate the risks associated with dominant shareholders.</FONT></P>
<P align=left><I><FONT face=sans-serif>United Kingdom</FONT></I></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will </FONT><B><U><FONT face=sans-serif>withhold votes </FONT></U></B><FONT face=sans-serif>for the entire board of directors if</FONT></P>
<P align=left><FONT face=sans-serif>&#149; </FONT><FONT face=sans-serif>the board does not have at least a majority of independent non-executive directors,</FONT></P>
<P align=left><FONT face=sans-serif>&#149; </FONT><FONT face=sans-serif>the board has not established a nomination committee composed of a majority of independent non-executive directors, or</FONT></P>
<P align=left><FONT face=sans-serif>&#149; </FONT><FONT face=sans-serif>the board has not established compensation and audit committees composed of (1) at least three directors (in the case of smaller companies, two directors) and (2) solely independent non-executive directors.</FONT></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will </FONT><B><U><FONT face=sans-serif>withhold votes </FONT></U></B><FONT face=sans-serif>for any nominee for director who is considered an independent director by the company and who has received compensation from the company other than for service as a director, such as investment banking, consulting, legal, or financial advisory fees.</FONT></P>
<P align=left><U><FONT face=sans-serif>Commentary</FONT></U><FONT face=sans-serif>:</FONT></P>
<P align=left><B><FONT face=sans-serif>Application of guidelines</FONT></B><FONT face=sans-serif>: Although the United Kingdom&#146;s Combined Code on Corporate Governance (&#147;Combined Code&#148;) has adopted the &#147;comply and explain&#148; approach to corporate governance, the funds&#146; Trustees believe that the guidelines discussed above with respect to board independence standards are integral to the protection of investors in U.K. companies. As a result, these guidelines will be applied in a prescriptive manner.</FONT></P>
<P align=left><B><FONT face=sans-serif>Definition of independence</FONT></B><FONT face=sans-serif>: For the purposes of these guidelines, a non-executive director shall be considered independent if the director meets the independence standards in section A.3.1 of the Combined Code (i.e., no material business or employment relationships with the company, no remuneration from the company for non-board services, no close family ties with senior employees or directors of the company, etc.), except that the funds do not view service on the board for more than nine years as affecting a director&#146;s independence.</FONT></P>
<P align=left><B><FONT face=sans-serif>Smaller companies</FONT></B><FONT face=sans-serif>: A smaller company is one that is below the FTSE 350 throughout the year immediately prior to the reporting year.</FONT></P>
<P align=left><B><U><FONT face=sans-serif>Other Matters</FONT></U></B></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will vote </FONT><B><U><FONT face=sans-serif>for </FONT></U></B><FONT face=sans-serif>shareholder proposals calling for a majority of a company&#146;s directors to be independent of management.</FONT></P>
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<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will vote </FONT><B><U><FONT face=sans-serif>for </FONT></U></B><FONT face=sans-serif>shareholder proposals seeking to increase the independence of board nominating, audit, and compensation committees.</FONT></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will vote </FONT><B><U><FONT face=sans-serif>for </FONT></U></B><FONT face=sans-serif>shareholder proposals that implement corporate governance standards similar to those established under U.S. federal law and the listing requirements of U.S. stock exchanges, and that do not otherwise violate the laws of the jurisdiction under which the company is incorporated.</FONT></P>
<P align=left><FONT face=sans-serif><FONT face=sans-serif><FONT size=1>&#9658;</FONT></FONT> </FONT><FONT face=sans-serif>The funds will vote on a </FONT><B><U><FONT face=sans-serif>case-by-case basis </FONT></U></B><FONT face=sans-serif>on proposals relating to (1) the issuance of common stock in excess of 20% of the company&#146;s outstanding common stock where shareholders do not have preemptive rights, or (2) the issuance of common stock in excess of 100% of the company&#146;s outstanding common stock where shareholders have preemptive rights.</FONT></P>
<P align=left><FONT face=sans-serif>As adopted February 15, 2008</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>Proxy Voting Procedures of the Putnam Funds</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>The proxy voting procedures below explain the role of the funds&#146; Trustees, the proxy voting service and the Proxy Coordinator, as well as how the process will work when a proxy question needs to be handled on a case-by-case basis, or when there may be a conflict of interest.</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>The role of the funds&#146; Trustees</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>The Trustees of the Putnam funds exercise control of the voting of proxies through their Board Policy and Nominating Committee, which is composed entirely of independent Trustees. The Board Policy and Nominating Committee oversees the proxy voting process and participates, as needed, in the resolution of issues that need to be handled on a case-by-case basis. The Committee annually reviews and recommends, for Trustee approval, guidelines governing the funds&#146; proxy votes, including how the funds vote on specific proposals and which matters are to be considered on a case-by-case basis. The Trustees are assisted in this process by their independent administrative staff (&#147;Office of the Trustees&#148;), independent legal counsel, and an independent proxy voting service. The Trustees also receive assistance from Putnam Investment Management, LLC (&#147;Putnam Management&#148;), the funds&#146; investment advisor, on matters involving investment judgments. In all
 cases, the ultimate decision on voting proxies rests with the Trustees, acting as fiduciaries on behalf of the shareholders of the funds.</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>The role of the proxy voting service</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>The funds have engaged an independent proxy voting service to assist in the voting of proxies. The proxy voting service is responsible for coordinating with the funds&#146; custodians to ensure that all proxy materials received by the custodians relating to the funds&#146; portfolio securities are processed in a timely fashion. To the extent applicable, the proxy voting service votes all proxies in accordance with the proxy voting guidelines established by the Trustees. The proxy voting service will refer proxy questions to the Proxy Coordinator (described below) for instructions under circumstances where: (1) the application of the proxy voting guidelines is unclear; (2) a particular proxy question is not covered by the guidelines; or (3) the guidelines call for specific instructions on a case-by-case basis. The proxy voting service is also requested to call to the Proxy Coordinator&#146;s attention specific</FONT></P>
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<P align=left><FONT face=sans-serif size=2>proxy questions that, while governed by a guideline, appear to involve unusual or controversial issues. The funds also utilize research services relating to proxy questions provided by the proxy voting service and by other firms.</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>The role of the Proxy Coordinator</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>Each year, a member of the Office of the Trustees is appointed Proxy Coordinator to assist in the coordination and voting of the funds&#146; proxies. The Proxy Coordinator will deal directly with the proxy voting service and, in the case of proxy questions referred by the proxy voting service, will solicit voting recommendations and instructions from the Office of the Trustees, the Chair of the Board Policy and Nominating Committee, and Putnam Management&#146;s investment professionals, as appropriate. The Proxy Coordinator is responsible for ensuring that these questions and referrals are responded to in a timely fashion and for transmitting appropriate voting instructions to the proxy voting service.</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>Voting procedures for referral items</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>As discussed above, the proxy voting service will refer proxy questions to the Proxy Coordinator under certain circumstances. When the application of the proxy voting guidelines is unclear or a particular proxy question is not covered by the guidelines (and does not involve investment considerations), the Proxy Coordinator will assist in interpreting the guidelines and, as appropriate, consult with one of more senior staff members of the Office of the Trustees and the Chair of the Board Policy and Nominating Committee on how the funds&#146; shares will be voted.</FONT></P>
<P align=left><FONT face=sans-serif size=2>For proxy questions that require a case-by-case analysis pursuant to the guidelines or that are not covered by the guidelines but involve investment considerations, the Proxy Coordinator will refer such questions, through a written request, to Putnam Management&#146;s investment professionals for a voting recommendation. Such referrals will be made in cooperation with the person or persons designated by Putnam Management&#146;s Legal and Compliance Department to assist in processing such referral items. In connection with each such referral item, the Legal and Compliance Department will conduct a conflicts of interest review, as described below under &#147;Conflicts of Interest,&#148; and provide a conflicts of interest report (the &#147;Conflicts Report&#148;) to the Proxy Coordinator describing the results of such review. After receiving a referral item from the Proxy Coordinator, Putnam Management&#146;s investment professionals will provide a written recommendat
ion to the Proxy Coordinator and the person or persons designated by the Legal and Compliance Department to assist in processing referral items. Such recommendation will set forth (1) how the proxies should be voted; (2) the basis and rationale for such recommendation; and (3) any contacts the investment professionals have had with respect to the referral item with non-investment personnel of Putnam Management or with outside parties (except for routine communications from proxy solicitors). The Proxy Coordinator will then review the investment professionals&#146; recommendation and the Conflicts Report with one of more senior staff members of the Office of the Trustees in determining how to vote the funds&#146; proxies. The Proxy Coordinator will maintain a record of all proxy questions that have been referred to Putnam Management&#146;s investment professionals, the voting recommendation, and the Conflicts Report.</FONT></P>
<P align=left><FONT face=sans-serif size=2>In some situations, the Proxy Coordinator and/or one of more senior staff members of the Office of the Trustees may determine that a particular proxy question raises policy issues requiring consultation with the Chair of the Board Policy and Nominating Committee, who, in turn, may decide to bring the particular proxy question to the Committee or the full Board of Trustees for consideration.</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>Conflicts of interest</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>Occasions may arise where a person or organization involved in the proxy voting process may have a conflict of interest. A conflict of interest may exist, for example, if Putnam Management has a business relationship with (or is actively soliciting business from) either the company soliciting the</FONT></P>
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<P align=left><FONT face=sans-serif size=2>proxy or a third party that has a material interest in the outcome of a proxy vote or that is actively lobbying for a particular outcome of a proxy vote. Any individual with knowledge of a personal conflict of interest (e.g., familial relationship with company management) relating to a particular referral item shall disclose that conflict to the Proxy Coordinator and the Legal and Compliance Department and otherwise remove himself or herself from the proxy voting process. The Legal and Compliance Department will review each item referred to Putnam Management&#146;s investment professionals to determine if a conflict of interest exists and will provide the Proxy Coordinator with a Conflicts Report for each referral item that (1) describes any conflict of interest; (2) discusses the procedures used to address such conflict of interest; and (3) discloses any contacts from parties outside Putnam Management (other than routine communications from proxy solicitors) with r
espect to the referral item not otherwise reported in an investment professional&#146;s recommendation. The Conflicts Report will also include written confirmation that any recommendation from an investment professional provided under circumstances where a conflict of interest exists was made solely on the investment merits and without regard to any other consideration.</FONT></P>
<P align=left><FONT face=sans-serif size=2>As adopted March 11, 2005</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>Item 8. Portfolio Managers of Closed-End Management Investment Companies</FONT></U></P>
<P align=left><FONT face=sans-serif>(a)(1) </FONT><FONT face=sans-serif><B>Portfolio Managers. </FONT></B><FONT face=sans-serif>The officers of Putnam Management identified below are primarily responsible for the day-to-day management of the fund's portfolio.</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="24%"></TD>
     <TD width="20%"></TD>
     <TD width="25%"></TD>
     <TD width="30%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif>Portfolio Manager(s)</FONT></B>&nbsp; </TD>
     <TD noWrap align=center><B><FONT face=sans-serif>Joined</FONT></B>&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=center><B><FONT face=sans-serif>Fund</FONT></B>&nbsp; </TD>
     <TD noWrap align=left><B><FONT face=sans-serif>Employer</FONT></B>&nbsp; </TD>
     <TD noWrap align=left><B><FONT face=sans-serif>Positions Over Past Five Years</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif>William Kohli</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif>2002</FONT>&nbsp; </TD>
     <TD noWrap align=left><B><FONT face=sans-serif>Putnam</FONT></B>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif>Team Leader, Portfolio Construction</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><B><FONT face=sans-serif>Management</FONT></B>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif>Previously Director, Global Core Team</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif>1994 &#150; Present</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif>Michael Atkin</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif>2007</FONT>&nbsp; </TD>
     <TD noWrap align=left><B><FONT face=sans-serif>Putnam</FONT></B>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif>Senior Economist</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><B><FONT face=sans-serif>Management</FONT></B>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif>Previously, Team Leader Country</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif>1997 &#150; Present</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif>Analysis</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif>Rob Bloemker</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif>2005</FONT>&nbsp; </TD>
     <TD noWrap align=left><B><FONT face=sans-serif>Putnam</FONT></B>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif>Deputy Head of Investments</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><B><FONT face=sans-serif>Management</FONT></B>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif>CIO Taxable Fixed Income, and Tax</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif>1999 &#150; Present</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif>Exempt Fixed Income and Fixed Income</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><FONT face=sans-serif>Money Market Teams</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
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<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="24%"></TD>
     <TD width="20%"></TD>
     <TD width="25%"></TD>
     <TD width="30%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif>Kevin Murphy</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif>2007</FONT>&nbsp; </TD>
     <TD noWrap align=left><B><FONT face=sans-serif>Putnam</FONT></B>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif>Team Leader, High Grade Credit Team</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left><B><FONT face=sans-serif>Management</FONT></B>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif>Previously, Investment Strategist</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif>1999 &#150; Present</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif>Paul Scanlon</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif>2005</FONT>&nbsp; </TD>
     <TD noWrap align=left><B><FONT face=sans-serif>Putnam</FONT></B>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif>Team Leader, U.S. High Yield Team</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><B><FONT face=sans-serif>Management</FONT></B>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif>Previously, Portfolio Manager; Analyst</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif>1999 &#150; Present</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif>(a)(2) </FONT><B><FONT face=sans-serif>Other Accounts Managed by the Fund&#146;s Portfolio Managers.</FONT></B></P>
<P align=left><FONT face=sans-serif>The following table shows the number and approximate assets of other investment accounts (or portions of investment accounts) that the fund&#146;s Portfolio Manager(s) managed as of the fund&#146;s most recent fiscal year-end. Unless noted, none of the other accounts pays a fee based on the account&#146;s performance.</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="14%"></TD>
     <TD width="14%"></TD>
     <TD width="14%"></TD>
     <TD width="14%"></TD>
     <TD width="14%"></TD>
     <TD width="14%"></TD>
     <TD width="14%"></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=center colSpan=2><B><FONT face=sans-serif size=2>Other accounts (including</FONT></B>&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=center colSpan=2><B><FONT face=sans-serif size=2>separate accounts, managed</FONT></B>&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=center colSpan=2><B><FONT face=sans-serif size=2>account programs and single-</FONT></B>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><B><FONT face=sans-serif size=2>Portfolio</FONT></B>&nbsp; </TD>
     <TD noWrap align=center colSpan=2><B><FONT face=sans-serif size=2>Other SEC-registered open-</FONT></B>&nbsp; </TD>
     <TD noWrap align=center colSpan=2><B><FONT face=sans-serif size=2>Other accounts that pool assets</FONT></B>&nbsp; </TD>
     <TD noWrap align=center colSpan=2><B><FONT face=sans-serif size=2>sponsor defined contribution</FONT></B>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><B><FONT face=sans-serif size=2>Manager(s)</FONT></B>&nbsp; </TD>
     <TD noWrap align=center colSpan=2><B><FONT face=sans-serif size=2>end and closed-end funds</FONT></B>&nbsp; </TD>
     <TD noWrap align=center colSpan=2><B><FONT face=sans-serif size=2>from more than one client</FONT></B>&nbsp; </TD>
     <TD noWrap align=center colSpan=2><B><FONT face=sans-serif size=2>plan offerings)</FONT></B>&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=center><FONT face=sans-serif size=2>Number</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>Assets</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>Number</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>Assets</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>Number</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>Assets</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>of</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>of</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>of</FONT>&nbsp; </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>accounts</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>accounts</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>accounts</FONT>&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><FONT face=sans-serif size=2>William Kohli</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>5</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$3,346,700,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>10</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>$1,289,800,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>9</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>$2,479,800,000</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Rob Bloemker</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>15</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$9,252,100,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>28</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$12,278,100,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>30*</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>$12,366,000,000</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Michael Atkin</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>5</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$3,346,700,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>4</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>$462,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>4</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>$1,851,800,000</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Paul Scanlon</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>10</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$6,171,600,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>13</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>$1,143,600,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>5</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>$437,100,000</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Kevin Murphy</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>10</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$7,046,100,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>21</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>$8,316,600,000</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>22</FONT>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>$7,768,400,000</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif>* </FONT><FONT face=sans-serif size=2>3 accounts, with total assets of $1,614,100,000, pay an advisory fee based on account performance.</FONT></P>
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<P align="left">
<U><FONT face="sans-serif">Potential conflicts of interest in managing multiple accounts. </FONT></U><FONT face="sans-serif">Like other investment professionals with multiple clients, the fund&#146;s Portfolio Manager(s) may
face certain potential conflicts of interest in connection with managing both the fund and the other accounts listed under &#147;Other Accounts Managed by the Fund&#146;s Portfolio Managers&#148; at the same time. The paragraphs below describe some
of these potential conflicts, which Putnam Management believes are faced by investment professionals at most major financial firms. As described below, Putnam Management and the Trustees of the Putnam funds have adopted compliance policies and
procedures that attempt to address certain of these potential conflicts.</FONT></P>
<P align="left">
<FONT face="sans-serif">The management of accounts with different advisory fee rates and/or fee structures, including accounts that pay advisory fees based on account performance (&#147;performance fee accounts&#148;), may raise potential conflicts
of interest by creating an incentive to favor higher-fee accounts. These potential conflicts may include, among others:</FONT></P>
<P align="left">
<FONT face="sans-serif">&#149; The most attractive investments could be allocated to higher-fee accounts or performance fee accounts.</FONT></P>
<P align="left">
<FONT face="sans-serif">&#149; The trading of higher-fee accounts could be favored as to timing and/or execution price. For example, higher-fee accounts could be permitted to sell securities earlier than other accounts when a prompt sale is
desirable or to buy securities at an earlier and more opportune time.</FONT></P>
<P align="left">
<FONT face="sans-serif">&#149; The trading of other accounts could be used to benefit higher-fee accounts (front- running).</FONT></P>
<P align="left">
<FONT face="sans-serif">&#149; The investment management team could focus their time and efforts primarily on higher-fee accounts due to a personal stake in compensation.</FONT></P>
<P align="left">
<FONT face="sans-serif">Putnam Management attempts to address these potential conflicts of interest relating to higher-fee accounts through various compliance policies that are generally intended to place all accounts, regardless of fee structure,
on the same footing for investment management purposes. For example, under Putnam Management&#146;s policies:</FONT></P>
<P align="left">
<FONT face="sans-serif">&#149; Performance fee accounts must be included in all standard trading and allocation procedures with all other accounts.</FONT></P>
<P align="left">
<FONT face="sans-serif">&#149; All accounts must be allocated to a specific category of account and trade in parallel with allocations of similar accounts based on the procedures generally applicable to all accounts in those groups (e.g., based on
relative risk budgets of accounts).</FONT></P>
<P align="left">
<FONT face="sans-serif">&#149; All trading must be effected through Putnam&#146;s trading desks and normal queues and procedures must be followed (i.e., no special treatment is permitted for performance fee accounts or higher-fee accounts based on
account fee structure). &#149; Front running is strictly prohibited.</FONT></P>
<P align="left">
<FONT face="sans-serif">&#149; The fund&#146;s Portfolio Manager(s) may not be guaranteed or specifically allocated any portion of a performance fee.</FONT></P>

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<P align="left">
<FONT face="sans-serif">As part of these policies, Putnam Management has also implemented trade oversight and review procedures in order to monitor whether particular accounts (including higher-fee accounts or performance fee accounts) are being
favored over time.</FONT></P>
<P align="left">
<FONT face="sans-serif">Potential conflicts of interest may also arise when the Portfolio Manager(s) have personal investments in other accounts that may create an incentive to favor those accounts. As a general matter and
subject to limited exceptions, Putnam Management&#146;s investment professionals do not have the opportunity to invest in client accounts, other than the Putnam funds. However, in the ordinary course of business, Putnam Management or related persons
may from time to time establish &#147;pilot&#148; or &#147;incubator&#148; funds for the purpose of testing proposed investment strategies and products prior to offering them to clients. These pilot accounts may be in the form of registered
investment companies, private funds such as partnerships or separate accounts established by Putnam Management or an affiliate. Putnam Management or an affiliate supplies the funding for these accounts. Putnam employees, including the fund&#146;s
Portfolio Manager(s), may also invest in certain pilot accounts. Putnam Management, and to the extent applicable, the Portfolio Manager(s) will benefit from the favorable investment performance of those
funds and accounts. Pilot funds and accounts may, and frequently do, invest in the same securities as the client accounts. Putnam Management&#146;s policy is to treat pilot accounts in the same manner as client accounts for purposes of trading
allocation &#150; neither favoring nor disfavoring them except as is legally required. For example, pilot accounts are normally included in Putnam Management&#146;s daily block trades to the same extent as client accounts (except that pilot accounts
do not participate in initial public offerings).</FONT></P>
<P align="left">
<FONT face="sans-serif">A potential conflict of interest may arise when the fund and other accounts purchase or sell the same securities. On occasions when the Portfolio Manager(s) consider the purchase or sale of a security to
be in the best interests of the fund as well as other accounts, Putnam Management&#146;s trading desk may, to the extent permitted by applicable laws and regulations, aggregate the securities to be sold or purchased in order to seek to obtain the
best execution and lower brokerage commissions, if any. Aggregation of trades may create the potential for unfairness to the fund or another account if one account is favored over another in allocating the securities purchased or sold &#150; for
example, by allocating a disproportionate amount of a security that is likely to increase in value to a favored account. Putnam Management&#146;s trade allocation policies generally provide that each day&#146;s transactions in securities that are
purchased or sold by multiple accounts are, insofar as possible, averaged as to price and allocated between such accounts (including the fund) in a manner which in Putnam Management&#146;s opinion is equitable to each account and in accordance with
the amount being purchased or sold by each account. Certain exceptions exist for specialty, regional or sector accounts. Trade allocations are reviewed on a periodic basis as part of Putnam Management&#146;s trade oversight procedures in an attempt
to ensure fairness over time across accounts.</FONT></P>
<P align="left">
<FONT face="sans-serif">&#147;Cross trades,&#148; in which one Putnam account sells a particular security to another account (potentially saving transaction costs for both accounts), may also pose a potential conflict</FONT></P>

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<P align="left">
<FONT face="sans-serif">of interest. Cross trades may be seen to involve a potential conflict of interest if, for example, one account is permitted to sell a security to another account at a higher price than an independent third party would pay.
Putnam Management and the fund&#146;s Trustees have adopted compliance procedures that provide that any transactions between the fund and another Putnam-advised account are to be made at an independent current market price, as required by
law.</FONT></P>
<P align="left">
<FONT face="sans-serif">Another potential conflict of interest may arise based on the different investment objectives and strategies of the fund and other accounts. For example, another account may have a shorter-term investment horizon or different
investment objectives, policies or restrictions than the fund. Depending on another account&#146;s objectives or other factors, the Portfolio Manager(s) may give advice and make decisions that may differ from advice given, or
the timing or nature of decisions made, with respect to the fund. In addition, investment decisions are the product of many factors in addition to basic suitability for the particular account involved. Thus, a particular security may be bought or
sold for certain accounts even though it could have been bought or sold for other accounts at the same time. More rarely, a particular security may be bought for one or more accounts managed by the Portfolio Manager(s) when one
or more other accounts are selling the security (including short sales). There may be circumstances when purchases or sales of portfolio securities for one or more accounts may have an adverse effect on other accounts. As noted above, Putnam
Management has implemented trade oversight and review procedures to monitor whether any account is systematically favored over time.</FONT></P>
<P align="left">
<FONT face="sans-serif">The fund&#146;s Portfolio Manager(s) may also face other potential conflicts of interest in managing the fund, and the description above is not a complete description of every conflict that could be
deemed to exist in managing both the fund and other accounts.</FONT></P>
<P align="left">
<FONT face="sans-serif">(a)(3) </FONT><B><FONT face="sans-serif">Compensation of portfolio managers. </FONT></B><FONT face="sans-serif">Putnam's goal for our products and investors is to deliver top quartile or better performance over a
rolling 3-year period versus peers on a pre-tax basis. For this fund, the peer group Putnam compares fund performance against is its broad investment category as determined by Lipper Inc. and identified in the shareholder report included in
Item 1. Each portfolio manager is assigned an industry competitive incentive compensation target for achieving this goal. The target is based in part on the type and amount of assets the individual manages. The target increases or decreases depending on whether the
portfolio manager's performance is higher or lower than the top quartile, subject to a maximum increase of 50%, for a portfolio manager who outperforms at least 90% of his or her peer group, and a maximum decrease of 100%, for a portfolio manager who outperforms less than 25% of his or
her peer group. For example, the target of a portfolio manager who outperforms 50% of his or her peer group would decrease 50%. Investment performance of a portfolio manager is asset-weighted across the products he or she manages.</FONT></P>
<FONT face="sans-serif">Portfolio manager incentive compensation targets are also adjusted for company performance/economics. Actual incentive compensation may be greater or less than a portfolio manager's target, as it takes into consideration
team/group performance and qualitative performance factors. Incentive compensation includes a cash bonus and may also include grants of restricted stock or options. In addition to incentive compensation, portfolio managers receive fixed annual salaries typically based on level
of responsibility and experience.</FONT></P>

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<A name="page_24"></A>
<P align=left><FONT face=sans-serif>(a)(4) </FONT><B><FONT face=sans-serif>Fund ownership. </FONT></B><FONT face=sans-serif>The following table shows the dollar ranges of shares of the fund owned by the professionals listed above at the end of the fund&#146;s last two fiscal years, including investments by their immediate family members and amounts invested through retirement and deferred compensation plans.</FONT></P>
<P align=left>
<IMG src="itemtwox24x1.jpg" border=0>
&nbsp;</P>
<P align=left><FONT face=sans-serif size=1>N/A indicates the individual was not a Portfolio Leader or Portfolio Member as of 9/30/07.</FONT></P>
<P align=left><FONT face=sans-serif>(b) Not applicable</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers:</FONT></U></P>
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<A name="page_25"></A><BR>
<BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="20%"><FONT face=sans-serif size=2>Registrant Purchase of Equity Securities</FONT>&nbsp; </TD>
     <TD width="20%"></TD>
     <TD width="20%"></TD>
     <TD width="20%"></TD>
     <TD width="20%"></TD></TR>
<TR>
     <TD></TD>
     <TD></TD>
     <TD></TD>
     <TD></TD>
     <TD></TD></TR>
<TR>
     <TD></TD>
     <TD></TD>
     <TD></TD>
     <TD></TD>
     <TD><FONT face=sans-serif size=2>Maximum</FONT>&nbsp; </TD></TR>
<TR>
     <TD></TD>
     <TD></TD>
     <TD></TD>
     <TD><FONT face=sans-serif size=2>Total Number</FONT>&nbsp; </TD>
     <TD><FONT face=sans-serif size=2>Number (or</FONT>&nbsp; </TD></TR>
<TR>
     <TD></TD>
     <TD></TD>
     <TD></TD>
     <TD><FONT face=sans-serif size=2>of Shares</FONT>&nbsp; </TD>
     <TD><FONT face=sans-serif size=2>Approximate</FONT>&nbsp; </TD></TR>
<TR>
     <TD></TD>
     <TD></TD>
     <TD></TD>
     <TD><FONT face=sans-serif size=2>Purchased</FONT>&nbsp; </TD>
     <TD><FONT face=sans-serif size=2>Dollar Value)</FONT>&nbsp; </TD></TR>
<TR>
     <TD></TD>
     <TD></TD>
     <TD></TD>
     <TD><FONT face=sans-serif size=2>as Part</FONT>&nbsp; </TD>
     <TD><FONT face=sans-serif size=2>of Shares</FONT>&nbsp; </TD></TR>
<TR>
     <TD></TD>
     <TD></TD>
     <TD></TD>
     <TD><FONT face=sans-serif size=2>of Publicly</FONT>&nbsp; </TD>
     <TD><FONT face=sans-serif size=2>that May Yet Be</FONT>&nbsp; </TD></TR>
<TR>
     <TD></TD>
     <TD><FONT face=sans-serif size=2>Total Number&nbsp;</FONT> </TD>
     <TD><FONT face=sans-serif size=2>Average</FONT>&nbsp;</TD>
     <TD><FONT face=sans-serif size=2>Announced</FONT>&nbsp; </TD>
     <TD><FONT face=sans-serif size=2>Purchased</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>of Shares</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Price Paid</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Plans or</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>under the Plans</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Period</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Purchased</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>per Share</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Programs*</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>or Programs**</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>October 1 -</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>October 5, 2007</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>October 6 -</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>October 31, 2007</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>8,113,703</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>November 1 -</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 30, 2007</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>215,098</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>$6.31</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>215,098</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>7,898,605</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>December 1 -</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>December 31, 2007</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>51,487</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>$6.36</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>51,487</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>7,847,118</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>January 1 -</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>January 31, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>7,847,118</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>February 1 -</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 28, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>7,847,118</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>March 1 -</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>March 31, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>7,847,118</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>April 1 -</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>April 30, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>12,130,566</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>$6.64</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>12,130,566***</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>7,847,118</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>May 1 -</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>May 31, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>7,847,118</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>June 1 -</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>June 30, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>7,847,118</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>July 1 -</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>July 31, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>7,847,118</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>August 1 -</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 31, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>7,847,118</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>September 1 -</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>September 30, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>2,099,370</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>$5.29</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>2,099,370</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>5,747,748</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>*The Board of Trustees announced a repurchase plan on October 7, 2005 for which </FONT><B><FONT face=sans-serif size=2>5,015,654 </FONT></B><FONT face=sans-serif size=2>shares were approved for repurchase by the fund. The repurchase plan was approved through October 6, 2006. On March 10, 2006, the Trustees announced that the repurchase program was increased to allow repurchases of up to a total of 10,031,308 shares over the original term of the program. On September 15, 2006, the Trustees voted to extend the term of the repurchase program through October 6, 2007. In September 2007, the Trustees announced that the repurchase program was increased to allow repurchases up to a total 8,113,703 shares through October 7, 2008. In September 2008, the Trustees announced that the repurchase program was increased to allow repurchases up to a total of 6,664,051 shares through October 7, 2009.</FONT></P>
<P align=left><FONT face=sans-serif size=2>**Information prior to October 6, 2007 is based on the total number of shares eligible for repurchase under the program, as amended through September 15, 2006. Information from October 6, 2007 forward is based on the total number of shares eligible for repurchase under the program, as amended through September 2007.</FONT></P>
<P align=left><FONT face=sans-serif size=2>*** Includes 12,130,566 shares repurchased by the fund pursuant to an issuer tender offer that concluded during the period. Shares repurchased as part of this tender offer were repurchased at $6.64 per share, which represented approximately 99% of the fund&#146;s per-share net asset value on the expiration date of the tender offer.</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>Item 10. Submission of Matters to a Vote of Security Holders:</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>Not applicable</FONT></P>
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<P align=left><U><FONT face=sans-serif size=2>Item 11. Controls and Procedures:</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>(a) The registrant's principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission's rules and forms.</FONT></P>
<P align=left><FONT face=sans-serif size=2>(b) Changes in internal control over financial reporting: Not applicable</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>Item 12. Exhibits:</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>(a)(1) The Code of Ethics of The Putnam Funds, which incorporates the Code of Ethics of Putnam Investments, is filed herewith.</FONT></P>
<P align=left><FONT face=sans-serif size=2>(a)(2) Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.</FONT></P>
<P align=left><FONT face=sans-serif size=2>(b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, are filed herewith.</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>SIGNATURES</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>Putnam Master Intermediate Income Trust</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>By (Signature and Title):</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>/s/Janet C. Smith</FONT></U><BR>
<FONT face=sans-serif size=2>Janet C. Smith</FONT><BR>
<FONT face=sans-serif size=2>Principal Accounting Officer</FONT><BR>
<BR>
<FONT face=sans-serif size=2>Date: November 26, 2008</FONT></P>
<P align=left><FONT face=sans-serif size=2>Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.</FONT></P>
<P align=left><FONT face=sans-serif size=2>By (Signature and Title):</FONT><BR>
<BR>
<U><FONT face=sans-serif size=2>/s/Charles E. Porter</FONT></U><BR>
<FONT face=sans-serif size=2>Charles E. Porter</FONT><BR>
<FONT face=sans-serif size=2>Principal Executive Officer</FONT><BR>
<BR>
<FONT face=sans-serif size=2>Date: November 26, 2008</FONT><BR>
<BR>
<FONT face=sans-serif size=2>By (Signature and Title):</FONT><BR>
<BR>
<FONT face=sans-serif size=2><U>/s/Steven D. Krichmar</U></FONT><BR>
<FONT face=sans-serif size=2>Steven D. Krichmar</FONT><BR>
<FONT face=sans-serif size=2>Principal Financial Officer</FONT><BR>
<BR>
<FONT face=sans-serif size=2>Date: November 26, 2008</FONT></P>
<P align=left><FONT face=sans-serif size=2><U></U></FONT>&nbsp;</P>
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<SEQUENCE>2
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<DESCRIPTION>EX-99.CERT
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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-CSR of the funds listed on Attachment A:</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such
statements were made, not misleading with respect to the period covered by each report;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">3. Based on my knowledge, the financial statements, and other financial information included in each report, fairly present in all material respects the financial condition, results of operations, changes in net
assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in each report;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal
control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its
consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of
financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within
90 days prior to the filing date of each report based on such evaluation; and</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">d) disclosed in this report any change in the registrant&#146;s internal control over financial reporting that occurred during the registrant&#146;s most recent fiscal quarter that has materially affected, or is
reasonably likely to materially affect, the registrant&#146;s internal control over financial reporting; and</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">5. The registrant's other certifying officer and I have disclosed to each registrant's auditors and the audit committee of each registrant's board of directors (or persons performing the equivalent
functions):</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant's ability to record,
process, summarize, and report financial information; and</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant's internal control over financial reporting.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">Date: November 25, 2008</FONT><BR>
<BR>
<FONT size=2 face="sans-serif">/s/ Charles E. Porter</FONT><BR>
<FONT size=2 face="sans-serif">_______________________</FONT><BR>
<FONT size=2 face="sans-serif">Charles E. Porter</FONT><BR>
<FONT size=2 face="sans-serif">Principal Executive Officer</FONT></P>

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<P align="left">
<U><FONT size=2 face="sans-serif">Certifications</FONT></U></P>
<P align="left">
<FONT size=2 face="sans-serif">I, Steven D. Krichmar, the Principal Financial Officer of the funds listed on Attachment A, certify that:</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">1. I have reviewed each report on Form N-CSR of the funds listed on Attachment A:</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such
statements were made, not misleading with respect to the period covered by each report;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">3. Based on my knowledge, the financial statements, and other financial information included in each report, fairly present in all material respects the financial condition, results of operations, changes in net
assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in each report;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal
control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its
consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of
financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within
90 days prior to the filing date of each report based on such evaluation; and</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">d) disclosed in this report any change in the registrant&#146;s internal control over financial reporting that occurred during the registrant&#146;s most recent fiscal quarter that has materially affected, or is
reasonably likely to materially affect, the registrant&#146;s internal control over financial reporting; and</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">5. The registrant's other certifying officer and I have disclosed to each registrant's auditors and the audit committee of each registrant's board of directors (or persons performing the equivalent
functions):</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant's ability to record,
process, summarize, and report financial information; and</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant's internal control over financial reporting.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">Date: November 25, 2008</FONT><BR>
<BR>
<FONT size=2 face="sans-serif">/s/ Steven D. Krichmar</FONT><BR>
<FONT size=2 face="sans-serif">_______________________</FONT><BR>
<FONT size=2 face="sans-serif">Steven D. Krichmar</FONT><BR>
<FONT size=2 face="sans-serif">Principal Financial Officer</FONT></P>

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<TR>
     <TD width="5%"></TD>
     <TD width="47%"></TD>
     <TD width="48%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>Attachment A</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>N-CSR</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>September 30, 2008</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=2><FONT size=2>&nbsp; </FONT></TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>074</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Master Intermediate Income Trust</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>027</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam California Tax Exempt Income Fund</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>033</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam American Government Income Fund</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>011</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Tax Exempt Income Fund</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>539</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam International New Opportunities Fund</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>032</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam U.S. Government Income Trust</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>010</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Money Market Fund</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>062</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Tax Exempt Money Market Fund</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>075</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Diversified Income Trust</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>259</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Asset Allocation: Balanced Portfolio</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>250</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Asset Allocation: Growth Portfolio</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>264</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Asset Allocation: Conservative Portfolio</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left></TD></TR></TABLE><BR>
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<TYPE>EX-99.906 CERT
<SEQUENCE>3
<FILENAME>c_certnos.htm
<DESCRIPTION>EX-99.906 CERT
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<P align="left">
<U><FONT size=2 face="sans-serif">Section 906 Certifications</FONT></U></P>
<P align="left">
<FONT size=2 face="sans-serif">I, Charles E. Porter, the Principal Executive Officer of the Funds listed on Attachment A, certify that, to my knowledge:</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">1. The form N-CSR of the Funds listed on Attachment A for the period ended September 30, 2008 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">2. The information contained in the Form N-CSR of the Funds listed on Attachment A for the period ended September 30, 2008 fairly presents, in all material respects, the financial condition and results of operations of
the Funds listed on Attachment A.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">Date: November 25, 2008</FONT><BR>
<BR>
<FONT size=2 face="sans-serif">/s/ Charles E. Porter</FONT><BR>
<FONT size=2 face="sans-serif">______________________</FONT><BR>
<FONT size=2 face="sans-serif">Charles E. Porter</FONT><BR>
<FONT size=2 face="sans-serif">Principal Executive Officer</FONT></P>

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<A name="page_2"></A>

<P align="left">
<U><FONT size=2 face="sans-serif">Section 906 Certifications</FONT></U></P>
<P align="left">
<FONT size=2 face="sans-serif">I, Steven D. Krichmar, the Principal Financial Officer of the Funds listed on Attachment A, certify that, to my knowledge:</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">1. The form N-CSR of the Funds listed on Attachment A for the period ended September 30, 2008 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">2. The information contained in the Form N-CSR of the Funds listed on Attachment A for the period ended September 30, 2008 fairly presents, in all material respects, the financial condition and results of operations of
the Funds listed on Attachment A.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">Date: November 25, 2008</FONT><BR>
<BR>
<FONT size=2 face="sans-serif">/s/ Steven D. Krichmar</FONT><BR>
<FONT size=2 face="sans-serif">______________________</FONT><BR>
<FONT size=2 face="sans-serif">Steven D. Krichmar</FONT><BR>
<FONT size=2 face="sans-serif">Principal Financial Officer</FONT></P>

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     <TD width="5%"></TD>
     <TD width="47%"></TD>
     <TD width="48%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>Attachment A</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>N-CSR</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>September 30, 2008</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center></TD></TR>
<TR>
     <TD colSpan=2><FONT size=2>&nbsp; </FONT></TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>074</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Master Intermediate Income Trust</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>027</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam California Tax Exempt Income Fund</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>033</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam American Government Income Fund</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>011</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Tax Exempt Income Fund</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>539</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam International New Opportunities Fund</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>032</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam U.S. Government Income Trust</FONT><FONT size=2>&nbsp; </FONT></TD>
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     <TD noWrap align=left><FONT face=sans-serif size=2>010</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Money Market Fund</FONT><FONT size=2>&nbsp; </FONT></TD>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Tax Exempt Money Market Fund</FONT><FONT size=2>&nbsp; </FONT></TD>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Diversified Income Trust</FONT><FONT size=2>&nbsp; </FONT></TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>259</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Asset Allocation: Balanced Portfolio</FONT><FONT size=2>&nbsp; </FONT></TD>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Asset Allocation: Growth Portfolio</FONT><FONT size=2>&nbsp; </FONT></TD>
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     <TD noWrap align=left><FONT face=sans-serif><FONT size=2>Putnam</FONT><FONT size=2> Asset Allocation: Conservative Portfolio</FONT></FONT><FONT size=2>&nbsp; </FONT></TD>
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<!--$$/page=-->
<P align=right><U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">Exhibit A</FONT></U></P>
<P align=center><B><FONT face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">THE PUTNAM FUNDS</FONT></B><BR>
<BR>
<U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">Code of Ethics</FONT></U></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">Each of The Putnam Funds (the &#147;Funds&#148;) has determined to adopt this Code of Ethics with respect to certain types of personal securities transactions by officers and Trustees of the Funds which might be deemed to create possible conflicts of interest and to establish reporting requirements and enforcement procedures with respect to such transactions.</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">I. </FONT><U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">Rules Applicable to Officers and Trustees Affiliated with Putnam Investments Trust or</FONT></U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif"> </FONT><U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">Its Subsidiaries</FONT></U></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">A. </FONT><U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">Incorporation of Adviser&#146;s Code of Ethics</FONT></U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">. The provisions of the Code of Ethics for employees of Putnam Investments Trust and its subsidiaries (the &#147;Putnam Investments Code of Ethics&#148;), which is attached as Appendix A hereto, are hereby incorporated herein as the Funds&#146; Code of Ethics applicable to officers and Trustees of the Funds who are employees of the Funds or officers, directors or employees of Putnam Investments Trust or its subsidiaries. A violation of the Putnam Investments&#146; Code of Ethics shall constitute a violation of the Funds&#146; Code.</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">B. </FONT><U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">Reports</FONT></U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">. Officers and Trustees of each of the Funds who are made subject to the Putnam Investments&#146; Code of Ethics pursuant to the preceding paragraph shall file the reports required by the Putnam Investments&#146; Code of Ethics with the Code of Ethics Officer designated therein. A report filed with the Code of Ethics Officer shall be deemed to be filed with each of the Funds of which the reporting individual is an officer or Trustee.</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">C. </FONT><U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">Review and Reporting</FONT></U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">.</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(1) The Code of Ethics Officer shall cause the reported personal securities transactions to be compared with completed and contemplated portfolio transactions of each of the Funds to determine whether a violation of this Code may have occurred. Before making any determination that a violation has been committed by any person, the Code of Ethics Officer shall give such person an opportunity to supply additional explanatory material.</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(2) If the Code of Ethics Officer determines that a violation of any provision of this Code has or may have occurred, he shall submit his written determination, together with any additional explanatory material, to the Audit and Compliance Committee of the Funds at its next meeting when Code of Ethics matters are discussed.</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">D. </FONT><U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">Sanctions</FONT></U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">. In addition to reporting violations of this Code to the Audit and Compliance Committee of the Funds as provided in Section I-C(2), the Code of Ethics Officer shall also report to such Committee any sanctions imposed with </FONT></P>
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<P align=right><U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">Exhibit A</FONT></U></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">respect to such violations. The Committee reserves the right to impose such additional sanctions as it deems appropriate.</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">II. </FONT><U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">Rules Applicable to Unaffiliated Trustees</FONT></U></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">A. </FONT><U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">Definitions</FONT></U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">.</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(1) &#147;Beneficial ownership&#148; shall be interpreted in the same manner as it would be in determining whether a person is subject to the provisions of Section 16 of the Securities Exchange Act of 1934 and the rules and regulations thereunder.</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(2) &#147;Control&#148; means the power to exercise a controlling influence over the management or policies of a company, unless such power is solely the result of an official position with such company.</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(3) &#147;Interested Trustee&#148; means a Trustee of a Fund who is an &#147;interested person&#148; of the Fund within the meaning of the Investment Company Act.</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(4) &#147;Purchase or sale of a security&#148; includes, among other things, the writing of an option to purchase or sell a security.</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(5) &#147;Security&#148; shall have the same meaning as that set forth in Section 2(a)(36) of the Investment Company Act (in effect, all securities) except that it shall not include securities issued by the Government of the United States or an agency thereof, bankers&#146; acceptances, bank certificates of deposit, commercial paper and high-quality short-term debt investments, including repurchase agreements, and shares of registered open-end investment companies, but shall include any security convertible into or exchangeable for a security.</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(6) &#147;Unaffiliated Trustee&#148; means a Trustee who is not made subject to the Putnam Investments Code of Ethics pursuant to Part I hereof.</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">B. </FONT><U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">Prohibited Purchases and Sales</FONT></U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">. No Unaffiliated Trustee of any of the Funds shall purchase or sell, directly or indirectly, any security in which he has, or by reason of such transaction acquires, any direct or indirect beneficial ownership and which to his </FONT><U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">actual knowledge </FONT></U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">at the time of such purchase or sale: </FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(1) is being considered for purchase or sale by the Fund;</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(2) is being purchased or sold by the Fund; or</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(3) was purchased or sold by the Fund within the most recent five days if such person participated in the recommendation to, or the decision by, Putnam Investment Management to purchase or sell such security for the Fund.</FONT></P>
<P align=center><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">- 2 -</FONT></P>
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<P align=right><U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">Exhibit A</FONT></U></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">C. </FONT><U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">Exempted Transactions</FONT></U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">. The prohibitions of Section II-B of this Code shall not apply to:</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(1) purchases or sales of securities effected in any account over which the Unaffiliated Trustee has no direct or indirect influence or control;</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(2) purchases or sales of securities which are non-volitional on the part of either the Unaffiliated Trustee or the Fund;</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(3) purchases of securities which are part of an automatic dividend reinvestment plan;</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(4) purchases of securities effected upon the exercise of rights issued by an issuer </FONT><U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">pro rata</FONT></U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif"> to all holders of a class of its securities, to the extent such rights were acquired from such issuer, and sales of such rights so acquired;</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(5) purchases or sales of securities other than those exempted in (1) through (4) above which do not cause the Unaffiliated Trustee to gain improperly a personal benefit through his relationship with the Fund and are only remotely potentially harmful to a Fund because they would be very unlikely to affect a highly institutional market, and are previously approved by the Compliance Liaison of the Funds, in consultation with the Code of Ethics Officer, which approval shall be confirmed in writing.</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">D. </FONT><U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">Reporting</FONT></U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">.</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(1) Whether or not one of the exemptions listed in Section II-C applies, every Unaffiliated Trustee of a Fund shall file with the Funds&#146; Compliance Liaison a report containing the information described in Section II-D(2) of this Code with respect to purchases or sales of any security in which such Unaffiliated Trustee has, or by reason of such transaction acquires, any direct or indirect beneficial ownership, if such Trustee, at the time of that transaction, knew or, in the ordinary course of fulfilling his official duties as a Trustee of the Fund, should have known that, during the 15-day period immediately preceding or after the date of the transaction by the Trustee:</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(a) such security was or is to be purchased or sold by the Fund or</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(b) such security was or is being considered for purchase or sale by the Fund;</FONT></P>
<P align=left><U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">provided</FONT></U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">, </FONT><U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">however</FONT></U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">, that an Unaffiliated Trustee shall not be required to make a report with respect to transactions effected for any account over which such person does not have any direct or indirect influence or control.</FONT></P>
<P align=center><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">- 3 -</FONT></P>
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<P align=right><U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">Exhibit A</FONT></U></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(2) Every report shall be made not later than 10 days after the end of the calendar quarter in which the transaction to which the report relates was effected, and shall contain the following information:</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(a) The date of the transaction, the title, the number of shares, the interest rate and maturity date (if applicable) and the principal amount of each security involved;</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(b) The nature of the transaction (i.e., purchase, sale or any other type of acquisition or disposition);</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(c) The price at which the transaction was effected; </FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(d) The name of the broker, dealer or bank with or through whom the transaction was effected; and</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(e) the date that the report is submitted by each Unaffiliated Trustee.</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(3) Every report concerning a purchase or sale prohibited under Section II-B hereof with respect to which the reporting person relies upon one of the exemptions provided in Section II-C shall contain a brief statement of the exemption relied upon and the circumstances of the transaction.</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(4) Any such report may contain a statement that the report shall not be construed as an admission by the person making such report that he has any direct or indirect beneficial ownership in the security to which the report relates.</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(5) Notwithstanding anything to the contrary contained herein, an Unaffiliated Trustee who is an &#147;interested person&#148; of the Funds shall file the reports required by Rule 17j-1(d)(1) under the Investment Company Act of 1940 with the Code of Ethics Officer of Putnam Investments. Such reports shall be reviewed by such Officer as provided in Section I-C(1) and any related violations shall be reported by him to the Audit and Compliance Committee as provided in Section I-C(2). The Committee may impose such additional sanctions as it deems appropriate.</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">E. </FONT><U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">Review and Reporting</FONT></U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">.</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(1) The Compliance Liaison of the Funds, in consultation with the Code of Ethics Officer of Putnam Investments, shall cause the reported personal securities transactions that he receives pursuant to Section II-D(1) to be compared with completed and contemplated portfolio transactions of the Funds to determine whether any transaction (&#147;Reviewable Transactions&#148;) listed in Section II-B (disregarding exemptions provided by Section II-C(1) through (5)) may have occurred.</FONT></P>
<P align=center><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">- 4 -</FONT></P>
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<P align=right><U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">Exhibit A</FONT></U></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(2) If the Compliance Liaison determines that a Reviewable Transaction may have occurred, he shall then determine whether a violation of this Code may have occurred, taking into account all the exemptions provided under Section II-C. Before making any determination that a violation has occurred, the Compliance Liaison shall give the person involved an opportunity to supply additional information regarding the transaction in question.</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">F. </FONT><U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">Sanctions</FONT></U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">. If the Compliance Liaison determines that a violation of this Code has occurred, he shall so advise the Funds&#146; Audit and Compliance Committee, and provide the Committee with a report of the matter, including any additional information supplied by such person. The Committee may impose such sanctions as it deems appropriate.</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">III. </FONT><U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">Miscellaneous</FONT></U></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">A. </FONT><U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">Amendments to the Putnam Investments&#146; Code of Ethics</FONT></U><FONT face="TimesNewRomanPSMT,Times New &#13;&#10;Roman,Times,serif">. Any amendment to the Putnam Investments&#146; Code of Ethics shall be deemed an amendment to Section I-A of this Code effective 30 days after written notice of such amendment shall have been received by the Chairman of the Funds, unless the Trustees of the Funds expressly determine that such amendment shall become effective at an earlier or later date or shall not be adopted.</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">B. </FONT><U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">Records</FONT></U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">. The Funds shall maintain records in the manner and to the extent set forth below, which records may be maintained on microfilm under the conditions described in Rule 31a-2(f)(1) under the Investment Company Act and shall be available for examination by representatives of the Securities and Exchange Commission.</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(1) A copy of this Code and any other code which is, or at any time within the past five years has been, in effect shall be preserved in an easily accessible place;</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(2) A record of any violation of this Code and of any action taken as a result of such violation shall be preserved in an easily accessible place for a period of not less than five years following the end of the fiscal year in which the violation occurs;</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(3) A copy of each report made by an officer or Trustee pursuant to this Code shall be preserved for a period of not less than five years from the end of the fiscal year in which it is made, the first two years in an easily accessible place; and</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">(4) A list of all persons who are, or within the past five years have been, required to make reports pursuant to this Code shall be maintained in an easily accessible place.</FONT></P>
<P align=center><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">- 5 -</FONT></P>
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<P align=right><U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">Exhibit A</FONT></U></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">To the extent any record required to be kept by this section is also required to be kept by Putnam Investments pursuant to the Putnam Investments&#146; Code of Ethics, Putnam Investments shall maintain such record on behalf of the Funds as well.</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">C. </FONT><U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">Confidentiality</FONT></U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">. All reports of securities transactions and any other information filed with any Fund pursuant to this Code shall be treated as confidential, but are subject to review as provided herein and by personnel of the Securities and Exchange Commission.</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">D. </FONT><U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">Interpretation of Provisions</FONT></U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">. The Trustees may from time to time adopt such interpretations of this Code as they deem appropriate.</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">E. </FONT><U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">Delegation by Chairman</FONT></U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">. The Chairman of the Funds may from time to time delegate any or all of his responsibilities under this Code, either generally or as to specific instances, to such officer or Trustee of the Funds as he may designate.</FONT></P>
<P align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">As revised</FONT><BR>
<FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">[July 13, 2007]</FONT></P>
<P align=center><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif">- 6 -</FONT></P>
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     <TD noWrap align=left width="55%"><FONT face=sans-serif size=5>working</FONT><FONT face=sans-serif>@PUTNAM</FONT> </TD>
     <TD noWrap align=right width="22%"><FONT face=sans-serif>MAY&nbsp;</FONT> </TD>
     <TD noWrap align=left width="22%"><FONT face=sans-serif>2008</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=7>Putnam&#146;s</FONT><BR>
<FONT face=sans-serif size=7>Code of Ethics</FONT></P>
<P align="left">
<FONT face="sans-serif">Graphic Omitted: Portrait of Justice Samuel Putnam</FONT></P>
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<P align="left">
<FONT face="sans-serif">Dear Putnam Employee,</FONT></P>
<P align="left">
<FONT face="sans-serif">Putnam&#146;s Code of Ethics is an essential component of the &#147;fiduciary mindset&#148; and of our commitment to the maintenance of the highest professional standards. Taking care of other people&#146;s money is a serious
responsibility, and we need to ensure that our clients&#146; interests come first. Firms with a strong fiduciary culture are attractive to clients who are looking for superior money management, and Putnam&#146;s Code is designed to ensure that
Putnam preserves that trust.</FONT></P>
<P align="left">
<FONT face="sans-serif">The rules reflected in the Code are good business practices and were not created simply to meet regulatory standards. If, from time to time, the rules seem burdensome, I ask you to put yourself in the place of our
shareholders and clients, who have entrusted us to manage their assets so that they may pursue the goals of saving for retirement or funding their children&#146;s education.</FONT></P>
<P align="left">
<FONT face="sans-serif">If you have any questions or concerns at any time, however, I encourage you to contact one of the members of our Code of Ethics staff in the Legal and Compliance Department.</FONT></P>
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<FONT face="serif">Graphic Omitted: Signature of Ed Haldeman</FONT></P>
<P align="left">
<FONT face="sans-serif">Ed Haldeman</FONT><BR>
<FONT face="sans-serif">President and Chief Executive Officer</FONT></P>

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     <TD noWrap align=left><FONT face=sans-serif size=5>Table of Contents</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Code of Ethics Overview</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1</FONT> </TD></TR>
<TR>
     <TD colSpan=2>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam&#146;s Code of Ethics</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4</FONT> </TD></TR>
<TR>
     <TD colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Definitions</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>5</FONT> </TD></TR>
<TR>
     <TD colSpan=2>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Section I &#151; Personal Securities Rules for All Employees</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>8</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>A. Pre-clearance</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>8</FONT> </TD></TR>
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     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 1: Pre-clearance Requirements</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>8</FONT></I> </TD></TR>
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     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 2: Personal Trading Assistant (PTA) System and Restricted List</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>8</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 3: Marsh &amp; McLennan (MMC) securities</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>11</FONT></I> </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>B. Prohibited Transactions</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>12</FONT> </TD></TR>
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     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 1: Short-Selling Prohibition</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>12</FONT></I> </TD></TR>
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     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 2: Initial Public Offerings Prohibition</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>12</FONT></I> </TD></TR>
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     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 3: Private Placement Pre-approval Requirements</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>13</FONT></I> </TD></TR>
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     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 4: Trading with Material Non-public Information</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>13</FONT></I> </TD></TR>
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     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 5: No Personal Trading with Client Portfolios</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>13</FONT></I> </TD></TR>
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     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 6: Holding Putnam Mutual Fund Shares</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>14</FONT></I> </TD></TR>
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     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 7: Putnam Mutual Fund Employee Restrictions</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>15</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 8: Special Orders</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>16</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 9: Excessive Trading</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>16</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 10: Spread Betting</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>17</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>C. Discouraged Transaction</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>17</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 1: Naked Options</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>17</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>D. Exempted Transactions</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>17</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 1: Involuntary Transactions</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>17</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 2: Special Exemptions</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>18</FONT></I> </TD></TR>
<TR>
     <TD colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Section II &#151; Additional Special Rules for Personal Securities Transactions</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>19</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>A. Access Persons and Certain Investment Professionals</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>19</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 1: 90-Day Short-Term Rule</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>19</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>B. Certain Investment Professionals</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>19</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 2: 7-Day Rule</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>19</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 3: Blackout Rule</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>20</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 4: Contra-Trading Rule</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>21</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 5: No Personal Benefit</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>21</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Section III &#151; General Rules for All Employees</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>23</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 1: Compliance with All Laws, Regulations, and Policies</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>23</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 2: Conflicts of Interest</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>23</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 3: Gifts and Entertainment Policy</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>23</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 4: Anti-bribery/Kickback Policy</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>25</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 5: Political Activities, Contributions, Solicitations, and Lobbying Policy</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>26</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 6: Confidentiality of Putnam Business Information</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>27</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 7: Positions Outside Putnam</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>27</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 8: Role as Trustee or Fiduciary Outside of Putnam Investments</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>28</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 9: Investment Clubs</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>28</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 10: Business Negotiations for Putnam Investments</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>28</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 11: Accurate Records</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>29</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 12: Family Members&#146; Conflict Policy</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>29</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 13: Affiliated Entities</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>29</FONT></I> </TD></TR></TABLE><BR>
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<TR>
     <TD width="95%"></TD>
     <TD align=right width="4%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 14: Computer Systems and Network Use Policy</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>30</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 15: CFA Institute Code of Ethics and Standards of Professional Conduct</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>31</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 16: Privacy Policy</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>31</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 17: Anti- money Laundering Policy</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>32</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 18: Record Retention</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>32</FONT></I> </TD></TR>
<TR>
     <TD colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Section IV &#151; Reporting Requirements</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>33</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Reporting of Personal Securities Transactions</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>33</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 1: Broker Confirmations and Statements</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>33</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 2: Access Person &#151; Quarterly Transaction Report</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>34</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 3: Access Person &#151; Initial/Annual Holdings Report</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>34</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 4: Certifications</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>34</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 5: Positions Outside Putnam</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>34</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 6: Business Ethics</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>34</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 7: Ombudsman</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>35</FONT></I> </TD></TR>
<TR>
     <TD colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Section V &#151; Education Requirements</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>36</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 1: Distribution of Code</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>36</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 2: Annual Training Requirement</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>36</FONT></I> </TD></TR>
<TR>
     <TD colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Section VI &#151; Compliance and Appeal Procedures</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>37</FONT> </TD></TR>
<TR>
     <TD colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Section VII &#151; Sanctions</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>39</FONT> </TD></TR>
<TR>
     <TD colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Appendix A &#151; Insider Trading Prohibitions Policy Statement</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>40</FONT> </TD></TR>
<TR>
     <TD colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Appendix A &#151; Definitions: Insider Trading</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>41</FONT> </TD></TR>
<TR>
     <TD colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Appendix A &#151; Section I: Rules Concerning Inside Information</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>42</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 1: Inside Information</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>42</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 2: Material Non-public Information</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>42</FONT></I> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Rule 3: Reporting of Material Non-public Information</FONT></I> </TD>
     <TD noWrap align=right><I><FONT face=sans-serif size=2>42</FONT></I> </TD></TR>
<TR>
     <TD colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Appendix A &#151; Section II: Overview of Insider Trading</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>44</FONT> </TD></TR>
<TR>
     <TD colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Appendix B &#151; Policy Statement Regarding Employee Trades in Shares of Putnam Closed-End</FONT> </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Funds</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>48</FONT> </TD></TR>
<TR>
     <TD colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Appendix C &#151; Contra- Trading Rule Clearance Form</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>49</FONT> </TD></TR>
<TR>
     <TD colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Appendix D &#151; CFA Institute Code of Ethics and Standards of Professional Conduct</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>50</FONT> </TD></TR>
<TR>
     <TD colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Appendix E &#151; Inducement Policy for Putnam Investments Limited (PIL) Employees</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>54</FONT> </TD></TR></TABLE><BR>
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<P align=left><FONT face=sans-serif size=5>Code of Ethics Overview</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>This overview of Putnam&#146;s Code of Ethics is not intended to substitute for a careful reading of the complete document. As a condition of continued employment, every Putnam employee is required to read, understand, and comply with all of the provisions of the Code of Ethics. Additionally, employees are expected to comply with the policies and procedures contained within the Putnam Employee Handbook, which is available online via Putnam&#146;s intranet home page at </FONT></B><B><U><FONT face=sans-serif size=2>http://intranet </FONT></U></B><B><FONT face=sans-serif size=2>.</FONT></B></P>
<P align=left><B><FONT face=sans-serif size=2>It is the personal responsibility of every Putnam employee to avoid any conduct that could create a conflict, or even the appearance of a conflict, with our fund shareholders or other clients, or do anything that could damage or erode the trust our clients place in Putnam and its employees. This is the spirit of the Code of Ethics. In accepting employment at Putnam, every employee accepts the absolute obligation to comply with the letter and the spirit of the Code of Ethics. Failure to comply with the spirit of the Code of Ethics is just as much a violation of the Code as failure to comply with the written rules of the Code.</FONT></B></P>
<P align=left><B><FONT face=sans-serif size=2>The rules of the Code cover activities, including personal securities transactions, of Putnam employees, certain family members of employees, and entities (such as corporations, trusts, or partnerships) that employees may be deemed to control or influence.</FONT></B></P>
<P align=left><B><FONT face=sans-serif size=2>Sanctions will be imposed for violations of the Code of Ethics. Sanctions may include monetary fines, bans on personal trading, reductions in salary increases or bonuses, disgorgement of trading profits, suspension of employment, and termination of employment. The proceeds resulting from monetary sanctions will be given to a charity chosen by the Code of Ethics Officer.</FONT></B></P>
<P align=left><FONT face=sans-serif size=4>Insider trading</FONT></P>
<P align=left><FONT face=sans-serif size=2>Putnam employees are forbidden to buy or sell any security while either Putnam or the employee is in possession of material non-public information (inside information) concerning the security or the issuer. A violation of Putnam&#146;s insider trading policies may result in criminal and civil penalties, including imprisonment, disgorgement of profits, and substantial fines. An employee aware of or in possession of inside information must report it immediately to the Code of Ethics Officer. (See Appendix A: Insider Trading Prohibitions Policy Statement.)</FONT></P>
<P align=left><FONT face=sans-serif size=4>Conflicts of interest</FONT></P>
<P align=left><FONT face=sans-serif size=2>The Code of Ethics imposes limits on activities of Putnam employees where the activity may conflict with the interests of Putnam or its clients. These include limits on the receipt and solicitation of gifts and on service as a fiduciary for a person or entity outside of Putnam. For example, Putnam employees generally may not accept gifts over $100 in total value in a calendar year from any entity, or any supplier of goods or services to Putnam. In addition, a Putnam employee may not serve as a director of any corporation or other entity without prior approval of the Code of Ethics Officer.</FONT></P>
<P align=left><FONT face=sans-serif size=4>Confidentiality</FONT></P>
<P align=left><FONT face=sans-serif size=2>Information about Putnam clients and Putnam investment activity and research is proprietary and confidential and may not be disclosed or used by any Putnam employee outside Putnam without a valid business purpose.</FONT></P>
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<P align=left><FONT face=sans-serif size=4>Putnam mutual funds</FONT></P>
<P align=left><FONT face=sans-serif size=2>All employees and certain family members are subject to a minimum 90-day holding period for shares in Putnam&#146;s open-end mutual funds. This restriction does not apply to Putnam&#146;s Stable Value or money market funds. Except in limited circumstances, all employees must hold Putnam open-end fund shares in accounts at Putnam.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Portfolio managers and others with access to investment information (&#147;Access Persons&#148;) are subject to a minimum one-year holding period for holding Putnam open-end fund shares.</FONT></P>
<P align=left><FONT face=sans-serif size=4>Personal securities trading</FONT></P>
<P align=left><FONT face=sans-serif size=2>Putnam employees may not buy or sell any security for their own account without clearing the proposed transaction in advance. Clearance is facilitated through the Personal Trading Assistant (PTA), the online pre-clearance system for equity securities, and directly with the Code of Ethics Administrator for fixed-income securities and transactions in Putnam closed-end funds. Certain securities are exempted from this pre-clearance requirement (e.g., shares of open-end (not closed-end) mutual funds).</FONT></P>
<P align=left><FONT face=sans-serif size=2>Putnam employees may not buy any securities in an initial public offering or in a private placement, except in limited circumstances when prior written authorization is obtained. </FONT></P>
<P align=left><FONT face=sans-serif size=2>Clearance must be obtained in advance, between 9:00 a.m. and 4:00 p.m. Eastern Time (ET) on the day of the trade. A clearance is valid only for the day it is obtained. Putnam employees are strongly discouraged from engaging in excessive trading for their personal accounts. Employees are prohibited from making more than 10 trades in individual securities each calendar quarter.</FONT></P>
<P align=left><FONT face=sans-serif size=4>Short selling</FONT></P>
<P align=left><FONT face=sans-serif size=2>Putnam employees are prohibited from short selling any security, whether or not it is held in a Putnam client portfolio, although short selling against broad market indexes and &#147;against the box&#148; is permitted. Note, however, that short selling &#147;against the box&#148; or otherwise hedging an investment in shares of Power Corporation of Canada, Power Financial Corporation, and Great-West Lifeco Inc. stock is prohibited.</FONT></P>
<P align=left><FONT face=sans-serif size=4>Confirmations of trading and periodic account statements</FONT></P>
<P align=left><FONT face=sans-serif size=2>All Putnam employees must have their brokers send copies of confirmations and statements of personal securities transactions to the Code of Ethics Administrator. This also applies to members of the immediate family who share the same household as the employee or for whom the employee has investment discretion. Employees must contact the Code of Ethics Administrator to (a) obtain an authorization [407] letter, (b) provide instructions to the broker in establishing a personal brokerage account, and (c) enter a broker account profile into PTA.</FONT></P>
<P align=left><FONT face=sans-serif size=4>Quarterly and annual reporting</FONT></P>
<P align=left><FONT face=sans-serif size=2>Employees will be notified if the following requirements apply. Upon commencement of employment and thereafter on an annual basis, Access Persons must disclose in the PTA system all personal securities holdings (even those to which pre-clearance may not apply). On a quarterly basis, Access Persons must disclose all their securities transactions in Personal Trading Assistant (PTA) within 15 days after the end of the quarter.</FONT></P>
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<P align=left><FONT face=sans-serif size=4>Personal securities transactions by Access Persons and certain investment professionals</FONT></P>
<P align=left><FONT face=sans-serif size=2>The Code imposes several special restrictions on personal securities transactions by Access Persons and certain investment professionals, which are summarized as follows. (Refer to Section II for details):</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; </FONT><B><FONT face=sans-serif size=2>90-Day Short-Term Rule. </FONT></B><FONT face=sans-serif size=2>No Access Person shall purchase and then sell at a profit, or sell and then repurchase at a lower price, any security or related derivative security, for example, options, within 90 calendar days.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; </FONT><B><FONT face=sans-serif size=2>7-Day Rule. </FONT></B><FONT face=sans-serif size=2>Before a portfolio manager places an order to buy a security for any portfolio he manages, he must sell from his personal account any such security or related derivative security purchased within the preceding seven calendar days, and disgorge any profit from the sale.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; </FONT><B><FONT face=sans-serif size=2>Blackout Rule. </FONT></B><FONT face=sans-serif size=2>No portfolio manager may sell any security or related derivative security for her personal account until seven calendar days after the most recent purchase of that security or related derivative security for any portfolio she manages. No portfolio manager may buy any security or related derivative security for her personal account until seven calendar days after the most recent sale of that security or related derivative security by any portfolio she manages.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Analysts are also subject to the 7-Day and Blackout rules in connection with a recommendation to buy/outperform or sell/underperform a security.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; </FONT><B><FONT face=sans-serif size=2>Contra-Trading Rule. </FONT></B><FONT face=sans-serif size=2>No portfolio manager may sell out of her personal account any security or related derivative security that is held in any portfolio she manages unless she has received the written approval of an appropriate CIO and the Code of Ethics Officer.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; No portfolio manager may cause a Putnam client to take action for the manager&#146;s personal benefit.</FONT></P>
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<P align=left><FONT face=sans-serif size=5>Putnam&#146;s Code of Ethics</FONT></P>
<P align=left><FONT face=sans-serif size=2>Putnam Investments is required by law to adopt a Code of Ethics. The purposes of the law are to ensure that companies and their employees comply with all applicable laws and to prevent abuses in the investment advisory business that can arise when conflicts of interest exist between the employees of an investment advisor and its clients. By adopting and enforcing a Code of Ethics, we strengthen the trust and confidence reposed in us by demonstrating that at Putnam, client interests come first.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The Code that follows represents a balancing of important interests. On the one hand, as a registered investment advisor, Putnam owes a duty of undivided loyalty to its clients, and must avoid even the appearance of a conflict that might be perceived as abusing the trust they have placed in Putnam. On the other hand, Putnam does not want to prevent conscientious professionals from investing for their own account where conflicts do not exist or that are immaterial to investment decisions affecting Putnam clients.</FONT></P>
<P align=left><FONT face=sans-serif size=2>When conflicting interests cannot be reconciled, the Code makes clear that, first and foremost, Putnam employees owe a fiduciary duty to Putnam clients. In most cases, this means that the affected employee will be required to forego conflicting personal securities transactions. In some cases, personal investments will be permitted, but only in a manner, which, because of the circumstances and applicable controls, cannot reasonably be perceived as adversely affecting Putnam client portfolios or taking unfair advantage of the relationship Putnam employees have to Putnam clients.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The Code contains specific rules prohibiting defined types of conflicts. Because every potential conflict cannot be anticipated, the Code also contains general provisions prohibiting conflict situations. In view of these general provisions, it is critical that any individual who is in doubt about the applicability of the Code in a given situation seeks a determination from the Code of Ethics Officer about the propriety of the conduct in advance. The procedures for obtaining such a determination are described in Section VI of the Code.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>It is critical that the Code be strictly observed. Not only will adherence to the Code ensure that Putnam renders the best possible service to its clients, it will help to ensure that no individual is liable for violations of law.</FONT></B></P>
<P align=left><B><FONT face=sans-serif size=2>It should be emphasized that adherence to this policy is a fundamental condition of employment at Putnam. Every employee is expected to adhere to the requirements of this Code of Ethics despite any inconvenience that may be involved. Any employee failing to do so may be subject to disciplinary action, including financial penalties and termination of employment, as determined by the Code of Ethics Officer, the Code of Ethics Oversight Committee, or the Chief Executive Officer of Putnam Investments.</FONT></B></P>
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<P align=left><FONT face=sans-serif size=5>Definitions</FONT></P>
<P align=left><FONT face=sans-serif size=2>The words below are defined specifically for the purpose of Putnam&#146;s Code of Ethics.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Access Persons</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>Each employee will be informed if he or she is considered an Access Person. The Code of Ethics Officer maintains a list of all Access Persons, categorized as follows:</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; All employees of Putnam&#146;s Investment Management Division</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Employees of the Operations and Administration Division within the following specific groups and departments: </FONT></P>
<P align=left><FONT face=monospace size=2>o </FONT><FONT face=sans-serif size=2>Fund Administration Group </FONT></P>
<P align=left><FONT face=monospace size=2>o </FONT><FONT face=sans-serif size=2>Global Operations Strategy Group </FONT></P>
<P align=left><FONT face=monospace size=2>o </FONT><FONT face=sans-serif size=2>Fund Accounting Oversight Group </FONT></P>
<P align=left><FONT face=monospace size=2>o </FONT><FONT face=sans-serif size=2>Custody Oversight Group </FONT></P>
<P align=left><FONT face=monospace size=2>o </FONT><FONT face=sans-serif size=2>Alternative Investments Department (in the Global Client Operations &amp; Services Group)</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; All employees in the Market Data Services Group</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Senior Managing Directors and Managing Directors in: </FONT></P>
<P align=left><FONT face=monospace size=2>o </FONT><FONT face=sans-serif size=2>Mutual Fund Shareholder Services Group </FONT></P>
<P align=left><FONT face=monospace size=2>o </FONT><FONT face=sans-serif size=2>Fund Accounting Oversight &amp; Control Group </FONT></P>
<P align=left><FONT face=monospace size=2>o </FONT><FONT face=sans-serif size=2>Global Client Operations, Services &amp; Custody Group </FONT></P>
<P align=left><FONT face=monospace size=2>o </FONT><FONT face=sans-serif size=2>Global Distribution and Marketing Division </FONT></P>
<P align=left><FONT face=monospace size=2>o </FONT><FONT face=sans-serif size=2>Corporate Development &amp; Global Distribution Services Division</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; All members of Putnam&#146;s Executive Board</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; All directors and employees of Putnam Investments Limited (PIL) and those based in Europe</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; All directors and officers of a registered investment advisor affiliate, e.g., Putnam Investment Management, LLC (PIM), or The Putnam Advisory Company, LLC (PAC)</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; All employees who have access to My Putnam (unless access is limited to the </FONT><I><FONT face=sans-serif size=2>Wall Street Journal </FONT></I><FONT face=sans-serif size=2>via </FONT><I><FONT face=sans-serif size=2>Factiva </FONT></I><FONT face=sans-serif size=2>)</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Employees who have systems access to non-public information about any client&#146;s purchase or sale of securities or to information regarding recommendations with respect to such purchases or sales</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Employees who have access to non-public information regarding the portfolio holdings of any Putnam-advised or sub-advised mutual fund</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Others as defined by the Legal and Compliance Department</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Closed-end fund </FONT></B><FONT face=sans-serif size=2>A fund with a fixed number of shares outstanding, and that does not redeem shares the way a typical mutual fund does. Closed-end funds typically trade like stocks on exchange.</FONT></P>
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<P align=left><B><FONT face=sans-serif size=2>Code of Ethics Administrator </FONT></B><FONT face=sans-serif size=2>The individual designated by the Code of Ethics Officer to assume responsibility for day-to-day, nondiscretionary administration of this Code. The current Code of Ethics Administrator is Laura Rose, who can be reached at extension 11104.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Code of Ethics Officer </FONT></B><FONT face=sans-serif size=2>The Putnam officer who has been assigned the responsibility of enforcing and interpreting this Code. The Code of Ethics Officer shall be the Chief Compliance Officer or such other person as is designated by the Chief Executive Officer of Putnam Investments. If the Code of Ethics Officer is unavailable, the Deputy Code of Ethics Officer shall act in his stead. The Code of Ethics Officer is Bob Leveille. The Deputy Code of Ethics Officer is Kathleen Griffin. </FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Code of Ethics Oversight Committee </FONT></B><FONT face=sans-serif size=2>Has oversight responsibility for administering the Code of Ethics. Members include the Code of Ethics Officer and other members of Putnam&#146;s senior management approved by the Chief Executive Officer of Putnam.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Discretionary Account </FONT></B><FONT face=sans-serif size=2>An account for which the holder gives his/her broker or investment advisor (but not an immediate family member) complete authority to make management decisions to buy and sell securities (also called controlled account or managed account). </FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Exchange-Traded Fund (ETF) </FONT></B><FONT face=sans-serif size=2>A fund that tracks an index, but can be traded like a stock. ETFs always bundle together the securities that are in an index. Examples include (but are not limited to): SPDRs, WEBs, QQQQs, iShares, and HLDRs.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>NOTE:</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>Excluded from pre-clearance but not from reporting requirements are: exchange-traded </FONT><I><FONT face=sans-serif size=2>index </FONT></I><FONT face=sans-serif size=2>funds (ETFs) containing a portfolio of securities of 25 or more issuers (e.g., SPDRs, WEBs, QQQQs, iShares, and HLDRs), and any option on a broad-based market index or an exchange-traded futures contract or option. Country funds, as well as other funds that are not tied to an index, are considered closed-end funds and are subject to pre-clearance and reporting requirements. (See Section I.A, Rule 1: Pre-clearance Requirements for more information.) </FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Immediate family </FONT></B><FONT face=sans-serif size=2>Spouse, domestic partner, minor children, or other relatives living in the same household as the Putnam employee. All pre-clearance and reporting rules apply to &#147;immediate family members.&#148; </FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Narrow-based derivative </FONT></B><FONT face=sans-serif size=2>A future, swap, put or call option, or similar derivative instrument whose return is determined by reference to fewer than 25 underlying issuers. Single stock futures and ETFs based on less than 25 issuers are included.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Personal Trading Assistant (PTA) </FONT></B><FONT face=sans-serif size=2>The Personal Trading Assistant (PTA) is an Internet application designed for employees to manage personal trading activities, such as pre-clearance, reporting, and certifications, in accordance with regulatory requirements and Putnam&#146;s Code of Ethics.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Policy statements </FONT></B><FONT face=sans-serif size=2>The Insider Trading Prohibitions Policy Statement is attached to the Code as Appendix A and the Policy Statement Regarding Employee Trades in Shares of Putnam Closed-End Funds is attached to the Code as Appendix B.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Private placement </FONT></B><FONT face=sans-serif size=2>Any offering of a security not offered to the public and not requiring registration with the relevant securities authorities.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Purchase or sale of a security </FONT></B><FONT face=sans-serif size=2>Any acquisition or transfer of any interest in the security for direct or indirect consideration; this includes the writing of an option. This definition includes any transfer of a security by an employee as a gift to an individual or a charity.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Putnam </FONT></B><FONT face=sans-serif size=2>Any or all of Putnam Investments, LLC and its subsidiaries, any one of which shall be a Putnam company.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Putnam client </FONT></B><FONT face=sans-serif size=2>Any of the Putnam mutual funds, or any advisor, trust, or other client for whom Putnam manages money.</FONT></P>
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<P align=left><B><FONT face=sans-serif size=2>Putnam employee (or employee) </FONT></B><FONT face=sans-serif size=2>Any employee of Putnam.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Restricted list </FONT></B><FONT face=sans-serif size=2>The list established in accordance with Rule 1 of Section I.A. </FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Security </FONT></B><FONT face=sans-serif size=2>The following instruments are defined as &#147;securities&#148; and require pre-clearance:</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Any type or class of equity or debt security, e.g., corporate or municipal bonds</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Any rights relating to a security, such as warrants and convertible securities</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Closed-end funds</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Any narrow-based derivative, e.g., a put or call option on a single security</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Pre-clearance and reporting is not required (unless otherwise noted) for:</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>&#149; Open-end mutual funds</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Currencies, Treasuries (T-bills), and direct and indirect obligations of the U.S. government and its agencies</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Direct and indirect obligations of any member country in the Organization for Economic CoOperation and Development (OECD), commercial paper, certificates of deposit (CDs), repurchase agreements, bankers&#146; acceptances, and other money market instruments</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Short selling </FONT></B><FONT face=sans-serif size=2>The sale of a security that the investor does not own in order to take advantage of an anticipated decline in the price of the security. In order to sell short, the investor must borrow the security from his broker in order to make delivery to the buyer.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Short selling against the box </FONT></B><FONT face=sans-serif size=2>A short sale where the investor owns the security, but does not want to use the shares for delivery, so he borrows them from the brokerage firm. </FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Transaction for a personal account </FONT></B><FONT face=sans-serif size=2>Securities transactions: (a) for the personal account of any employee; (b) for the account of a member of the immediate family of any employee; (c) for the account of a partnership in which a Putnam employee or immediate family member is a general partner or a partner with investment discretion; (d) for the account of a trust in which a Putnam employee or immediate family member is a trustee with investment discretion; (e) for the account of a closely held corporation in which a Putnam employee or immediate family member holds shares and for which he has investment discretion; and (f ) for any account other than a Putnam client account, which receives investment advice of any sort from the employee or immediate family member, or as to which the employee or immediate family member has investment discretion.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Rule of construction regarding time periods </FONT></B><FONT face=sans-serif size=2>Unless the context indicates otherwise, time periods used in the Code of Ethics shall be measured inclusively, i.e., beginning on the date from which the measurement is made.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>EXCEPTIONS</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>Unless the context indicates otherwise, there will be no exceptions to the rules.</FONT></P>
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<P align=left><FONT face=sans-serif size=5>Section I &#151; Personal Securities Rules for All Employees</FONT></P>
<P align=left><FONT face=sans-serif size=4>A. Pre-clearance</FONT></P>
<P align=left><FONT face=sans-serif>Rule 1: Pre-clearance Requirements</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Pre-clearance is required for the following securities:</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>&#149; Any type or class of equity or debt security, including corporate and municipal bonds</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Stock of Power Corporation of Canada, Power Financial Corporation, and Great-West Lifeco Inc.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Any rights relating to a security, such as warrants and convertible securities</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Closed-end funds &#150; including Putnam closed-end funds. Country funds, as well as other funds that are not tied to an index, are considered closed-end funds and are subject to pre-clearance and reporting requirements, e.g., India Fund (IFN), Morgan Stanley Asia Pacific Fund (APF), and Central Europe and Russia Fund (CEE). Certain closed-end funds that sometimes are referred to as closed-end ETFs, such as Western Asset Emerging (ESD) or Eaton Vance Muni Trust (EVN), are also subject to pre-clearance and reporting requirements.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Any narrow-based derivative, e.g., a put or call option on a single security</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Any security donated as a gift to an individual or a charity</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Marsh &amp; McLennan (MMC) securities</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Pre-clearance is </FONT></B><B><U><FONT face=sans-serif size=2>not </FONT></U></B><B><FONT face=sans-serif size=2>required for:</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>&#149; Open-end mutual funds</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Currencies, Treasuries (T-bills), and direct and indirect obligations of the U.S. government and its agencies</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Direct and indirect obligations of any member of the country of the Organization for Economic Co-Operation and Development (OECD), commercial paper, certificates of deposit (CDs), repurchase agreements, bankers&#146; acceptances, and other money market instruments</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Application for a loan and/or withdrawals of MMC stock from your 401(k)/Profit Sharing Plan</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>The following are excluded from pre-clearance but not from reporting requirements:</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>Exchange-traded funds (ETFs) containing a portfolio of securities of 25 or more issuers (e.g., SPDRs, WEBs, QQQQs, iShares, and HLDRs), and any option on a broad-based market index or an exchange-traded futures contract or option thereon.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 2: Personal Trading Assistant (PTA) System and Restricted List</FONT></P>
<P align=left><FONT face=sans-serif size=2>No Putnam employee shall purchase or sell for his personal account any security requiring pre-clearance under Rule 1 without prior clearance obtained through procedures set forth by the Code of Ethics Officer. Equity securities are pre-cleared through the PTA pre-clearance system (on Putnam&#146;s intranet home page at </FONT><U><FONT face=sans-serif size=2>http://intranet </FONT></U><FONT face=sans-serif size=2>). Fixed-income securities must be pre-cleared by calling the Code of Ethics Administrator. There are special rules for trading in Putnam closed-end funds. (See Appendix B.) Subject to the limited exceptions below, no clearance will be granted for securities appearing on the Restricted List. Securities will be placed on the Restricted List in the following circumstances:</FONT></P>
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<P align=left><FONT face=sans-serif size=2>(a) When orders to purchase or sell such security have been entered for any Putnam client or the security is being actively considered for purchase for any Putnam client, unless the security is a non-convertible investment-grade (rated at least BBB by S&amp;P or Baa by Moody&#146;s) fixed-income investment; </FONT></P>
<P align=left><FONT face=sans-serif size=2>(b) When such a security is a voting security of a corporation in the banking, savings and loan, insurance, communications, public utilities, or gaming (i.e., casinos) industries, if holdings of Putnam clients in that corporation exceed 7%; </FONT></P>
<P align=left><FONT face=sans-serif size=2>(c) When, in the judgment of the Code of Ethics Officer, other circumstances warrant restricting personal transactions of Putnam employees in a particular security; and </FONT></P>
<P align=left><FONT face=sans-serif size=2>(d) When required under the Policy Statement Concerning Insider Trading Prohibitions. (See Appendix A.)</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>IMPLEMENTATION</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>An employee wishing to trade any equity securities for his personal account shall first obtain clearance through the Personal Trading Assistant (PTA) system. The system may be accessed online via Putnam&#146;s intranet home page at </FONT><U><FONT face=sans-serif size=2>http://intranet </FONT></U><FONT face=sans-serif size=2>. Employees may pre-clear securities between 9:00 a.m. and 4:00 p.m. ET. Requests to make personal securities transactions may not be made using the system or presented to the Code of Ethics Administrator before 9:00 a.m. or after 4:00 p.m. ET.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Pre-clearance must be made by calling the Code of Ethics Administrator for a fixed-income investment (municipal and corporate bonds, including non-convertible investment-grade bonds rated BBB by S&amp;P or Baa by Moody&#146;s).</FONT></P>
<P align=left><FONT face=sans-serif size=2>The PTA system will inform the employee whether the security may be traded and whether trading in the security is only eligible up to the limits under the &#147;Large-/Mid-Cap Exemption.&#148; The response of the pre-clearance system as to whether a security appears on the Restricted List and, if so, whether it is eligible for the exceptions set forth after this Rule shall be final, unless the employee appeals to the Code of Ethics Officer, using the procedure described in Section VI, regarding the request to trade a particular security.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>A clearance is only valid for trading on the day it is obtained. Trades in any security by employees in Asian or European offices of Putnam or trades by any employee in securities listed on Asian or European stock exchanges, however, may be executed within one business day after pre-clearance is obtained.</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>If a security is not on the Restricted List, other classes of securities of the same issuer (e.g., preferred or convertible preferred stock) may be on the Restricted List. It is the employee&#146;s responsibility to identify with particularity the class of securities for which permission is being sought for a personal investment.</FONT></P>
<P align=left><FONT face=sans-serif size=2>If the PTA system does not recognize a security, or if an employee is unable to use the system or has any questions with respect to the system or pre-clearance, the employee may consult the Code of Ethics Administrator. The Code of Ethics Administrator shall not have authority to answer any questions about a security other than whether trading is permitted. The response of the Code of Ethics Administrator as to whether a security appears on the Restricted List and, if so, whether it is eligible for any applicable exceptions set forth after this Rule shall be final, unless the employee appeals to the Code of Ethics Officer, using the procedure described in Section VI, regarding the request to trade a particular security.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>EXCEPTIONS</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>A. </FONT><B><FONT face=sans-serif size=2>Large-/Mid-Cap Exemption. </FONT></B><FONT face=sans-serif size=2>If a security appearing on the Restricted List is an equity security for which the issuer has a market capitalization (defined as outstanding shares multiplied by current price per share) of over $2 billion, then upon clearance approval, the Putnam employee may not trade more than 1,000 shares of the security for the day.</FONT></P>
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<P align=left><FONT face=sans-serif size=2>B. </FONT><B><FONT face=sans-serif size=2>Pre-clearing Transactions Effected by Share Subscription. </FONT></B><FONT face=sans-serif size=2>Trades of securities made by subscription rather than on an exchange are limited to issuers having a market capitalization of $2 billion or more and are subject to the 1,000 share limit. The following are procedures to comply with Rules 1 and 2 when effecting a purchase or sale of shares by subscription:</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; The Putnam employee must pre-clear the trade on the day he or she submits a subscription to the issuer rather than on the actual day of the trade since the actual day of the trade typically will not be known to the employee who submits the subscription. The employee must contact the Code of Ethics Administrator at the time of pre-clearance and will be told whether the purchase is permitted (in the case of a corporation having a market capitalization of $2 billion or more) or not permitted (in the case of a smaller capitalization issuer).</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; The subscription for any purchase or sale of shares must be reported on the Access Person&#146;s quarterly personal securities transaction report, noting the trade was accomplished by subscription.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Because no brokers are involved in the transaction, the confirmation requirement will be waived for these transactions, although the Putnam employee must provide the Legal and Compliance Department with any transaction summaries or statements sent by the issuer.</FONT></P>
<P align=left><FONT face=sans-serif size=2>C. </FONT><B><FONT face=sans-serif size=2>Trades in Approved Discretionary Brokerage Accounts. </FONT></B><FONT face=sans-serif size=2>A transaction does not need to be pre-cleared if it takes place in an account that the Code of Ethics Officer has approved in writing as exempt from the pre-clearance requirement prior to establishing the account. In the sole discretion of the Code of Ethics Officer, accounts that will be considered for exclusion from the pre-clearance requirement are only those for which an employee&#146;s securities broker or investment advisor has complete discretion (a discretionary account).</FONT></P>
<P align=left><FONT face=sans-serif size=2>Employees wishing to seek such an exemption must send a written request to the Code of Ethics Administrator and meet the following conditions: (i) the employee certifies annually in writing that the employee has no influence over the transactions in the discretionary account and is not aware of the transactions in the discretionary account prior to their execution; (ii) the broker or investment advisor certifies annually in writing that the employee has no influence over the transactions in the discretionary account and is not aware of the transactions in the discretionary account prior to their execution; and (iii) each calendar quarter, the broker or investment advisor sends Putnam&#146;s Code of Ethics Administrator copies of each quarterly statement for the discretionary account.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENTS</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>&#149; </FONT><B><FONT face=sans-serif size=2>Pre-clearance. </FONT></B><FONT face=sans-serif size=2>Subpart (a) of Rule 2 is designed to avoid the conflict of interest that might occur when an employee trades for his personal account a security that currently is being traded or is likely to be traded for a Putnam client. Such conflicts arise, for example, when the trades of an employee might have an impact on the price or availability of a particular security, or when the trades of the client might have an impact on price to the benefit of the employee. Thus, exceptions involve situations where the trade of a Putnam employee is unlikely to have an impact on the market.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; </FONT><B><FONT face=sans-serif size=2>Regulatory Limits. </FONT></B><FONT face=sans-serif size=2>Owing to a variety of federal statutes and regulations in the banking, savings and loan, insurance, communications, public utilities, and gaming industries, it is critical that accounts of Putnam clients do not hold more than 7% of the voting securities of any issuer in those industries. Subpart (b) of this rule limits employees&#146; personal trades to sales of shares in these areas because of the risk that the personal holdings of Putnam employees may be aggregated with Putnam holdings. Putnam&#146;s so-called 7% rule will allow the regulatory limits to be observed.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; </FONT><B><FONT face=sans-serif size=2>Options. </FONT></B><FONT face=sans-serif size=2>For the purposes of this Code, options are treated like the underlying security. Thus, an employee may not purchase, sell, or &#147;write&#148; option contracts for a security that is on the</FONT></P>
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<P align=left><FONT face=sans-serif size=2>Restricted List. The automatic exercise or assignment of an options contract (the purchase or writing of which was previously pre-cleared) does not have to be pre-cleared. Note, however, that the purchase or sale of securities obtained through the exercise of options must be pre-cleared.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; </FONT><B><FONT face=sans-serif size=2>Involuntary Transactions. </FONT></B><FONT face=sans-serif size=2>Involuntary personal securities transactions are exempted from the Code. Special attention should be paid to this exemption. (See Section I.D.)</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; </FONT><B><FONT face=sans-serif size=2>Tender Offers. </FONT></B><FONT face=sans-serif size=2>This Rule does not prohibit an employee from tendering securities from his personal account in response to any and all tender offers, even if Putnam clients are also tendering securities. If tendering a security in response to a &#147;partial tender offer,&#148; an employee must pre-clear the trade on the day she submits instructions to her broker, and she will be prohibited from trading if Putnam clients are also tendering the same security.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; </FONT><B><FONT face=sans-serif size=2>Gifts of Securities. </FONT></B><FONT face=sans-serif size=2>Pre-clearance is required for securities donated as a gift to a charitable organization or to an individual. Employees are required to provide a gift transfer certificate of the transaction (if produced) to the Code of Ethics Administrator along with an account statement reflecting the gift transaction. Employees who receive a security gift must report the gift to the Code of Ethics Administrator who will make the necessary adjustments in PTA. Access Persons must enter the gift as a security holding in PTA and report in their Annual Holdings Report.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 3: Marsh &amp; McLennan (MMC) securities</FONT></P>
<P align=left><FONT face=sans-serif size=2>All employees trading MMC securities must pre-clear the trades in the PTA system. MMC securities include stock, options, and any other securities such as debt. Sales out of the MMC Employee Stock Purchase Plan and transactions in all Putnam and MMC employee benefit and bonus plans, i.e., rebalancing or exchanging out of the 401(k)/Profit Sharing/Bonus Plan, are included in this requirement.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Pre-clearance of MMC is required </FONT></B><FONT face=sans-serif size=2>when, for example, you:</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Sell MMC out of the Stock Purchase Plan</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Exchange MMC shares out of your 401(k)/Profit Sharing/Bonus Plan</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Rebalance your Putnam fund choices, which results in a sale of MMC from your 401(k)/Profit Sharing/Bonus Plan</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Trade in MMC securities in other accounts held outside Putnam Investments</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Pre-clearance is not required </FONT></B><FONT face=sans-serif size=2>when you apply for a loan and/or make withdrawals of the stock from your 401(k)/Profit Sharing Plan.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENTS</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>All transactions of MMC require pre-clearance in PTA before you contact Citi Smith Barney to sell shares out of your Stock Purchase Plan. Also, if MMC is one of your choices in the 401(k)/Profit Sharing Plan, all exchanges must be cleared. Even though clearance is not required for Putnam mutual funds, if you do not wish to include MMC shares when rebalancing any of your fund choices, which will result in an automatic exchange of your MMC shares, you must remember to exclude MMC shares prior to submitting your changes. If you are investing online, check the box to exclude MMC; or if you are investing by telephone with a Putnam representative, ask to exclude MMC before rebalancing the funds.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Additional MMC-related policies:</FONT></P>
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<P align=left><FONT face=sans-serif size=2>&#149; Transactions in MMC securities that are held in Putnam&#146;s internal plans are not subject to the 90-Day Short-Term Rule (applicable to Access Persons only) or to the holding periods that apply to Putnam mutual funds.</FONT></P>
<P align=left><FONT face=sans-serif size=4>B. Prohibited Transactions </FONT></P>
<P align=left><FONT face=sans-serif>Rule 1: Short-Selling Prohibition</FONT></P>
<P align=left><FONT face=sans-serif size=2>Putnam employees are prohibited from short selling any security in their own account, whether or not the security is held in a Putnam client portfolio. Employees are prohibited from hedging investments made in securities of Power Corporation of Canada, Power Financial Corporation, and Great-West Lifeco Inc.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>EXCEPTION</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>Short selling against broad market indexes (such as the Dow Jones Industrial Average, the NASDAQ Index, and the S&amp;P 100 and 500 indexes) and short selling against the box are permitted (except that short selling shares of Power Corporation of Canada, Power Financial Corporation, and Great-West Lifeco Inc. against the box is not permitted).</FONT></P>
<P align=left><FONT face=sans-serif>Rule 2: Initial Public Offerings Prohibition</FONT></P>
<P align=left><FONT face=sans-serif size=2>No Putnam employee shall purchase any security for her personal account in an initial public offering. Employees are also restricted from participating in Initial Public Offerings via a Discretionary Account.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>EXCEPTION</FONT></B></P>
<P align=left><B><FONT face=sans-serif size=2>Pre-existing Status Exception. </FONT></B><FONT face=sans-serif size=2>A Putnam employee shall not be barred by this Rule or by Rule 2(a) of Section I.A. from purchasing securities for her personal account in connection with an initial public offering of securities by a bank or insurance company when the employee&#146;s status as a policyholder or depositor entitles her to purchase securities on terms more favorable than those available to the general public, in connection with the bank&#146;s conversion from mutual or cooperative form to stock form, or the insurance company&#146;s conversion from mutual to stock form, provided that the employee has had the status entitling her to purchase on favorable terms for at least two years. This exception is only available with respect to the value of bank deposits or insurance policies that an employee owns before the announcement of the initial public offering. This exception does not apply, however, if the security app
ears on the Restricted List in the circumstances set forth in subparts (b), (c), or (d) of Section I.A., Rule 2.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENTS</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>&#149; The purpose of this Rule is twofold. First, it is designed to prevent a conflict of interest between Putnam employees and Putnam clients who might be in competition for the same securities in a limited public offering. Second, the Rule is designed to prevent Putnam employees from being subject to undue influence as a result of receiving favors in the form of special allocations of securities in a public offering from broker-dealers who seek to do business with Putnam.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Purchases of securities in the immediate after-market of an initial public offering are not prohibited, provided they do not constitute violations of other provisions of the Code of Ethics. For example, participation in the immediate after-market as a result of a special allocation from an underwriting group would be prohibited by Section III, Rule 3, concerning gifts and other favors.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Public offerings subsequent to initial public offerings are not deemed to create the same potential for competition between Putnam employees and Putnam clients because of the pre-existence of a market for the securities.</FONT></P>
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<P align=left><FONT face=sans-serif>Rule 3: Private Placement Pre-approval Requirements</FONT></P>
<P align=left><FONT face=sans-serif size=2>No Putnam employee shall purchase any security for his personal account in a limited private offering or private placement without prior approval of the Code of Ethics Officer. Privately placed limited partnerships and funds such as private equity or hedge funds are specifically included in this Rule.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENTS</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>&#149; The purpose of this Rule is to prevent a Putnam employee from investing in securities for his own account pursuant to a limited private offering that could compete with or disadvantage Putnam clients, and to eliminate any incentives Putnam employees might have to favor those who can affect access to limited offerings.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Exemptions to the prohibition will generally not be granted where the proposed investment relates directly or indirectly to investments by a Putnam client, or where individuals involved in the offering (including the issuers, broker, underwriter, placement agent, promoter, fellow investors, and affiliates of the foregoing) have any prior or existing business relationship with Putnam or a Putnam employee, or where the Putnam employee believes that such individuals may expect to have a future business relationship with Putnam or a Putnam employee.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; An exemption may be granted, subject to reviewing all the facts and circumstances, for investments in: </FONT></P>
<P align=left><FONT face=sans-serif size=2>(a) Pooled investment funds, including hedge funds, subject to the condition that an employee investing in a pooled investment fund would have no involvement in the activities or decision-making process of the fund except for financial reports made in the ordinary course of the fund&#146;s business, and subject to the condition that the hedge fund does not invest significantly in registered investment companies.</FONT></P>
<P align=left><FONT face=sans-serif size=2>(b) Private placements where the investment cannot relate, or be expected to relate, directly or indirectly to Putnam or investments by a Putnam client.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Employees who apply for an exemption will be expected to disclose to the Code of Ethics Officer in writing all facts and relationships relating to the proposed investment.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Applications to invest in private placements will be reviewed by the Code of Ethics Oversight Committee. This review will take into account, among other factors, the considerations described in the preceding comments.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 4: Trading with Material Non-public Information</FONT></P>
<P align=left><FONT face=sans-serif size=2>No Putnam employee shall purchase or sell any security for her personal account or for any Putnam client account while in possession of material non-public information concerning the security or the issuer. Please read Appendix A, Policy Statement Concerning Insider Trading Prohibitions.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 5: No Personal Trading with Client Portfolios</FONT></P>
<P align=left><FONT face=sans-serif size=2>No Putnam employee shall purchase from or sell to a Putnam client any securities or other property for his personal account, nor engage in any personal transaction to which a Putnam client is known to be a party, or in which the transaction may have a significant relationship to any action taken by a Putnam client.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>IMPLEMENTATION</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>It is the responsibility of every Putnam employee to make inquiry prior to any personal transaction in order to satisfy himself that the requirements of this Rule have been met.</FONT></P>
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<P align=left><B><FONT face=sans-serif size=2>COMMENT</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>This Rule is required by federal law. It does not prohibit a Putnam employee from purchasing any shares of an open-end Putnam fund. The policy with respect to employee trading in Putnam closed-end funds is attached as Appendix B.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 6: Holding Putnam Mutual Fund Shares</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Putnam employees may not hold shares of Putnam open-end U.S. mutual funds other than through accounts maintained at Putnam. Employees placing purchase orders in shares of Putnam open-end funds must place such orders through Putnam and not through an outside broker or other intermediary. </FONT></B><FONT face=sans-serif size=2>Employees redeeming or exchanging shares of Putnam open-end funds must place those orders through Putnam and not through an outside broker or other intermediary. For transfer instructions, contact a Putnam Preferred Client Services (PCS) representative at 1-800-634-1590.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>REMINDER</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>For purposes of this Rule, &#147;employee&#148; includes:</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Members of the immediate family of a Putnam employee who share the same household as the employee or for whom the Putnam employee has investment discretion (family member);</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Any trust in which a Putnam employee or family member is a trustee with investment discretion and in which such Putnam employee or any family members are collectively beneficiaries;</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Any closely held entity (such as a partnership, limited liability company, or corporation) in which a Putnam employee and his or her family members hold a controlling interest and with respect to which they have investment discretion; and</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Any account (including any retirement, pension, deferred compensation, or similar account) in which a Putnam employee or family member has a substantial economic interest and over which the Putnam employee or family member exercises investment discretion.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENTS</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>These requirements also apply to:</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Self-directed IRA accounts holding Putnam fund shares;</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Variable annuities and variable insurance contracts, such as Putnam/Hartford Manager, that invest in Putnam Variable Trusts. Employees must designate Putnam Retail Management as the broker of record for all such accounts.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>NOTE:</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>Employees are required to seek permission from the Code of Ethics Officer to hold Putnam funds in variable trusts outside of Putnam.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>EXCEPTION</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>Retirement, pension, deferred compensation, and similar accounts that cannot be legally transferred to Putnam are not subject to the requirement. For example, a spouse of a Putnam employee may have a 401(k)/Profit Sharing Plan with her employer that invests in Putnam funds. Employees may also hold Putnam money market funds at Mercer Securities. Any employee who continues to hold shares in open-end Putnam funds outside of Putnam must notify the Code of Ethics Officer in writing of the account information, provide the reason why the account cannot be transferred to Putnam, and arrange for a quarterly statement of transactions in such account to be sent to the Code of Ethics Administrator.</FONT></P>
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<P align=left><FONT face=sans-serif>Rule 7: Putnam Mutual Fund Employee Restrictions</FONT></P>
<P align=left><FONT face=sans-serif size=2>(a) Employees (defined in Rule 6) may not, within a 90-calendar day period, make a purchase followed by a sale or a sale followed by a purchase of shares of the same open-end Putnam mutual fund, even if the transactions occur in different accounts.</FONT></P>
<P align=left><FONT face=sans-serif size=2>(b) Employees who are Access Persons may not, within a one-year period, make a purchase followed by a sale or a sale followed by a purchase of shares of the same open-end Putnam mutual fund or of shares of any U.S. registered mutual fund to which Putnam acts as advisor or sub-advisor, even if the transactions occur in different accounts.</FONT></P>
<P align=left><FONT face=sans-serif size=2>(c) All employees are required to link their immediate family members&#146; accounts holding Putnam mutual funds to comply with the disclosure requirements. These accounts are also subject to the 90-day and one-year rules. To link these accounts, log on to Putnam&#146;s intranet home page at </FONT><U><FONT face=sans-serif size=2>http://intranet </FONT></U><FONT face=sans-serif size=2>, and select Employee Essentials/Linked Mutual Fund Accounts. You are required to confirm the information and will be prompted to add any accounts that you or your family members have that should be linked, or delink accounts that you or your family members have closed.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENTS</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>This Rule applies to transactions by a Putnam employee and family members as defined in the Code in any type of account including retail, IRA, variable annuity, and 401(k)/Profit Sharing Plan, as well as any deferred compensation accounts, and the restrictions apply across all accounts maintained by an employee and family members:</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; An employee who buys shares of an open-end Putnam mutual fund may not sell any shares of the same mutual fund until 90 calendar days have passed, or one year for Access Persons.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Example: If an employee buys shares of a Putnam fund on Day 1 for a retail account and then sells (by exchange) shares of the same fund for his or her 401(k)/Profit Sharing Plan accounts on Day 85, the employee has violated the rule.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Similarly, an employee who sells shares of an open-end Putnam mutual fund may not buy any shares of the same mutual fund until 90 calendar days have passed, or one year for Access Persons.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; The purpose of these blackout period restrictions is to prevent any market timing or the appearance of any market timing activity.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; This Rule applies to transactions by a Putnam employee and his or her family members as defined in the Code in any type of account including retail, IRA, variable annuity, variable insurance, and 401(k)/Profit Sharing Plan, as well as any deferred compensation accounts.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; The minimum sanction for an initial violation of the blackout period will be disgorgement of any profit made on the transaction. Additional sanctions may apply, including termination of employment.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>EXCEPTIONS</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>A. </FONT><B><FONT face=sans-serif size=2>The restrictions do not apply to Putnam&#146;s money market funds and Putnam Stable Value Fund.</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>B. </FONT><B><FONT face=sans-serif size=2>401(k)/Profit Sharing Plan Contributions and Payroll Deductions: </FONT></B><FONT face=sans-serif size=2>The 90-day or one year restriction is not triggered by the initial allocation of regular employee or employer contributions or forfeitures to an employee&#146;s account under the terms of Putnam employee benefit plans or a Putnam payroll-deduction direct-investment program; later exchanges of these contributions will be subject to either the 90-day or one-year blackout period.</FONT></P>
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<P align=left><FONT face=sans-serif size=2>C. </FONT><B><FONT face=sans-serif size=2>Systematic Programs: </FONT></B><FONT face=sans-serif size=2>The restrictions do not apply with respect to shares sold or acquired as a result of participation in a systematic program for contributions, withdrawals, or exchanges, provided that an election to participate in any such program and the participation dates of the program are not changed more often than quarterly after the program is elected by the employee. Access Persons may elect a quarterly or semiannual rebalancing program although it may only be changed on an annual basis.</FONT></P>
<P align=left><FONT face=sans-serif size=2>D. </FONT><B><FONT face=sans-serif size=2>Employee Benefit Plan Withdrawals and Distributions: </FONT></B><FONT face=sans-serif size=2>No restriction applies with respect to shares sold for withdrawals, loans, or distributions under the terms of Putnam employee benefit plans.</FONT></P>
<P align=left><FONT face=sans-serif size=2>E. </FONT><B><FONT face=sans-serif size=2>Dividends, Distributions, Mergers, and Share Class Conversions: </FONT></B><FONT face=sans-serif size=2>No restriction applies with respect to the acquisition of shares as a result of reinvestment of dividends, distributions, mergers, conversions of share classes, or other similar actions. Subsequent transactions with respect to the shares will be covered.</FONT></P>
<P align=left><FONT face=sans-serif size=2>F. </FONT><B><FONT face=sans-serif size=2>College Savings Program: </FONT></B><FONT face=sans-serif size=2>Redemptions from an employee&#146;s college savings 529 plan to pay for qualified educational expenses for the beneficiary of the account (and redemptions due to death or disability) are exempt from the 90-day and one-year restrictions applicable to Putnam mutual funds. Qualified redemptions include:</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Tuition</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; School fees</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Books</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Supplies and equipment required for enrollment</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Room and board</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Death</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Disability</FONT></P>
<P align=left><FONT face=sans-serif size=2>G. </FONT><B><FONT face=sans-serif size=2>Special Situations: </FONT></B><FONT face=sans-serif size=2>In special situations as determined from time to time by Putnam&#146;s Code of Ethics Oversight Committee, exceptions may by granted to the blackout periods as a result of death, disability, or special circumstances (such as personal hardship). Employees may request an exception by submitting a written request to the Code of Ethics Officer.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 8: Special Orders</FONT></P>
<P align=left><FONT face=sans-serif size=2>Good Until Canceled (GTC) Limit Orders are prohibited.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Any order not executed on the day of pre-clearance must be resubmitted for pre-clearance before being executed on a subsequent day. &#147;Good until canceled limit&#148; orders are prohibited because of the potential failure to pre-clear.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>EXCEPTION</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>Same-day limit orders are permitted.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 9: Excessive Trading</FONT></P>
<P align=left><FONT face=sans-serif size=2>Putnam employees are strongly discouraged from engaging in excessive trading for their personal accounts. Employees are prohibited from making more than 10 trades in individual securities in any given quarter. For the purpose of this rule, an employee is prohibited from engaging in more than a total of 10 trades in all accounts the employee may hold (including those accounts held by his immediate family members), not 10 trades per individual account.</FONT></P>
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<P align=left><B><FONT face=sans-serif size=2>EXCEPTION</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>For the purpose of calculating the number of trades in any quarter, trading the same security in the same direction (buy or sell) over a period of five business days will be counted as one transaction. </FONT></P>
<P align=left><FONT face=sans-serif size=2>Trades in ETFs containing 25 or more issuers and trades of MMC stock in Putnam internal plans are not counted towards the 10-trade limit.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENT</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>Although a Putnam employee&#146;s excessive trading may not itself constitute a conflict of interest with Putnam clients, Putnam believes that its clients&#146; confidence in Putnam will be enhanced and that the likelihood of Putnam achieving better investment skills results for its clients over the long term will be increased if Putnam employees rely on their investment skills, as opposed to their trading skills in transactions for their own account. Moreover, excessive trading by a Putnam employee for his or her own account diverts an employee&#146;s attention from the responsibility of servicing Putnam clients, and increases the possibilities for transactions that are in actual or apparent conflict with Putnam client transactions. Short-term trading is strongly discouraged, and employees are encouraged to take a long-term view.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 10: Spread Betting</FONT></P>
<P align=left><FONT face=sans-serif size=2>PIL employees may not enter into any spread betting contracts on financial instruments.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENT</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>Spread betting provides exposure to the movement of an index or security price without holding any form of certificate.</FONT></P>
<P align=left><FONT face=sans-serif size=2>This Rule guards against the danger that a Putnam employee may be in violation of the Code of Ethics by virtue of his spread betting transactions. Please note that this restriction also applies to the spouse of a Putnam employee and any relatives of a Putnam employee living in the same household as the employee, as their transactions are covered by the Code of Ethics. (See page 6.)</FONT></P>
<P align=left><FONT face=sans-serif size=4>C. Discouraged Transaction </FONT><FONT face=sans-serif>Rule 1: Naked Options</FONT></P>
<P align=left><FONT face=sans-serif size=2>Putnam employees are strongly discouraged from engaging in writing (selling) naked options for their personal accounts.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Naked option transactions are particularly dangerous, because a Putnam employee may be prevented by the restrictions in this Code of Ethics from covering the naked option at the appropriate time. All employees should keep in mind the limitations on their personal securities trading imposed by this Code when contemplating such an investment strategy. Engaging in naked options transactions on the basis of material non-public information is prohibited. (See Appendix A, Policy Statement Concerning Insider Trading Prohibitions.)</FONT></P>
<P align=left><FONT face=sans-serif size=4>D. Exempted Transactions </FONT><FONT face=sans-serif>Rule 1: Involuntary Transactions</FONT></P>
<P align=left><FONT face=sans-serif size=2>Transactions that are involuntary on the part of a Putnam employee are exempt from the prohibitions set forth in Sections I.A., I.B., and I.C.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENTS</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>This exemption is based on categories of conduct that the Securities and Exchange Commission does not consider &#147;abusive.&#148;</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Examples of involuntary personal securities transactions include:</FONT></P>
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<P align=left><FONT face=sans-serif size=2>(a) Sales out of the brokerage account of a Putnam employee as a result of a bona fide margin call, provided that withdrawal of collateral by the Putnam employee within the ten days previous to the margin call was not a contributing factor to the margin call; </FONT></P>
<P align=left><FONT face=sans-serif size=2>(b) Purchases arising out of an automatic dividend reinvestment program of an issuer of a publicly traded security.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Transactions by a trust in which the Putnam employee (or a member of his immediate family) holds a beneficial interest, but for which the employee has no direct or indirect influence or control with respect to the selection of investments, are involuntary transactions. In addition, these transactions do not fall within the definition of &#147;personal securities transactions.&#148; (See Definitions.)</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; A good-faith belief on the part of the employee that a transaction was involuntary will not be a defense to a violation of the Code of Ethics. In the event of confusion as to whether a particular transaction is involuntary, the burden is on the employee to seek a prior written determination of the applicability of this exemption. The procedures for obtaining such a determination appear in Section VI.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 2: Special Exemptions</FONT></P>
<P align=left><FONT face=sans-serif size=2>Transactions that have been determined, in writing by the Code of Ethics Officer before the transaction occurs, to be no more than remotely harmful to Putnam clients because the transaction would be very unlikely to affect a highly institutional market, or because the transaction is clearly not related economically to the securities to be purchased, sold, or held by a Putnam client, are exempt from the prohibitions set forth in Sections I.A., I.B., and I.C.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>IMPLEMENTATION</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>An employee may seek an ad hoc exemption under this Rule by following the procedures in Section VI.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENTS</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>&#149; This exemption is also based upon categories of conduct that the Securities and Exchange Commission does not consider &#147;abusive.&#148;</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; The burden is on the employee to seek a prior written determination that the proposed transaction meets the standards for an ad hoc exemption set forth in this Rule.</FONT></P>
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<P align=left><FONT face=sans-serif size=5>Section II &#151; Additional Special Rules for Personal Securities Transactions</FONT></P>
<P align=left><FONT face=sans-serif size=4>A. Access Persons and Certain Investment Professionals</FONT></P>
<P align=left><FONT face=sans-serif size=2>Access Persons include all investment professionals and other employees as defined on page 1.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 1: 90-Day Short-Term Rule</FONT></P>
<P align=left><FONT face=sans-serif size=2>Access Persons may not sell a security at a profit within 90 days of purchase or buy a security at a price below which he or she sold it within the past 90 days.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>EXCEPTION</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>None, unless prior written approval from the Code of Ethics Officer is obtained. Exceptions may be granted on a case-by-case basis when no abuse is involved and the equities of the situation support an exemption. For example, although an Access Person may buy a stock as a long-term investment, that stock may have to be sold involuntarily due to unforeseen activity such as a merger.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>IMPLEMENTATION</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>A. The 90-Day Short-Term Rule applies to all Access Persons, as defined in the Definitions section of the Code.</FONT></P>
<P align=left><FONT face=sans-serif size=2>B. Calculation of whether there has been a profit is based upon the market prices of the securities. The calculation includes commissions and other sales charges.</FONT></P>
<P align=left><FONT face=sans-serif size=2>C. As an example, an Access Person would not be permitted to sell a security at $12 that he purchased within the prior 90 days for $10. Similarly, an Access Person would not be permitted to purchase a security at $10 that she had sold within the prior 90 days for $12.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENTS</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>&#149; The prohibition against short-term trading profits by Access Persons is designed to minimize the possibility that they will capitalize inappropriately on the market impact of trades involving a client portfolio about which they might possibly have information.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Although Chief Investment Officers, portfolio managers, and analysts may sell securities at a profit within 90 days of purchase in order to comply with the requirements of the 7-Day Rule applicable to them (described below), the profit will have to be disgorged to charity under the terms of the 7-Day Rule.</FONT></P>
<P align=left><FONT face=sans-serif size=4>B. Certain Investment Professionals </FONT><FONT face=sans-serif>Rule 2: 7-Day Rule</FONT></P>
<P align=left><FONT face=sans-serif size=2>(a) Portfolio Managers: Before a portfolio manager (including a Chief Investment Officer with respect to an account he manages) places an order to buy a security for any Putnam client portfolio that he manages, he must sell that security or related derivative security if he has purchased it in his personal account within the preceding seven calendar days.</FONT></P>
<P align=left><FONT face=sans-serif size=2>(b) Analysts: Before an analyst makes a purchase or an outperform recommendation for a security (including designation of a security for inclusion in the portfolio of Putnam Research Fund), he must sell that security or related derivative security if he has purchased it in his personal account within the preceding seven calendar days.</FONT></P>
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<P align=left><B><FONT face=sans-serif size=2>COMMENTS</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>&#149; This Rule applies to portfolio managers (including Chief Investment Officers with respect to accounts they manage) in connection with any purchase, no matter how small, in any client account managed by that portfolio manager or CIO (even so-called &#147;clone accounts&#148;). In particular, it should be noted that the requirements of this Rule also apply with respect to purchases in client accounts, including &#147;clone accounts,&#148; resulting from &#147;cash flows.&#148; To comply with the requirements of this Rule, it is the responsibility of each portfolio manager or CIO to be aware of the placement of all orders for purchases of a security by client accounts that he or she manages for seven days following the purchase of that security for his or her personal account.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; An investment professional who must sell securities to be in compliance with the 7-Day Rule must absorb any loss and disgorge to charity any profit resulting from the sale. The recipient charity will be chosen by the Code of Ethics Officer.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; This Rule is designed to avoid even the appearance of a conflict of interest between an investment professional and a Putnam client. A greater burden is placed on these professionals given their positions in the organization. Transactions executed for the employee&#146;s personal account must be conducted in a manner consistent with the Code of Ethics and in such a manner as to avoid any actual or perceived conflict of interest or any abuse of the employee&#146;s position of trust and responsibility.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; &#147;Portfolio manager&#148; is used in this Section as a functional label, and is intended to cover any employee with authority to authorize a trade on behalf of a Putnam client, whether or not such employee bears the title &#147;portfolio manager.&#148; &#147;Analyst&#148; is also used in this Section as a functional label, and is intended to cover any employee who is not a portfolio manager but who may make recommendations regarding investments for Putnam clients.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 3: Blackout Rule</FONT></P>
<P align=left><FONT face=sans-serif size=2>(a) Portfolio Managers: No portfolio manager (including Chief Investment Officers with respect to accounts they manage) shall: (i) sell any security or related derivative security for her personal account until seven calendar days have elapsed since the most recent purchase of that security or related derivative security by any Putnam client portfolio she manages or co-manages; or (ii) purchase any security or related derivative security for her personal account until seven calendar days have elapsed since the most recent sale of that security or related derivative security from any Putnam client portfolio that she manages or co-manages.</FONT></P>
<P align=left><FONT face=sans-serif size=2>(b) Analysts: No analyst shall: (i) sell any security or related derivative security for his personal account until seven calendar days have elapsed since his most recent buy or outperform recommendation for that security or related derivative security (including designation of a security for inclusion in the portfolio of Putnam Research Fund); or (ii) purchase any security or related derivative security for his personal account until seven calendar days have elapsed since his most recent sell or underperform recommendation for that security or related derivative security (including the removal of a security from the portfolio of Putnam Research Fund).</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENTS</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>&#149; This Rule applies to portfolio managers (including Chief Investment Officers with respect to accounts they manage) in connection with any purchase, no matter how small, in any client account managed by that portfolio manager or CIO (even clone accounts). In particular, it should be noted that the requirements of this rule also apply with respect to transactions in client accounts, including clone accounts, resulting from cash flows. In order to comply with the requirements of this Rule, it is the responsibility of each portfolio manager and CIO to be aware of all transactions in a security by client accounts that he or she manages that took place within the seven days preceding a transaction in that security for his or her personal account.</FONT></P>
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<P align=left><FONT face=sans-serif size=2>&#149; This Rule is designed to prevent a Putnam portfolio manager or analyst from engaging in personal investment conduct that appears to be counter to the investment strategy she is pursuing or recommending on behalf of a Putnam client.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 4: Contra-Trading Rule</FONT></P>
<P align=left><FONT face=sans-serif size=2>(a)Portfolio Managers: No portfolio manager shall, without prior clearance and written approval, sell out of his personal account securities or related derivative securities held in any Putnam client portfolio that he manages or co-manages.</FONT></P>
<P align=left><FONT face=sans-serif size=2>(b)Chief Investment Officers: No Chief Investment Officer shall, without prior clearance and written approval, sell out of his personal account securities or related derivative securities held in any Putnam client portfolio managed in his investment group.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>IMPLEMENTATION</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>A. Individuals Authorized to Give Approval. Prior to engaging in any such sale, a portfolio manager shall seek written approval of the proposed sale. In the case of a portfolio manager, prior written approval of the proposed sale shall be obtained from a Chief Investment Officer to whom he reports or, in his absence, another Chief Investment Officer. In the case of a Chief Investment Officer, prior written approval of the proposed sale shall be obtained from another Chief Investment Officer. In addition to the foregoing, prior written approval must also be obtained from the Code of Ethics Officer.</FONT></P>
<P align=left><FONT face=sans-serif size=2>B. Contents of Written Approval. In every instance, use either the attached form of written approval known as &#147;Appendix C&#148; in this Booklet or such other form as the Code of Ethics Officer shall designate. The written approval should be signed by the Chief Investment Officer giving approval and dated when such approval was given, and shall state, briefly, the reasons why the trade was allowed and why the investment conduct pursued by the portfolio manager or Chief Investment Officer was deemed inappropriate for the Putnam client account controlled by the individual seeking to engage in the transaction for his personal account. Such written approval shall be sent by the Chief Investment Officer approving the transaction to the Code of Ethics Officer, for her approval, within 24 hours or as promptly as circumstances permit. Approvals obtained after a transaction has been completed, or while it is in process, will not satisfy the requirements of this Rule.</FO
NT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENT</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>This Rule, like Rule 3 of this section, is designed to prevent a Putnam portfolio manager from engaging in personal investment conduct that appears to be counter to the investment strategy that he is pursuing on behalf of a Putnam client.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 5: No Personal Benefit</FONT></P>
<P align=left><FONT face=sans-serif size=2>No portfolio manager shall cause, and no analyst shall recommend, a Putnam client to take action for the portfolio manager&#146;s or analyst&#146;s own personal benefit.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENTS</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>&#149; A portfolio manager who trades in, or an analyst who recommends, particular securities for a Putnam client account in order to support the price of securities in his personal account, or who &#147;front runs&#148; a Putnam client order is in violation of this Rule. Portfolio managers and analysts should be aware that this Rule is not limited to personal transactions in securities (as that word is defined in the Definitions section). Thus, a portfolio manager or analyst who front runs a Putnam client purchase or sale of obligations of the U.S. government is in violation of this Rule. U.S. government obligations are excluded from the definition of security.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; This Rule is not limited to instances when a portfolio manager or analyst has malicious intent. It also prohibits conduct that creates an appearance of impropriety. Portfolio managers and</FONT></P>
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<P align=left><FONT face=sans-serif size=2>analysts who have questions about whether proposed conduct creates an appearance of impropriety should seek a prior written determination from the Code of Ethics Officer, using the procedures described in Section VI.</FONT></P>
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<P align=left><FONT face=sans-serif size=5>Section III &#151; General Rules for All Employees</FONT></P>
<P align=left><FONT face=sans-serif>Rule 1: Compliance with All Laws, Regulations, and Policies</FONT></P>
<P align=left><FONT face=sans-serif size=2>All employees must comply with applicable laws and regulations as well as company policies. This includes tax, anti-trust, political contribution, and international boycott laws. In addition, no employee at Putnam may engage in fraudulent conduct of any kind.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENTS</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>&#149; Putnam may report to the appropriate legal authorities conduct by Putnam employees that violates this Rule.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; It should also be noted that the U.S. Foreign Corrupt Practices Act makes it a criminal offense to make a payment or offer of payment to any non-U.S. governmental official, political party, or candidate to induce that person to affect any governmental act or decision, or to assist Putnam&#146;s obtaining or retaining business.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 2: Conflicts of Interest</FONT></P>
<P align=left><FONT face=sans-serif size=2>No Putnam employee shall conduct herself in a manner that is contrary to the interests of, or in competition with, Putnam or a Putnam client, or that creates an actual or apparent conflict of interest with a Putnam client.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENTS</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>&#149; This Rule is designed to recognize the fundamental principle that Putnam employees owe their chief duty and loyalty to Putnam and Putnam clients.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; It is expected that a Putnam employee who becomes aware of an investment opportunity that she believes is suitable for a Putnam client whom she services will present it to the appropriate portfolio manager prior to taking advantage of the opportunity herself.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 3: Gifts and Entertainment Policy</FONT></P>
<P align=left><FONT face=sans-serif size=2>No Putnam employee shall accept anything of material value from any broker-dealer, financial institution, corporation, or other entity; any existing or prospective supplier of goods or services with a business relationship to Putnam; or any company or other entity whose securities are held in or are being considered as investments for the Putnam funds, or any other client account. Included are gifts, favors, preferential treatment, special arrangements, or access to special events.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENTS</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>This Rule is intended to permit the acceptance of only proper types of customary and limited business amenities.</FONT></P>
<P align=left><FONT face=sans-serif size=2>A Putnam employee may not, under any circumstances, accept anything that could create the appearance of a conflict of interest. For example, acceptance of any consideration is prohibited if it would create the appearance of a reward or inducement for conducting Putnam business either with the person providing the gift or his employer.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>IMPLEMENTATION</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>A. </FONT><B><FONT face=sans-serif size=2>Gifts. </FONT></B><FONT face=sans-serif size=2>An employee may not accept gifts with an aggregate value of more than $100 in any year from any one source, i.e., entity or firm. Any Putnam employee who is offered or receives an item exceeding $100 in value must report the details to the Code of Ethics Officer and surrender or return the gift. Any entertainment event provided to an employee where the host is not in attendance is treated as a gift and is subject to the $100 per year per source limit.</FONT></P>
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<P align=left><FONT face=sans-serif size=2>B. </FONT><B><FONT face=sans-serif size=2>Entertainment. </FONT></B><FONT face=sans-serif size=2>Putnam&#146;s rules are designed to permit reasonable, ordinary business entertainment, but prohibit any events that may be perceived as extravagant or that involve lavish expenditures.</FONT></P>
<P align=left><FONT face=sans-serif size=2>1. Occasional lunches, dinners, cocktail parties, or comparable gatherings conducted for business purposes are permitted.</FONT></P>
<P align=left><FONT face=sans-serif size=2>For example, occasional attendance at group functions sponsored by sell-side firms is permitted where the function relates to investments or other business activity. Occasional attendance at these functions is not required to be counted against the limits described in section (B)(2) below.</FONT></P>
<P align=left><FONT face=sans-serif size=2>2. Other entertainment events, such as sporting events, theater, movies, concerts, or other forms of entertainment conducted for business purposes, are permitted only under the following conditions: (i) The host must be present for the event.</FONT></P>
<P align=left><FONT face=sans-serif size=2>(ii) The location of the event must be in the metropolitan area in which the office of the employee is located. For wholesalers, the wholesaler&#146;s entire territory is considered to be his or her metropolitan area.</FONT></P>
<P align=left><FONT face=sans-serif size=2>(iii)Spouses or other family members of the employee may not attend the entertainment event or any meals before or after the entertainment event.</FONT></P>
<P align=left><FONT face=sans-serif size=2>(iv)The value of the entertainment event provided to the employee may not exceed $200, not including the value of any meals that may be provided to the employee before or after the event.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Acceptance of entertainment events that have a market value materially exceeding the face value of the entertainment, which includes, for example, attendance at sporting event playoff games, is prohibited. This prohibition applies even if the face value of tickets to the events is $200 or less or if the Putnam employee offers to pay for the tickets. If there is any ambiguity about whether to accept an entertainment event in these circumstances, please consult the Code of Ethics Officer.</FONT></P>
<P align=left><FONT face=sans-serif size=2>(v) The employee may not accept entertainment events under this provision in section (B)(2) more than six times a year and not more than two times in any year from any single source. </FONT></P>
<P align=left><FONT face=sans-serif size=2>(vi)The Code of Ethics Officer may grant exceptions to these rules. For example, it may be appropriate for an employee attending a legitimate conference in a location away from the office to attend a business entertainment event in that location. All exceptions must be approved in advance by written request to the Code of Ethics Officer.</FONT></P>
<P align=left><FONT face=sans-serif size=2>3. Any employee participating in meals or entertainment under the provisions in sections (B)(1) or (B)(2) above must report the meal or event in PTA within 20 business days (events are subject to the limits of section (B)(2) above). However, the reporting rules do not apply if meals or events are part of the regular program at an investment conference, i.e., open to all participants.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Planned absences, i.e., vacations, leaves (other than certain medical leaves) or business trips, are not valid excuses for providing late reports. Failure to meet the deadline violates the Code&#146;s rule, and sanctions may be imposed.</FONT></P>
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<P align=left><FONT face=sans-serif size=2>C. The following items are prohibited:</FONT></P>
<P align=left><FONT face=sans-serif size=2>1. Any entertainment event attendance that would reflect badly on Putnam as a firm of the highest fiduciary and ethical standards. For example, events involving adult entertainment or gambling must be avoided.</FONT></P>
<P align=left><FONT face=sans-serif size=2>2. Entertainment involving travel away from the metropolitan area in which the employee is located. Even if an exception is granted as discussed in section (B)(2)(vi) above, payment by a third party of the cost of transportation to a location outside the employee&#146;s metropolitan area, lodging while in another location, and any meals not specifically approved by the Code of Ethics officer are prohibited.</FONT></P>
<P align=left><FONT face=sans-serif size=2>3. Personal loans to a Putnam employee on terms more favorable than those generally available for comparable credit standing and collateral.</FONT></P>
<P align=left><FONT face=sans-serif size=2>4. Preferential brokerage or underwriting commissions or spreads or allocations of shares or interests in an investment for the personal account of a Putnam employee.</FONT></P>
<P align=left><FONT face=sans-serif size=2>D. As with any of the provisions of the Code of Ethics, a sincere belief by the employee that he was acting in accordance with the requirements of this Rule will not satisfy his obligations under the Rule. Therefore, an employee who is in doubt concerning the propriety of any gift or favor should seek a prior written determination from the Code of Ethics Officer, as provided in Section VI.C. </FONT></P>
<P align=left><FONT face=sans-serif size=2>E. No Putnam employee may solicit any gift or entertainment from any person, even if the gift or entertainment, if unsolicited, would be permitted.</FONT></P>
<P align=left><FONT face=sans-serif size=2>F. The Rule does not prohibit employees on business travel from using local transportation and arrangements customarily supplied by brokers or similar entities. For example, it is customary for brokers in developing markets to make local transportation arrangements. These arrangements are permitted so long as the expenses of lodging and air travel are paid by Putnam.</FONT></P>
<P align=left><FONT face=sans-serif size=2>G. Putnam Retail Management (PRM) employees are subject to additional Financial Industry Regulatory Authority (FINRA) rules on gifts and entertainment, which can be found in the PRM Compliance Manual.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 4: Anti-bribery/Kickback Policy</FONT></P>
<P align=left><FONT face=sans-serif size=2>No Putnam employee shall pay, offer, or commit to pay any amount of consideration that might be, or appear to be, a bribe or kickback in connection with Putnam&#146;s business.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENT</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>Although the Rule does not specifically address political contributions (described in Rule 5), Putnam employees should be aware that it is against corporate policy to use company assets to fund political contributions of any sort, even where such contributions may be legal. No Putnam employee should offer or agree to make any political contributions (including political dinners and similar fundraisers) on behalf of Putnam, and no employee will be reimbursed by Putnam for such contributions made by the employee personally.</FONT></P>
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<P align=left><FONT face=sans-serif>Rule 5: Political Activities, Contributions, Solicitations, and Lobbying Policy</FONT></P>
<P align=left><FONT face=sans-serif size=2>A. </FONT><B><FONT face=sans-serif size=2>Corporate Contributions. </FONT></B><FONT face=sans-serif size=2>Political activities of corporations such as Putnam are highly regulated, and corporate political contributions are prohibited. No corporate assets, funds, facilities, or personnel may be used to benefit any candidate, campaign, political party, or political committee, including contributions made in connection with fundraisers.</FONT></P>
<P align=left><FONT face=sans-serif size=2>1. If employees anticipate that any corporate funds or assets (such as corporate facilities or personnel) may be used in connection with any political volunteer activity, they must obtain pre-approval from the Chief Compliance Officer.</FONT></P>
<P align=left><FONT face=sans-serif size=2>2. Employees should not seek or approve reimbursement from Putnam for any political contribution expenses. Any contributions for which employees seek reimbursement from Putnam are considered contributions by Putnam and are subject to the corporate political contribution requirements.</FONT></P>
<P align=left><FONT face=sans-serif size=2>B. </FONT><B><FONT face=sans-serif size=2>Personal Contributions. </FONT></B><FONT face=sans-serif size=2>Employees have the right to make personal contributions. However, if employees choose to participate in the political process, they must do so as individuals, not as representatives of Putnam.</FONT></P>
<P align=left><FONT face=sans-serif size=2>In certain limited circumstances, individual contributions may raise issues under applicable laws regulating political contributions to public officials, or candidates for official positions, who could be in a position to hire Putnam. As a result, the following rules apply to individual contributions by employees.</FONT></P>
<P align=left><FONT face=sans-serif size=2>1. Prior to making any political contribution to a person or entity with whom Putnam has a current or proposed business relationship, or who can make or influence decisions to engage Putnam to provide services, employees must pre-clear the proposed contribution with the Chief Compliance Officer.</FONT></P>
<P align=left><FONT face=sans-serif size=2>2. Employees may not make contributions to candidates or elected officials for the following offices without prior written approval from the Chief Compliance Officer:</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; State or local offices in California, New Jersey, Ohio, West Virginia, or Pennsylvania</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; State Treasurer in Connecticut or Vermont</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Any public office in the City of Houston</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Contributions by certain PRM employees to Ohio officials and candidates are also subject to Putnam&#146;s Municipal Securities Rulemaking Board (MSRB) Political Contribution Policy.</FONT></P>
<P align=left><FONT face=sans-serif size=2>C. </FONT><B><FONT face=sans-serif size=2>Government Official. </FONT></B><FONT face=sans-serif size=2>Employees must obtain pre-approval from the Code of Ethics Officer or the Deputy Code of Ethics Officer prior to providing any gift (including meals, entertainment, transportation, or lodging) to any government official or employee.</FONT></P>
<P align=left><FONT face=sans-serif size=2>D. </FONT><B><FONT face=sans-serif size=2>Lobbying. </FONT></B><FONT face=sans-serif size=2>Federal and state law imposes limits and registration requirements on efforts by individuals and companies to influence the passage of legislation or to obtain business from governments. Accordingly, Putnam employees should not engage in any lobbying activities without approval from the Legal and Compliance Department. Lobbying does not include solicitation of investment management business through the ordinary course of business, such as responding to a Request For Proposal (RFP).</FONT></P>
<P align=left><FONT face=sans-serif size=2>For additional detail on entertainment and lobbying of elected officials, please refer to the State Regulation Governing Meals, Entertainment, Gifts &#151; Lobbying Policy found on the Chief Compliance Officer&#146;s Compliance site via Putnam&#146;s intranet home page at </FONT><U><FONT face=sans-serif size=2>http://intranet </FONT></U><FONT face=sans-serif size=2>or contact the Legal and Compliance Department.</FONT></P>
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<P align=left><B><FONT face=sans-serif size=2>COMMENTS</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>&#149; Putnam has established a political action committee (PAC) that contributes to worthy candidates for political office. Any request received by a Putnam employee for a political contribution must be directed to Putnam&#146;s Legal and Compliance Department.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; This Rule prohibits solicitation on personal letterhead by Putnam employees except as approved by the Code of Ethics Officer.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Certain officers and employees of Putnam Retail Management (PRM) and other employees involved in Putnam&#146;s College Advantage Section 529 Plan with Ohio Tuition Trust Authority are subject to special rules on political contributions. For questions on these requirements, please call the Director of Compliance for PRM.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 6: Confidentiality of Putnam Business Information</FONT></P>
<P align=left><FONT face=sans-serif size=2>No unauthorized disclosure may be made by any employee or former employee of any trade secrets or proprietary information of Putnam or of any confidential information. No information regarding any Putnam client portfolio, actual or proposed securities trading activities of any Putnam client, or Putnam research shall be disclosed outside the Putnam organization unless doing so has a valid business purpose and is in accord with relevant procedures established by Putnam relating to such disclosures.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENT</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>All information about Putnam and Putnam clients is strictly confidential. Putnam research information should not be disclosed without proper approval and never for personal gain.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 7: Positions Outside Putnam</FONT></P>
<P align=left><FONT face=sans-serif size=2>No Putnam employee shall serve as employee, officer, director, trustee, or general partner of a corporation or entity other than Putnam, without prior written approval of the Code of Ethics Officer. Requests for a role at a publicly traded company are especially disfavored and are closely reviewed. Permission will be granted only in extenuating circumstances. (See also Section IV, Rule 5.)</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>IMPLEMENTATION</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>A. All employees must provide a written request seeking approval from the Code of Ethics Officer if they wish to serve as an employee, officer, director, trustee, or general partner of a corporation or entity other than Putnam. The details of the position outside Putnam must be disclosed in PTA. Click on Certifications/Disclosures/Positions Outside Putnam/start/complete each question/click Submit. A determination will be sent via e-mail.</FONT></P>
<P align=left><FONT face=sans-serif size=2>B. FINRA-licensed employees under PRM also have an obligation to disclose outside positions, new or terminated, in PTA as well.</FONT></P>
<P align=left><FONT face=sans-serif size=2>C. Upon hire, all employees who also hold an outside position must complete a disclosure request in PTA to continue to hold the position.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>EXCEPTION</FONT></B></P>
<P align=left><B><FONT face=sans-serif size=2>Charitable or Non-profit Exception. </FONT></B><FONT face=sans-serif size=2>Putnam employees may serve as an officer, director, or trustee of a charitable or not-for-profit institution, provided that the employee abides by the Code of Ethics and the Policy Statements with respect to any investment activity for which she has any discretion or input as officer, director, or trustee. The pre-clearance and reporting requirements of the Code of Ethics do not apply to the trading activities of such charitable or not-for-profit institutions for which an employee serves as an officer, director, or trustee unless the employee is responsible for day-to-day portfolio management of the account.</FONT></P>
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<P align=left><B><FONT face=sans-serif size=2>COMMENTS</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>&#149; This Rule is designed to ensure that Putnam cannot be deemed an affiliate of any issuer of securities by virtue of service by one of its officers or employees as director or trustee.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Positions with public companies are especially problematic and will normally not be approved.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Certain charitable or not-for-profit institutions have assets (such as endowment funds or employee benefit plans) that require prudent investment. To the extent that a Putnam employee (because of her position as officer, director, or trustee of an outside entity) is charged with responsibility to invest such assets prudently, she may not be able to discharge that duty while simultaneously abiding by the spirit of the Code of Ethics and the Policy Statements. Employees are cautioned that they should not accept service as an officer, director, or trustee of an outside charitable or not-for-profit entity where such investment responsibility is involved, without seriously considering their ability to discharge their fiduciary duties with respect to such investments.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 8: Role as Trustee or Fiduciary Outside of Putnam Investments</FONT></P>
<P align=left><FONT face=sans-serif size=2>No Putnam employee shall serve as a trustee, an executor, a custodian, or any other fiduciary, or as an investment advisor or counselor for any account outside Putnam.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>EXCEPTIONS</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>A. </FONT><B><FONT face=sans-serif size=2>Charitable or Religious Exception. </FONT></B><FONT face=sans-serif size=2>Putnam employees may serve as a fiduciary with respect to a religious or charitable trust or foundation, so long as the employee abides by the spirit of the Code of Ethics and the Policy Statements with respect to any investment activity over which he has any discretion or input. The pre-clearance and reporting requirements of the Code of Ethics do not apply to the trading activities of such a religious or charitable trust or foundation unless the employee is responsible for day-to-day portfolio management of the account.</FONT></P>
<P align=left><FONT face=sans-serif size=2>B. </FONT><B><FONT face=sans-serif size=2>Family Trust or Estate Exception. </FONT></B><FONT face=sans-serif size=2>Putnam employees may serve as a fiduciary with respect to a family trust or estate, as long as the employee abides by all of the Rules of the Code of Ethics with respect to any investment activity over which he has any discretion.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENT</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>The roles permissible under this Rule may carry with them the obligation to invest assets prudently. Once again, Putnam employees are cautioned that they may not be able to fulfill their duties in that respect while abiding by the Code of Ethics and the Policy Statements.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 9: Investment Clubs</FONT></P>
<P align=left><FONT face=sans-serif size=2>No Putnam employee may be a member of any investment club.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENT</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>This Rule guards against the danger that a Putnam employee may be in violation of the Code of Ethics and the Policy Statements by virtue of his personal securities transactions in or through an entity that is not bound by the restrictions imposed by this Code of Ethics and the Policy Statements. Please note that this restriction also applies to the spouse of a Putnam employee and any relatives of a Putnam employee living in the same household as the employee, as their transactions are covered by the Code of Ethics. (See pages 1 and 6.)</FONT></P>
<P align=left><FONT face=sans-serif>Rule 10: Business Negotiations for Putnam Investments</FONT></P>
<P align=left><FONT face=sans-serif size=2>No Putnam employee may become involved in a personal capacity in consultations or negotiations for corporate financing, acquisitions, or other transactions for outside companies (whether or not held by any Putnam client), nor negotiate nor accept a fee in connection with these activities</FONT></P>
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<P align=left><FONT face=sans-serif size=2>without obtaining the prior written permission of the Chief Executive Officer of Putnam Investments.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 11: Accurate Records</FONT></P>
<P align=left><FONT face=sans-serif size=2>No employee may create, alter, or destroy (or participate in the creation, alteration, or destruction of) any record that is intended to mislead anyone or to conceal anything that is, or is reasonably believed to be, improper. In addition, all employees responsible for the preparation, filing, or distribution of any regulatory filings or public communications must ensure that such filings or communications are timely, complete, fair, accurate, and understandable.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENTS</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>&#149; In many cases, this is not only a matter of company policy and ethical behavior but also required by law. Our books and records must accurately reflect the transactions represented and their true nature. For example, records must be accurate as to the recipient of all payments; expense items, including personal expense reports, must accurately reflect the true nature of the expense. No unrecorded fund or asset shall be established or maintained for any reason.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; All financial books and records must be prepared and maintained in accordance with generally accepted accounting principles and Putnam&#146;s existing accounting controls, to the extent applicable.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 12: Family Members&#146; Conflict Policy</FONT></P>
<P align=left><FONT face=sans-serif size=2>No employee or member of an employee&#146;s immediate family shall have any direct or indirect personal financial interests in companies that do business with Putnam, unless such interest is disclosed and approved by the Code of Ethics Officer. Investment holdings in public companies that are not material to the employee are excluded from this prohibition. The Code also provides more detailed supplemental rules to address potential conflicts of interests that may arise if members of employees&#146; families are closely involved in doing business with Putnam.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Corporate Purchase of Goods and Services </FONT></B><FONT face=sans-serif size=2>&#151; Putnam will not acquire goods and services from any firm in which a member of an employee&#146;s immediate family serves as the sales representative in a senior management capacity or has an ownership interest with the supplier firm (excluding normal investment holdings in public companies) without permission from the Director of Procurement and the Code of Ethics Officer. Any employee who is aware of a proposal to purchase goods and services from a firm at which a member of the employee&#146;s immediate family meets one of the previously mentioned conditions must notify the Director of Procurement and the Code of Ethics Officer.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Portfolio Trading </FONT></B><FONT face=sans-serif size=2>&#151; Putnam will not allocate any trades for a portfolio to any firm that employs a member of an employee&#146;s immediate family as a sales representative to Putnam (in a primary, secondary, or backup role). Any Putnam employee who is aware that an immediate family member serves as a broker-dealer&#146;s sales representative to Putnam should inform the Code of Ethics Officer.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Definition of Immediate Family (specific to Rule 12) </FONT></B><FONT face=sans-serif size=2>&#151; &#147;Immediate family&#148; of an employee means (1) spouse or domestic partner of the employee, (2) any child, sibling, or parent of an employee and any person married to a child, sibling, or parent of an employee, and (3) any other person who lives in the same household as the employee.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 13: Affiliated Entities</FONT></P>
<P align=left><FONT face=sans-serif size=2>Non-Putnam affiliates (NPAs), listed below in the last comment, provide investment advisory services. No employee shall: </FONT></P>
<P align=left><FONT face=sans-serif size=2>(a)Directly or indirectly seek to influence the purchase, retention or disposition of, or exercise of voting consent, approval, or similar rights with respect to any portfolio security in any account or fund advised by the NPA and not by Putnam;</FONT></P>
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<P align=left><FONT face=sans-serif size=2>(b)Transmit any information regarding the purchase, retention or disposition of, or exercise of voting, consent, approval, or similar rights with respect to any portfolio security held in a Putnam or NPA client account to any personnel of the NPA; </FONT></P>
<P align=left><FONT face=sans-serif size=2>(c)Transmit any trade secrets, proprietary information, or confidential information of Putnam to the NPA unless doing so has a valid business purpose and is in accord with any relevant procedures established by Putnam relating to such disclosures; </FONT></P>
<P align=left><FONT face=sans-serif size=2>(d)Use confidential information or trade secrets of the NPA for the benefit of the employee, Putnam, or any other NPA; or </FONT></P>
<P align=left><FONT face=sans-serif size=2>(e)Breach any duty of loyalty to the NPA derived from the employee&#146;s service as a director or officer of the NPA.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENTS</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>&#149; Sections (a) and (b) of the Rule are designed to help ensure that the portfolio holdings of Putnam clients and clients of the NPA need not be aggregated for purposes of determining beneficial ownership under Section 13(d) of the Securities Exchange Act or applicable regulatory or contractual investment restrictions that incorporate such definition of beneficial ownership. Persons who serve as directors or officers of both Putnam and an NPA should take care to avoid even inadvertent violations of Section (b). Section (a) does not prohibit a Putnam employee who serves as a director or officer of the NPA from seeking to influence the modification or termination of a particular investment product or strategy in a manner that is not directed at any specific securities. Sections (a) and (b) do not apply when a Putnam affiliate serves as an advisor or sub-advisor to the NPA or one of its products, in which case normal Putnam aggregation rules apply.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; As a separate entity, any NPA may have trade secrets or confidential information that it would not choose to share with Putnam. This choice must be respected.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; When Putnam employees serve as directors or officers of an NPA, they are subject to common law duties of loyalty to the NPA, despite their Putnam employment. In general, this means that when performing their duties as NPA directors or officers, they must act in the best interest of the NPA and its shareholders. Putnam&#146;s Legal and Compliance Department will assist any Putnam employee who is a director or officer of an NPA and has questions about the scope of his or her responsibilities to the NPA.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Entities that are currently non-Putnam affiliates within the scope of this Rule are: Nissay Asset Management Co., Ltd., LP and PanAgora Asset Management, Inc. (&#147;PanAgora&#148;).</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Putnam and PanAgora also maintain an information barrier between the investment professionals of each organization regarding investment and trading information.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 14: Computer Systems and Network Use Policy</FONT></P>
<P align=left><FONT face=sans-serif size=2>No employee shall use computers, the Internet, e-mail, instant messaging, phones, fax machines and/or the mail service in a manner that is inconsistent with their use as set forth in Putnam&#146;s Employee Handbook. No employee shall introduce a computer virus or computer code that may result in damage to Putnam&#146;s information or computer systems.</FONT></P>
<P align=left><FONT face=sans-serif size=2>All Putnam business must be conducted on Putnam e-mail and instant messaging accounts in order to comply with regulatory and record-retention requirements. Conducting Putnam-related business through personal accounts such as Yahoo, AOL, Hotmail, etc., is prohibited.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENT</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>Putnam&#146;s policy statements relating to these matters are contained in the Computer System and Network Responsibilities section within the Employee Handbook. The online Employee Handbook is also available directly on Putnam&#146;s intranet site at: </FONT><U><FONT face=sans-serif size=2>http://intranet/employee _ handbook </FONT></U><FONT face=sans-serif size=2>.</FONT></P>
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<P align=left><FONT face=sans-serif>Rule 15: CFA Institute Code of Ethics and Standards of Professional Conduct</FONT></P>
<P align=left><FONT face=sans-serif size=2>All employees must follow and abide by the spirit of the Code of Ethics and the Standards of Professional Conduct of the CFA Institute. The text of the CFA Institute Code of Ethics and Standards of Professional Conduct are set forth in Appendix D.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 16: Privacy Policy</FONT></P>
<P align=left><FONT face=sans-serif size=2>Except as provided below, no employee may disclose to any outside organization or person any non-public personal information about any individual who is a current or former shareholder of any Putnam retail or institutional fund, or current or former client of a Putnam company. All employees shall follow the security procedures as established from time to time by a Putnam company to protect the confidentiality of all shareholder and client account information. </FONT></P>
<P align=left><FONT face=sans-serif size=2>Except as Putnam&#146;s Legal and Compliance Department may expressly authorize, no employee shall collect any non-public personal information about a prospective or current shareholder of a Putnam fund or prospective or current client of a Putnam company, other than through an account application (or corresponding information provided by the shareholder&#146;s financial representative) or in connection with executing shareholder or client transactions, nor shall any information be collected other than the following: name, address, telephone number, date of birth, Social Security number, and investment, broker, and transaction information.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>EXCEPTIONS</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>A. </FONT><B><FONT face=sans-serif size=2>Putnam Employees. </FONT></B><FONT face=sans-serif size=2>Non-public personal information may be disclosed to a Putnam employee in connection with processing transactions or maintaining accounts for shareholders of a Putnam fund and clients of a Putnam company, to the extent that access to such information is necessary to the performance of that employee&#146;s job functions.</FONT></P>
<P align=left><FONT face=sans-serif size=2>B. </FONT><B><FONT face=sans-serif size=2>Shareholder Consent Exception. </FONT></B><FONT face=sans-serif size=2>Non-public personal information about a shareholder&#146;s or client&#146;s account may be provided to a non-Putnam organization at the specific request of the shareholder or client or with the shareholder&#146;s or client&#146;s prior written consent.</FONT></P>
<P align=left><FONT face=sans-serif size=2>C. </FONT><B><FONT face=sans-serif size=2>Broker or Advisor Exception. </FONT></B><FONT face=sans-serif size=2>Non-public personal information about a shareholder&#146;s or client&#146;s account may be provided to the shareholder&#146;s or client&#146;s broker of record.</FONT></P>
<P align=left><FONT face=sans-serif size=2>D. </FONT><B><FONT face=sans-serif size=2>Third-Party Service Provider Exception. </FONT></B><FONT face=sans-serif size=2>Non-public personal information may be disclosed to a service provider that is not affiliated with a Putnam fund or Putnam company only when such disclosure is necessary for the service provider to perform the specific services contracted for, and only (a) if the service provider executes Putnam&#146;s standard confidentiality agreement, or (b) pursuant to an agreement containing a confidentiality provision that has been approved by the Legal and Compliance Department. Examples of such service providers include proxy solicitors and proxy vote tabulators, mail services, and providers of other administrative services, and Information Services Division consultants who have access to non-public personal information.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENTS</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>&#149; Non-public personal information is any information that personally identifies a shareholder of a Putnam fund or client of a Putnam company and is not derived from publicly available sources. This privacy policy applies to shareholders or clients who are individuals, not institutions. However, as a general matter, all information that we receive about a shareholder of a Putnam fund or client of a Putnam company shall be treated as confidential. No employee may sell or otherwise provide shareholder or client lists or any other information relating to a shareholder or client to any marketing organization.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; All Putnam employees with access to shareholder or client account information must be trained in and follow Putnam&#146;s security procedures designed to safeguard that information from unauthorized use. For example, a telephone representative must be trained in and follow Putnam&#146;s security procedures to verify the identity of a caller requesting account information.</FONT></P>
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<P align=left><FONT face=sans-serif size=2>&#149; Any questions regarding this privacy policy should be directed to Putnam&#146;s Legal and Compliance Department. A violation of this policy will be subject to the sanctions imposed for violations of Putnam&#146;s Code of Ethics.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Employees must report any violation of this policy or any possible breach of the confidentiality of client information, whether intentional or accidental, to the managing director in charge of the employee&#146;s business unit. Managing directors who are notified of such a violation or possible breach must immediately report it in writing to Putnam&#146;s Chief Compliance Officer and, in the event of a breach of computerized data, Putnam&#146;s Chief Technology Officer.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 17: Anti-money Laundering Policy</FONT></P>
<P align=left><FONT face=sans-serif size=2>No employee may engage in any money laundering activity or facilitate any money laundering activity through the use of any Putnam account or client account. Any situations giving rise to a suspicion that attempted money laundering may be occurring in any account must be reported immediately to the managing director in charge of the employee&#146;s business unit. Managing directors who are notified of such a suspicion of money laundering activity must immediately report it in writing to Putnam&#146;s Chief Compliance Officer and Chief Financial Officer.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 18: Record Retention</FONT></P>
<P align=left><FONT face=sans-serif size=2>All employees must comply with the record retention requirements applicable to the business unit. Employees should check with their managers or the Chief Administrative Officer of their division to determine what record retention requirements apply to their business unit.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>For PIL employees, the Code of Ethics incorporates any relevant requirements of the U.K. regulator, the Financial Services Authority (FSA), and will be amended from time to time to reflect any U.K. regulatory changes as required.</FONT></B></P>
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<P align=left><FONT face=sans-serif size=5>Section IV &#151; Reporting Requirements</FONT></P>
<P align=left><FONT face=sans-serif size=4>Reporting of Personal Securities Transactions </FONT></P>
<P align=left><FONT face=sans-serif>Rule 1: Broker Confirmations and Statements</FONT></P>
<P align=left><FONT face=sans-serif size=2>Each Putnam employee shall ensure that copies of all confirmations for securities transactions for personal brokerage accounts, and brokerage account statements are sent to the Legal and Compliance Department Code of Ethics Administrator. (For the purpose of this Rule, securities shall also include ETFs, futures, and other derivatives on broad-based market indexes excluded from the pre-clearance requirement.) Statements and confirmations are required for Putnam funds not held at Putnam or in a Putnam retirement plan, as well as for U.S. mutual funds sub-advised by Putnam.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Putnam employees must disclose their brokerage accounts in the PTA system and complete all required information, which will facilitate the instructions to the broker.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>IMPLEMENTATION</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>A. Putnam employees should contact the Code of Ethics Administrator for a 407 letter instructing the broker to mail copies of confirmations and statements directly to Putnam. It is the employees&#146; responsibility to follow up with the broker on a reasonable basis to ensure that instructions are being followed.</FONT></P>
<P align=left><FONT face=sans-serif size=2>B. Upon hire and within a designated time frame, Putnam employees are required to establish their broker profiles in PTA.</FONT></P>
<P align=left><FONT face=sans-serif size=2>C. Specific procedures apply to employees of PIL. Employees of PIL should contact the London Code of Ethics Administrator.</FONT></P>
<P align=left><FONT face=sans-serif size=2>D. Failure of a broker-dealer to comply with the instructions of a Putnam employee to send confirmations and statements shall be a violation by the Putnam employee of this Rule. Similarly, failure by an employee to report the existence of a personal account and, if the account is opened after joining Putnam, failure to obtain proper authorization to establish the account shall be a violation of this Rule.</FONT></P>
<P align=left><FONT face=sans-serif size=2>E. Statements and confirmations must also be sent for members of an employee&#146;s immediate family, including statements from a family member&#146;s 401(k)/Profit Sharing Plan at another employer.</FONT></P>
<P align=left><FONT face=sans-serif size=2>F. Employees are not required to provide broker confirmations and statements for MMC transactions in Putnam&#146;s 401(k)/Profit Sharing and Stock Purchase Plan accounts because we rely on internal reporting.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENTS</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>&#149; Transactions for personal accounts are defined broadly to include more than transactions in accounts under an employee&#146;s own name. (See Definitions.)</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Statements and confirmations are required for all personal securities transactions, whether or not exempted or excepted by this Code.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; To the extent that a Putnam employee has investment authority over securities transactions of a family trust or estate, confirmations of those transactions must also be made, unless the employee has received a prior written exception from the Code of Ethics Officer.</FONT></P>
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<P align=left><FONT face=sans-serif>Rule 2: Access Person &#151; Quarterly Transaction Report</FONT></P>
<P align=left><FONT face=sans-serif size=2>Every Access Person shall file a quarterly report within fifteen calendar days of the end of each quarter, recording all purchases and sales of securities for personal accounts as defined in the Definitions section. (For the purpose of this Rule, reportable &#147;securities&#148; also include exchange-traded funds (ETFs), futures, and any option on a security or securities index, including broad-based market indexes excluded from the pre-clearance requirement, and transactions in Putnam open-end funds if the account for the Putnam funds is not held at Putnam or in a Putnam retirement plan and for transactions in U.S. mutual funds sub-advised by Putnam.)</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>IMPLEMENTATION</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>It is mandatory that all Access Persons file a quarterly transaction report in the PTA online system. The form shall contain a representation that employees have complied fully with all provisions of the Code of Ethics.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The date for each transaction required to be disclosed in the quarterly report is the trade date for the transaction, not the settlement date.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Planned absences, i.e., vacations, leaves (other than certain medical leaves), or business trips, are not valid excuses for providing late reports. Failure to meet the deadline violates the Code&#146;s rules and sanctions may be imposed.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENT</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>If the requirement to file a quarterly report applies to you and you fail to report within the required 15-day period, monetary fines or harsher sanctions will be imposed. It is the responsibility of the employee to request an early report if he has knowledge of a planned absence, i.e., vacation, business trip, or leave.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 3: Access Person &#151; Initial/Annual Holdings Report</FONT></P>
<P align=left><B><U><FONT face=sans-serif size=2>Access Persons </FONT></U></B><FONT face=sans-serif size=2>must disclose their personal securities holdings in the Code of Ethics monitoring system, PTA, upon commencement of employment (within ten days of hire) and thereafter on an annual basis. These SEC requirements are mandatory and designed to facilitate the monitoring of personal securities transactions. Putnam&#146;s Code of Ethics Administrator provides Access Persons with instructions regarding their submissions and certifications of these reports in PTA.</FONT></P>
<P align=left><B><U><FONT face=sans-serif size=2>Non - Access Persons </FONT></U></B><FONT face=sans-serif size=2>must disclose their brokerage accounts within 30 days of hire.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 4: Certifications</FONT></P>
<P align=left><FONT face=sans-serif size=2>All employees are required to submit a certification in PTA annually attesting to compliance with all of the conditions of the Code of Ethics.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 5: Positions Outside Putnam</FONT></P>
<P align=left><FONT face=sans-serif size=2>The details of a position outside Putnam must be disclosed in PTA under Certifications/Disclosures/Positions Outside Putnam. (See Section III, Rule 7.)</FONT></P>
<P align=left><FONT face=sans-serif>Rule 6: Business Ethics</FONT></P>
<P align=left><FONT face=sans-serif size=2>If a Putnam employee suspects that fraudulent, illegal, or other irregular activity (including violations of the Code of Ethics) might be occurring at Putnam, the activity should be reported immediately to the managing director in charge of that employee&#146;s business unit. Managing directors who are notified of any such activity must immediately report it in writing to Putnam&#146;s Chief Financial Officer and Putnam&#146;s Chief Compliance Officer.</FONT></P>
<P align=left><FONT face=sans-serif size=2>An employee who does not feel comfortable reporting this activity to the managing director may instead contact the Chief Compliance Officer, the Putnam Ethics hotline at 1-808-475-4210, or Putnam&#146;s Ombudsman.</FONT></P>
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<P align=left><FONT face=sans-serif>Rule 7: Ombudsman</FONT></P>
<P align=left><FONT face=sans-serif size=2>Putnam has established the office of the corporate ombudsman as a resource to help employees address legal or ethical issues in the workplace and to allow employees to voice concerns or seek clarity on issues. The Ombudsman provides a confidential, independent, and impartial source to employees to discuss potential violations of law or of company standards without fear of retribution, and serves as a neutral party with no vested interest in a particular outcome. The Ombudsman is available on an anonymous basis by calling 1-866-ombuds7 (866-662-8377) or by calling 1-617-760-8897.</FONT></P>
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<P align=left><FONT face=sans-serif size=5>Section V &#151; Education Requirements</FONT></P>
<P align=left><FONT face=sans-serif size=2>Every Putnam employee has an obligation to fully understand the rules and requirements of the Code of Ethics.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 1: Distribution of Code</FONT></P>
<P align=left><FONT face=sans-serif size=2>A copy of the Code of Ethics will be distributed to every Putnam employee at least annually. All Access Persons will be required to certify annually that they have read, understood, and will comply with the provisions of the Code of Ethics, including the Code&#146;s Policy Statement Concerning Insider Trading Prohibitions.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 2: Annual Training Requirement</FONT></P>
<P align=left><FONT face=sans-serif size=2>Every employee will be required to complete training on Putnam&#146;s Code of Ethics on an annual basis.</FONT></P>
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<P align=left><FONT face=sans-serif size=5>Section VI &#151; Compliance and Appeal Procedures</FONT></P>
<P align=left><FONT face=sans-serif size=4>A. Restricted List</FONT></P>
<P align=left><FONT face=sans-serif size=2>No employee may engage in a personal securities transaction without prior clearance.</FONT></P>
<P align=left><FONT face=sans-serif size=4>B. Consultation of Restricted List</FONT></P>
<P align=left><FONT face=sans-serif size=2>It is the responsibility of each employee to pre-clear through PTA or consult with the Code of Ethics Administrator, prior to engaging in a personal securities transaction, to determine if the security he proposes to trade is on the Restricted List and, if so, whether it is subject to the Large-/Mid-Cap Exemption.</FONT></P>
<P align=left><FONT face=sans-serif size=4>C. Request for Determination</FONT></P>
<P align=left><FONT face=sans-serif size=2>An employee who has a question concerning the applicability of the Code of Ethics to a particular situation shall request a determination from the Code of Ethics Officer before engaging in the conduct or personal securities transaction about which he has a question.</FONT></P>
<P align=left><FONT face=sans-serif size=2>If the question pertains to a personal securities transaction, the request shall state for whose account the transaction is proposed, the relationship of that account to the employee, the security proposed to be traded, the proposed price and quantity, the entity with whom the transaction will take place (if known), and any other information or circumstances of the trade that could have a bearing on the Code of Ethics Officer&#146;s determination. If the question pertains to other conduct, the request for determination shall give sufficient information about the proposed conduct to assist the Code of Ethics Officer in ascertaining the applicability of the Code. In every instance, the Code of Ethics Officer may request additional information, and may decline to render a determination if the information provided is insufficient.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The Code of Ethics Officer shall make every effort to render a determination promptly.</FONT></P>
<P align=left><FONT face=sans-serif size=2>No perceived ambiguity in the Code of Ethics shall excuse any violation. Any person who believes the Code to be ambiguous in a particular situation should request a determination from the Code of Ethics Officer.</FONT></P>
<P align=left><FONT face=sans-serif size=4>D. Request for Ad Hoc Exemption</FONT></P>
<P align=left><FONT face=sans-serif size=2>Any employee who wishes to obtain an ad hoc exemption under Section I.D., Rule 2, should request from the Code of Ethics Officer an exemption in writing in advance of the conduct or transaction sought to be exempted. In the case of a personal securities transaction, the request for an ad hoc exemption shall give the same information about the transaction required in a request for determination under Section VI.C., and should state why the proposed personal securities transaction would be unlikely to affect a highly institutional market, or is unrelated economically to securities to be purchased, sold, or held by any Putnam client. In the case of other conduct, the request shall give information sufficient for the Code of Ethics Officer to ascertain whether the conduct raises questions of propriety or conflict of interest, real or apparent.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The Code of Ethics Officer shall make reasonable efforts to promptly render a written determination concerning the request for an ad hoc exemption.</FONT></P>
<P align=left><FONT face=sans-serif size=4>E. Appeal to Code of Ethics Officer with Respect to Restricted List</FONT></P>
<P align=left><FONT face=sans-serif size=2>If an employee ascertains that a security that he wishes to trade for his personal account appears on the Restricted List, and thus the transaction is prohibited, he may appeal the prohibition to the Code of Ethics Officer by submitting a written memorandum containing the same information as</FONT></P>
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<P align=left><FONT face=sans-serif size=2>would be required in a request for a determination. The Code of Ethics Officer shall make every effort to respond to the appeal promptly.</FONT></P>
<P align=left><FONT face=sans-serif size=4>F. Information Concerning Identity of Compliance Personnel</FONT></P>
<P align=left><FONT face=sans-serif size=2>The names of Code of Ethics personnel are available by contacting the Legal and Compliance Department and will be published on Putnam&#146;s intranet site.</FONT></P>
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<P align=left><FONT face=sans-serif size=5>Section VII &#151; Sanctions</FONT></P>
<P align=left><FONT face=sans-serif size=4>Sanction Guidelines</FONT></P>
<P align=left><FONT face=sans-serif size=2>The Code of Ethics Oversight Committee is responsible for setting sanctions policies for violating the Code. The Committee has adopted the following minimum monetary sanctions for violations of the Code. These sanctions apply even if the exception results from inadvertence rather than intentional misbehavior. The Code of Ethics Officer is authorized to impose the minimum sanction on employees without further Committee action. However, the sanctions noted below are only minimums and the Committee reserves the right to impose additional sanctions such as higher monetary sanctions, trading bans, suspension, or termination of employment as it determines to be appropriate.</FONT></P>
<P align=left><FONT face=sans-serif size=4>A. The minimum sanction per violation of the following Rules is disgorgement of any profits or payment of avoided losses and the following payments:</FONT></P>
<P align=left><FONT face=sans-serif size=2>Section I.A., Rule 1 (Pre-clearance and Restricted List) Section I.B., Rule 1 (Short selling) Section I.B., Rule 2 (IPOs) Section I.B., Rule 3 (Private Placements) Section I.B., Rule 4 (Trading with Inside Information) Section I.B., Rules 6-8 (Holding and Trading of Putnam Funds) Section II, Rule 2 (7-Day Rule) Section II, Rule 3 (Blackout Rule) Section II, Rule 4 (Contra-Trading Rule) Section II, Rule 5 (Trading for Personal Benefit)</FONT></P>
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     <TD noWrap align=left><B><FONT face=sans-serif size=2>Officer Level</FONT></B> </TD>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>SMD/MD</FONT></B> </TD>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>SVP/VP</FONT></B> </TD>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>AVP/non-officer</FONT></B> </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=2>1st violation</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>$500</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>$250</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>$50</FONT> </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=2>2nd violation</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>$1,000</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>$500</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>$100</FONT> </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=2>3rd violation</FONT> </TD>
     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=2>Minimum monetary sanction as above with ban on all new personal</FONT> </TD>
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     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>individual investments.</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
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<P align=left><FONT face=sans-serif size=4>B. The minimum sanction for violations of all other Rules in the Code is as follows:</FONT></P>
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<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Officer Level</FONT></B> </TD>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>SMD/MD</FONT></B> </TD>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>SVP/VP</FONT></B> </TD>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>AVP/non-officer</FONT></B> </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=2>1st violation</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>$100</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>$50</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>$ 25</FONT> </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Subsequent violation</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>$200</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>$100</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>$ 50</FONT> </TD>
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<P align=left><FONT face=sans-serif size=2>The reference period for determining whether a violation is initial or subsequent will be five years.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>NOTE</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>The Committee&#146;s belief that an employee has violated the Code of Ethics intentionally will result in more severe sanctions than outlined in the guidelines above. The Code of Ethics Oversight Committee retains the right to increase or decrease the sanctions for a particular violation in light of the circumstances.</FONT></P>
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<P align=left><FONT face=sans-serif size=5>Appendix A &#151; Insider Trading Prohibitions Policy Statement</FONT></P>
<P align=left><FONT face=sans-serif size=2>Putnam has always forbidden trading by its employees on material non-public information (inside information). Tough federal laws make it important for Putnam to state that prohibition in the strongest possible terms, and to establish, maintain, and enforce written policies and procedures to prevent the use of material non-public information.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Unlawful trading while in possession of inside information can be a crime. Federal law provides that an individual convicted of trading on inside information may go to jail for a period of time. There is also significant monetary liability for an inside trader; the Securities and Exchange Commission can seek a court order requiring a violator to pay back profits, as well as penalties substantially greater than those profits. In addition private plaintiffs can seek recovery for harm suffered by them. The inside trader is not the only subject to liability. In certain cases, controlling persons of inside traders, including supervisors of inside traders or Putnam itself, can be liable for large penalties. </FONT></P>
<P align=left><FONT face=sans-serif size=2>Section I. of this Policy Statement contains rules concerning inside information. Section II. contains a discussion of what constitutes unlawful insider trading.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Neither material non-public information nor unlawful insider trading is easy to define. Section II. of this Policy Statement gives a general overview of the law in this area. However, the legal issues are complex and must be resolved by the Code of Ethics Officer. If an employee has any doubt as to whether she has received material non-public information, she must consult with the Code of Ethics Officer prior to using that information in connection with the purchase or sale of a security for his own account or the account of any Putnam client, or communicating the information to others. A simple rule of thumb is if you think the information is not available to the public at large, do not disclose it to others and do not trade securities to which the inside information relates.</FONT></P>
<P align=left><FONT face=sans-serif size=2>An employee aware of, or in possession of, inside information must report it immediately to the Code of Ethics Officer. If an employee has failed to consult the Code of Ethics Officer, Putnam will not excuse employee misuse of inside information on the grounds that the employee claims to have been confused about this Policy Statement or the nature of the information in his possession.</FONT></P>
<P align=left><FONT face=sans-serif size=2>If Putnam determines, in its sole discretion, that an employee has failed to abide by this Policy Statement, or has engaged in conduct that raises a significant question concerning insider trading, he will be subject to disciplinary action, including termination of employment.</FONT></P>
<P align=left><FONT face=sans-serif size=2>There are no exceptions to this policy statement, and no one is exempt.</FONT></P>
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<P align=left><FONT face=sans-serif size=5>Appendix A &#151; Definitions: Insider Trading</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Code of Ethics Administrator </FONT></B><FONT face=sans-serif size=2>The individual designated by the Code of Ethics Officer to assume responsibility for day-to-day, nondiscretionary administration of this Policy Statement. The Code of Ethics Administrator is Laura Rose.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Code of Ethics Officer </FONT></B><FONT face=sans-serif size=2>The Putnam officer who has been assigned the responsibility of enforcing and interpreting this Code. The Code of Ethics Officer shall be the Chief Compliance Officer or such other person as is designated by the Chief Executive Officer of Putnam Investments. If the Code of Ethics Officer is unavailable, the Deputy Code of Ethics Officer shall act in his stead. The Code of Ethics Officer is Bob Leveille. The Deputy Code of Ethics Officer is Kathleen Griffin. </FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Immediate family </FONT></B><FONT face=sans-serif size=2>Spouse, domestic partner, minor children, or other relatives living in the same household as the Putnam employee.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Purchase or sale of a security </FONT></B><FONT face=sans-serif size=2>Any acquisition or transfer of any interest in the security for direct or indirect consideration, including the writing of an option.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Putnam </FONT></B><FONT face=sans-serif size=2>Any or all of Putnam Investments Trust, and its subsidiaries, any one of which shall be a Putnam company.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Putnam client </FONT></B><FONT face=sans-serif size=2>Any client of the Putnam mutual funds, or any advisory, trust, or other client for whom Putnam manages money.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Putnam employee (or employee) </FONT></B><FONT face=sans-serif size=2>Any employee of Putnam.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Security </FONT></B><FONT face=sans-serif size=2>Anything defined as a security under federal law. The term includes any type of equity or debt security, any interest in a business trust or partnership, and any rights relating to a security, such as put and call options, warrants, convertible securities, and securities indexes. (Note: The definition of security in this Insider Trading Prohibitions Policy Statement varies significantly from that in the Code of Ethics. For example, the definition in this Policy Statement specifically includes all securities of any type.)</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Transaction for a personal account (or personal securities transaction) </FONT></B><FONT face=sans-serif size=2>Securities transactions: (a) for the personal account of any employee; (b) for the account of a member of the immediate family of any employee; (c) for the account of a partnership in which a Putnam employee or immediate family member is a domestic partner with investment discretion; (d) for the account of a trust in which a Putnam employee or immediate family member is a trustee with investment discretion; (e) for the account of a closely held corporation in which a Putnam employee or immediate family member holds shares and for which he has investment discretion; and (f ) for any account other than a Putnam client account that receives investment advice of any sort from the employee or immediate family member, or as to which the employee or immediate family member has investment discretion. Officers and employees of PIL must also consult the relevant 
procedures on compliance with U.K. insider dealing legislation set forth in PIL&#146;s Compliance Manual.</FONT></P>
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<P align=left><FONT face=sans-serif size=5>Appendix A &#151; Section I: Rules Concerning Inside Information</FONT></P>
<P align=left><FONT face=sans-serif>Rule 1: Inside Information</FONT></P>
<P align=left><FONT face=sans-serif size=2>No Putnam employee shall purchase or sell any security listed on the Inside Information List (the Red List) either for his personal account or for a Putnam client.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>IMPLEMENTATION</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>When an employee seeks clearance in the PTA system for a personal security transaction that is on the Red List, the request will be denied via a message in the PTA system.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENT</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>This Rule is designed to prohibit any employee from trading a security while Putnam may have inside information concerning that security or the issuer. Every trade, whether for a personal account or for a Putnam client, is subject to this Rule.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 2: Material Non-public Information</FONT></P>
<P align=left><FONT face=sans-serif size=2>No Putnam employee shall purchase or sell any security, either for a personal account or for the account of a Putnam client, while in possession of material non-public information concerning that security or the issuer, without the prior written approval of the Code of Ethics Officer.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>IMPLEMENTATION</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>In order to obtain prior written approval of the Code of Ethics Officer, a Putnam employee should follow the reporting steps prescribed in Rule 3.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENTS</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>&#149; Rule 1 concerns the conduct of an employee when Putnam possesses material non-public information. Rule 2 concerns the conduct of an employee who herself possesses material non-public information about a security that is not yet on the Red List.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; If an employee has any question as to whether information she possesses is material and/or non-public information, she must contact the Code of Ethics Officer immediately in accordance with Rule 3 prior to purchasing or selling any security related to the information or communicating the information to others. The Code of Ethics Officer shall have the sole authority to determine what constitutes material non-public information for the purposes of this Policy Statement.</FONT></P>
<P align=left><FONT face=sans-serif>Rule 3: Reporting of Material Non-public Information</FONT></P>
<P align=left><FONT face=sans-serif size=2>Any Putnam employee who believes he is aware of or has received material non-public information concerning a security or an issuer shall immediately report the information to the Code of Ethics Officer, the Deputy Code of Ethics Officer or, in his or her absence, a lawyer in the Putnam Legal and Compliance Department and to no one else. After reporting the information, the Putnam employee shall comply strictly with Rule 2 by not trading in the security without the prior written approval of the Code of Ethics Officer and shall (a) take precautions to ensure the continued confidentiality of the information and (b) refrain from communicating the information in question to any person.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>IMPLEMENTATION</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>A. An employee must communicate any potential material non-public information to the Code of Ethics Officer in a way designed to prevent the spread of such information and must do so prior to purchasing or selling a security or communicating the information to others. Once the employee has reported potential material non-public information to the Code of Ethics Officer, the Code of</FONT></P>
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<P align=left><FONT face=sans-serif size=2>Ethics Officer will evaluate whether such information constitutes material non-public information, and whether a duty exists that makes use of such information improper. If the Code of Ethics Officer determines either (a) that the information is not material or is public or (b) that use of the information is proper, he will issue a written approval to the employee specifically authorizing trading while in possession of the information, if the employee so requests. If the Code of Ethics Officer determines (a) that the information may be non-public and material and (b) that use of such information may be improper, he will place the security that is the subject of such information on the Red List.</FONT></P>
<P align=left><FONT face=sans-serif size=2>B. An employee who reports potential inside information to the Code of Ethics Officer should expect that the Code of Ethics Officer will need significant information, and time to gather such information, to make the evaluation, including information about (a) the manner in which the employee acquired the information and (b) the identity of individuals to whom the employee has revealed the information, or who have otherwise learned the information. In appropriate situations, the Code of Ethics Officer will normally place the affected security or securities on the Red List pending the completion of his evaluation.</FONT></P>
<P align=left><FONT face=sans-serif size=2>C. If an employee possesses documents, disks, or other materials containing potential inside information, the employee must take precautions to ensure the confidentiality of the information in question. Those precautions include (a) putting documents containing such information out of the view of a casual observer, and (b) securing files containing such documents or ensuring that computer files reflecting such information are secure from viewing by others.</FONT></P>
<P align=left><FONT face=sans-serif size=2>D. The PTA system will automatically reject requests to pre-clear a purchase or sale of securities of any of the following Putnam affiliates: Great-West Lifeco Inc., Power Financial Corporation, Power Corporation of Canada, and IGM Financial Inc. Any employee wishing to place a trade in one of these companies&#146; securities must contact the Code of Ethics Officer or the Deputy Code of Ethics Officer to request manual approval of the pre-clearance request. An employee requesting such approval must certify that he or she is not in possession of any material non-public information regarding the company in which he or she is seeking to place a trade. The decision whether or not to grant the pre-clearance request is in the sole discretion of the Code of Ethics Officer and the Deputy Code of Ethics Officer. The Code of Ethics Officer and Deputy Code of Ethics Officer will reject any such request for pre-clearance made by members of Putnam&#146;s Executive Board and cert
ain members of the Chief Financial Officer&#146;s staff from the end of each calendar quarter to the date of announcement of Great-West Lifeco Inc.&#146;s earnings for such quarter.</FONT></P>
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<P align=left><FONT face=sans-serif size=5>Appendix A &#151; Section II: Overview of Insider Trading</FONT></P>
<P align=left><FONT face=sans-serif size=4>Introduction</FONT></P>
<P align=left><FONT face=sans-serif size=2>This section of the Policy Statement provides guidelines for employees as to what may constitute inside information. It is possible that in the course of her employment, an employee may receive inside information. No employee should misuse that information, either by trading for her own account or by communicating the information to others.</FONT></P>
<P align=left><FONT face=sans-serif size=4>What constitutes unlawful insider trading?</FONT></P>
<P align=left><FONT face=sans-serif size=2>The basic definition of unlawful insider trading is trading on material non-public information (also called inside information) by an individual who has a duty not to take advantage of the information. The following sections help explain the definition.</FONT></P>
<P align=left><FONT face=sans-serif size=4>What is material information?</FONT></P>
<P align=left><FONT face=sans-serif size=2>Trading on inside information is not a basis for liability unless the information is material. Information is material if a reasonable person would attach importance to the information in determining his course of action with respect to a security. Information that is reasonably likely to affect the price of a company&#146;s securities is material, but effect on price is not the sole criterion for determining materiality. Information that employees should consider material includes, but is not limited to, dividend changes, earnings estimates, changes in previously released earnings estimates, reorganization, recapitalization, asset sales, plans to commence a tender offer, merger or acquisition proposals or agreements, major litigation, liquidity problems, significant contracts, and extraordinary management developments.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Material information does not have to relate to a company&#146;s business. For example, a court considered as material certain information about the contents of a forthcoming newspaper column that was expected to affect the market price of a security. In that case, a reporter for the </FONT><I><FONT face=sans-serif size=2>Wall Street Journal </FONT></I><FONT face=sans-serif size=2>was found criminally liable for disclosing to others the dates that reports on various companies would appear in the </FONT><I><FONT face=sans-serif size=2>Journal&#146;s </FONT></I><FONT face=sans-serif size=2>&#147;Heard on the Street&#148; column and whether those reports would be favorable or not.</FONT></P>
<P align=left><FONT face=sans-serif size=4>What is non-public information?</FONT></P>
<P align=left><FONT face=sans-serif size=2>Information is non-public until it has been effectively communicated to, and sufficient opportunity has existed for it to be absorbed by, the marketplace. One must be able to point to some fact to show that the information is generally public. For example, information found in a report filed with the Securities and Exchange Commission, or appearing in </FONT><I><FONT face=sans-serif size=2>Dow Jones, Reuters, </FONT></I><FONT face=sans-serif size=2>the </FONT><I><FONT face=sans-serif size=2>Wall Street Journal </FONT></I><FONT face=sans-serif size=2>, or other publications of general circulation would be considered public.</FONT></P>
<P align=left><FONT face=sans-serif size=4>Who has a duty not to &#147;take advantage&#148; of inside information?</FONT></P>
<P align=left><FONT face=sans-serif size=2>Unlawful insider trading occurs only if there is a duty not to take advantage of material non-public information. When there is no such duty, it is permissible to trade while in possession of such information. Questions as to whether a duty exists are complex, are fact-specific, and must be answered by a lawyer. If you have any doubt, err on the side of caution.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Insiders and Temporary Insiders </FONT></B><FONT face=sans-serif size=2>Corporate insiders have a duty not to take advantage of inside information. The concept of insider is broad. It includes officers, directors, and employees of a corporation. In addition, a person can be a temporary insider if she enters into a special confidential relationship with a corporation and, as a result, is given access to information concerning the corporation&#146;s affairs. A temporary insider can include, among others, accounting firms, consulting</FONT></P>
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<P align=left><FONT face=sans-serif size=2>firms, law firms, banks, and the employees of such organizations. Putnam would generally be a temporary insider of a corporation it advises or for which it performs other services, because typically Putnam clients expect Putnam to keep any information disclosed to it confidential.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>EXAMPLE</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>An investment advisor to the pension fund of a large publicly traded corporation, Acme, Inc., learns from an Acme employee that Acme will not be making the minimum required annual contribution to the pension fund because of a serious downturn in Acme&#146;s financial situation. The information conveyed is material and non-public.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENT</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>Neither the investment advisor, its employees, nor its clients can trade on the basis of that information, because the investment advisor and its employees could be considered temporary insiders of Acme.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Misappropriators </FONT></B><FONT face=sans-serif size=2>Certain people who are not insiders (or temporary insiders) also have a duty not to deceptively take advantage of inside information. Included in this category is an individual who misappropriates (or takes for his own use) material non-public information in violation of a duty owed either to the corporation that is the subject of inside information or some other entity. Such a misappropriator can be held liable if he trades while in possession of that material non-public information.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>EXAMPLE</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>The Chief Investment Officer of Acme, Inc., is aware of Acme&#146;s plans to engage in a hostile takeover of Profit, Inc. The proposed hostile takeover is material and non-public.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENT</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>The Chief Investment Officer of Acme cannot trade in Profit, Inc.&#146;s stock for his own account. Even though he owes no duty to Profit, Inc., or its shareholders, he owes a duty to Acme not to take advantage of the information about the proposed hostile takeover by using it for his personal benefit.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Tippers and Tippees </FONT></B><FONT face=sans-serif size=2>A person (the tippee) who receives material non-public information from an insider or misappropriator (the tipper) has a duty not to trade while in possession of that information if he knew, or should have known, that the information was provided by the tipper for an improper purpose and in breach of a duty owed by the tipper. In this context, it is an improper purpose for a person to provide such information for personal benefit.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>EXAMPLE</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>The Chief Executive Officer of Acme, Inc., tells his daughter that negotiations concerning a previously announced acquisition of Acme have been terminated. This news is material and, at the time the father tells his daughter, non-public. The daughter sells her shares of Acme.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENT</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>The father is a tipper because he has a duty to Acme and its shareholders not to take advantage of the information concerning the breakdown of negotiations, and he has conveyed the information for an improper purpose. The daughter is a tippee and is liable for trading on inside information because she knew, or should have known, that her father was conveying the information to her for his personal benefit, and that her father had a duty not to take advantage of Acme information. A person can be a tippee even if he did not learn the information directly from the tipper, but learned it from a previous tippee.</FONT></P>
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<P align=left><B><FONT face=sans-serif size=2>EXAMPLE</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>An employee of a law firm that works on mergers and acquisitions learns at work about impending acquisitions. She tells her friend and her friend&#146;s stockbroker about the upcoming acquisitions on a regular basis. The stockbroker tells the brother of a client on a regular basis, who in turn tells two friends, A and B. A and B buy shares of the companies being acquired before the public announcement of the acquisition, and regularly profit from such purchases. A and B do not know the employee of the law firm. They do not, however, ask about the source of the information.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENT</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>A and B, although they have never heard of the tipper, are tippees because they did not ask about the source of the information, even though they were experienced investors, and were aware that the &#147;tips&#148; they received from this particular source were accurate.</FONT></P>
<P align=left><FONT face=sans-serif size=4>Who can be liable for insider trading?</FONT></P>
<P align=left><FONT face=sans-serif size=2>The categories of individuals discussed above (insiders, temporary insiders, misappropriators, or tippees) can be liable if they trade while in possession of material non-public information.</FONT></P>
<P align=left><FONT face=sans-serif size=2>In addition, individuals other than those who actually trade on inside information can be liable for trades of others. A tipper can be liable if (a) he provided the information in exchange for a personal benefit in breach of a duty, and (b) the recipient of the information (the tippee) traded while in possession of the information.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Most importantly, a controlling person can be liable if the controlling person knew or recklessly disregarded the fact that the controlled person was likely to engage in misuse of inside information and failed to take appropriate steps to prevent it. Putnam is a controlling person of its employees. In addition, certain supervisors may be controlling persons of those employees they supervise.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>EXAMPLE</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>A supervisor of an analyst learns that the analyst has, over a long period of time, secretly received material inside information from Acme, Inc.&#146;s Chief Investment Officer. The supervisor learns that the analyst has engaged in a number of trades for his personal account on the basis of the inside information. The supervisor takes no action.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>COMMENT</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>Even if he is not liable to a private plaintiff, the supervisor can be liable to the Securities and Exchange Commission for a civil penalty of up to three times the amount of the analyst&#146;s profit.</FONT></P>
<P align=left><FONT face=sans-serif size=4>Penalties for insider trading</FONT></P>
<P align=left><FONT face=sans-serif size=2>Penalties for misuse of inside information are severe, both for individuals involved in such unlawful conduct and their employers. A person who violates the insider trading laws can be subject to some or all of the types of penalties below, even if he does not personally benefit from the violation. Penalties include:</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Jail sentences, criminal monetary penalties</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Injunctions permanently preventing an individual from working in the securities industry</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Injunctions ordering an individual to disgorge profits obtained from unlawful insider trading</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Civil penalties substantially greater than the profit gained or loss avoided by the trader, even if the individual paying the penalty did not trade or did not benefit personally</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Civil penalties for the employer or other controlling person</FONT></P>
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<P align=left><FONT face=sans-serif size=2>&#149; Damages in the amount of actual losses suffered by other participants in the market for the security at issue Regardless of whether penalties or money damages are sought by others, Putnam will take whatever action it deems appropriate, including dismissal, if Putnam determines, in its sole discretion, that an employee appears to have committed any violation of this Policy Statement, or to have engaged in any conduct that raises significant questions about whether an insider trading violation has occurred.</FONT></P>
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<P align=left><FONT face=sans-serif size=5>Appendix B &#151; Policy Statement Regarding Employee Trades in Shares of Putnam Closed-End Funds</FONT></P>
<P align=left><FONT face=sans-serif size=4>Pre-clearance</FONT></P>
<P align=left><FONT face=sans-serif size=2>Any purchase or sale of Putnam closed-end fund shares by a Putnam employee must be pre-cleared. A list of the closed-end funds can be obtained from the Code of Ethics Administrator.</FONT></P>
<P align=left><FONT face=sans-serif size=4>Reporting</FONT></P>
<P align=left><FONT face=sans-serif size=2>Employees must direct their brokers to provide to the Code of Ethics Administrator duplicate confirmations and statements of all purchases and sales. If you are an access person required to file a quarterly report of all personal securities transactions, you must include all purchases and sales of closed-end fund shares.</FONT></P>
<P align=left><FONT face=sans-serif size=4>Special Rules Applicable to Managing Directors of Putnam Investment Management, LLC, Executive Board, and officers of the Putnam Funds</FONT></P>
<P align=left><FONT face=sans-serif size=2>Please be aware that managing directors of Putnam Investment Management, LLC, Executive Board, the investment manager of the Putnam mutual funds, Putnam Executive Board members, and officers of the Putnam Funds will not receive clearance to engage in any combination of purchase and sale, or sale and purchase, of the shares of a given closed-end fund within six months of each other. Therefore, purchases should be made only if you intend to hold the shares more than six months; no sales of fund shares should be made if you intend to purchase additional shares of that same fund within six months.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Certain forms are also required to be filed with the Securities and Exchange Commission in connection with purchases and sales of Putnam closed-end funds. You will be notified by the Code of Ethics Administrator if this applies to you. Please contact the Code of Ethics Officer Administrator for further information.</FONT></P>
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     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=5>Appendix C &#151; Contra- Trading Rule Clearance Form</FONT> </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>&nbsp;&nbsp;&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>To: Code of Ethics Officer</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>From:</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Date:</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Re: Sale of Personal Security</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
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     <TD noWrap align=left colSpan=2><I><FONT face=sans-serif size=2>This serves as prior written approval to sell the following personal security:</FONT></I> </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>&nbsp;&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Name of portfolio manager contemplating personal sale:</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Security to be sold:</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Number of shares to be sold:</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Fund(s) holding security:</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Number of shares held by fund:</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Reason for the personal sale:</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Specify the reason why the sale is inappropriate for fund:</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
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     <TD noWrap align=left><I><FONT face=sans-serif size=2>(Please attach additional sheets if necessary. )</FONT></I> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>CIO approval:</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Date:</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Code of Ethics Officer/</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Deputy Code of Ethics Officer approval:</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Date:</FONT> </TD></TR>
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<P align=left><FONT face=sans-serif size=5>Appendix D &#151; CFA Institute Code of Ethics and Standards of Professional Conduct</FONT></P>
<P align=left><FONT face=sans-serif size=2>The CFA Institute Code of Ethics and Standards of Professional Conduct (Code and Standards) are fundamental to CFA Institute&#146;s values and essential to achieving its mission to lead the investment profession globally by setting high standards of education, integrity, and professional excellence. High ethical standards are critical to maintaining the public&#146;s trust in financial markets and in the investment profession.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Since their creation in the 1960s, the Code and Standards have promoted the integrity of CFA Institute members and served as a model for measuring the ethics of investment professionals globally, regardless of job function, cultural differences, or local laws and regulations. All CFA Institute members (including holders of the Chartered Financial Analyst&#174; (CFA&#174;) designation) and CFA candidates must abide by the Code and Standards and are encouraged to notify their employer of this responsibility. Violations may result in disciplinary sanctions by CFA Institute. Sanctions can include revocation of membership, candidacy in the CFA Program, and the right to use the CFA designation.</FONT></P>
<P align=left><FONT face=sans-serif size=4>The Code of Ethics</FONT></P>
<P align=left><FONT face=sans-serif size=2>Members of CFA Institute (including Chartered Financial Analyst&#174; (CFA&#174;) charterholders) and candidates for the CFA designation (&#147;Members and Candidates&#148;) must:</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Act with integrity, competence, diligence, and respect, and in an ethical manner with the public, clients, prospective clients, employers, employees, colleagues in the investment profession, and other participants in the global capital markets.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Place the integrity of the investment profession and the interests of clients above their own personal interests.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Use reasonable care and exercise independent professional judgment when conducting investment analysis, making investment recommendations, taking investment actions, and engaging in other professional activities.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Practice and encourage others to practice in a professional and ethical manner that will reflect credit on themselves and the profession.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Promote the integrity of, and uphold the rules governing, capital markets.</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; Maintain and improve their professional competence and strive to maintain and improve the competence of other investment professionals.</FONT></P>
<P align=left><FONT face=sans-serif size=4>Standards of Professional Conduct</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>I. PROFESSIONALISM</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>A. </FONT><B><FONT face=sans-serif size=2>Knowledge of the Law. </FONT></B><FONT face=sans-serif size=2>Members and Candidates must understand and comply with all applicable laws, rules, and regulations (including the CFA Institute Code of Ethics and Standards of Professional Conduct) of any government, regulatory organization, licensing agency, or professional association governing their professional activities. In the event of conflict, Members and Candidates must comply with the more strict law, rule, or regulation. Members and Candidates must not knowingly participate or assist in and must dissociate from any violation of such laws, rules, or regulations.</FONT></P>
<P align=left><FONT face=sans-serif size=2>B. </FONT><B><FONT face=sans-serif size=2>Independence and Objectivity. </FONT></B><FONT face=sans-serif size=2>Members and Candidates must use reasonable care and judgment to achieve and maintain independence and objectivity in their professional activities.</FONT></P>
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<P align=left><FONT face=sans-serif size=2>Members and Candidates must not offer, solicit, or accept any gift, benefit, compensation, or consideration that reasonably could be expected to compromise their own or another&#146;s independence and objectivity.</FONT></P>
<P align=left><FONT face=sans-serif size=2>C. </FONT><B><FONT face=sans-serif size=2>Misrepresentation. </FONT></B><FONT face=sans-serif size=2>Members and Candidates must not knowingly make any misrepresentations relating to investment analysis, recommendations, actions, or other professional activities.</FONT></P>
<P align=left><FONT face=sans-serif size=2>D. </FONT><B><FONT face=sans-serif size=2>Misconduct. </FONT></B><FONT face=sans-serif size=2>Members and Candidates must not engage in any professional conduct involving dishonesty, fraud, or deceit, or commit any act that reflects adversely on their professional reputation, integrity, or competence.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>II. INTEGRITY OF CAPITAL MARKETS</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>A. </FONT><B><FONT face=sans-serif size=2>Material Non-public Information. </FONT></B><FONT face=sans-serif size=2>Members and Candidates who possess material non-public information that could affect the value of an investment must not act or cause others to act on the information.</FONT></P>
<P align=left><FONT face=sans-serif size=2>B. </FONT><B><FONT face=sans-serif size=2>Market Manipulation. </FONT></B><FONT face=sans-serif size=2>Members and Candidates must not engage in practices that distort prices or artificially inflate trading volume with the intent to mislead market participants.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>III. DUTIES TO CLIENTS</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>A. </FONT><B><FONT face=sans-serif size=2>Loyalty, Prudence, and Care. </FONT></B><FONT face=sans-serif size=2>Members and Candidates have a duty of loyalty to their clients and must act with reasonable care and exercise prudent judgment. Members and Candidates must act for the benefit of their clients and place their clients&#146; interests before their employer&#146;s or their own interests. In relationships with clients, Members and Candidates must determine applicable fiduciary duty and must comply with such duty to persons and interests to whom it is owed.</FONT></P>
<P align=left><FONT face=sans-serif size=2>B. </FONT><B><FONT face=sans-serif size=2>Fair Dealing. </FONT></B><FONT face=sans-serif size=2>Members and Candidates must deal fairly and objectively with all clients when providing investment analysis, making investment recommendations, taking investment action, or engaging in other professional activities.</FONT></P>
<P align=left><FONT face=sans-serif size=2>C. </FONT><B><FONT face=sans-serif size=2>Suitability.</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>1. When Members and Candidates are in an advisory relationship with a client, they must: </FONT></P>
<P align=left><FONT face=sans-serif size=2>a) Make a reasonable inquiry into a client&#146;s or prospective clients&#146; investment experience, risk and return objectives, and financial constraints prior to making any investment recommendation or taking investment action, and must reassess and update this information regularly. </FONT></P>
<P align=left><FONT face=sans-serif size=2>b) Determine that an investment is suitable to the client&#146;s financial situation and consistent with the client&#146;s written objectives, mandates, and constraints before making an investment recommendation or taking investment action. </FONT></P>
<P align=left><FONT face=sans-serif size=2>c) Judge the suitability of investments in the context of the client&#146;s total portfolio.</FONT></P>
<P align=left><FONT face=sans-serif size=2>2. When Members and Candidates are responsible for managing a portfolio to a specific mandate, strategy, or style, they must only make investment recommendations or take investment actions that are consistent with the stated objectives and constraints of the portfolio.</FONT></P>
<P align=left><FONT face=sans-serif size=2>D. </FONT><B><FONT face=sans-serif size=2>Performance Presentation. </FONT></B><FONT face=sans-serif size=2>When communicating investment performance information, Members or Candidates must make reasonable efforts to ensure that it is fair, accurate, and complete.</FONT></P>
<P align=left><FONT face=sans-serif size=2>E. </FONT><B><FONT face=sans-serif size=2>Preservation of Confidentiality. </FONT></B><FONT face=sans-serif size=2>Members and Candidates must keep information about current, former, and prospective clients confidential unless: </FONT></P>
<P align=left><FONT face=sans-serif size=2>1. The information concerns illegal activities on the part of the client or prospective client. </FONT></P>
<P align=left><FONT face=sans-serif size=2>2. Disclosure is required by law.</FONT></P>
<P align=left><FONT face=sans-serif size=2>3. The client or prospective client permits disclosure of the information.</FONT></P>
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<P align=left><B><FONT face=sans-serif size=2>IV. DUTIES TO EMPLOYERS</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>A. </FONT><B><FONT face=sans-serif size=2>Loyalty. </FONT></B><FONT face=sans-serif size=2>In matters related to their employment, Members and Candidates must act for the benefit of their employer and not deprive their employer of the advantage of their skills and abilities, divulge confidential information, or otherwise cause harm to their employer.</FONT></P>
<P align=left><FONT face=sans-serif size=2>B. </FONT><B><FONT face=sans-serif size=2>Additional Compensation Arrangements. </FONT></B><FONT face=sans-serif size=2>Members and Candidates must not accept gifts, benefits, compensation, or consideration that competes with, or might reasonably be expected to create a conflict of interest with, their employer&#146;s interest unless they obtain written consent from all parties involved.</FONT></P>
<P align=left><FONT face=sans-serif size=2>C. </FONT><B><FONT face=sans-serif size=2>Responsibilities of Supervisors. </FONT></B><FONT face=sans-serif size=2>Members and Candidates must make reasonable efforts to detect and prevent violations of applicable laws, rules, regulations, and the Code and Standards by anyone subject to their supervision or authority.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>V. INVESTMENT ANALYSIS, RECOMMENDATIONS, AND ACTION</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>A. </FONT><B><FONT face=sans-serif size=2>Diligence and Reasonable Basis. </FONT></B><FONT face=sans-serif size=2>Members and Candidates must:</FONT></P>
<P align=left><FONT face=sans-serif size=2>1. Exercise diligence, independence, and thoroughness in analyzing investments, making investment recommendations, and taking investment actions.</FONT></P>
<P align=left><FONT face=sans-serif size=2>2. Have a reasonable and adequate basis, supported by appropriate research and investigation, for any investment analysis, recommendation, or action.</FONT></P>
<P align=left><FONT face=sans-serif size=2>B. </FONT><B><FONT face=sans-serif size=2>Communication with Clients and Prospective Clients. </FONT></B><FONT face=sans-serif size=2>Members and Candidates must: </FONT></P>
<P align=left><FONT face=sans-serif size=2>1. Disclose to clients and prospective clients the basic format and general principles of the investment processes used to analyze investments, select securities, and construct portfolios, and must promptly disclose any changes that might materially affect those processes.</FONT></P>
<P align=left><FONT face=sans-serif size=2>2. Use reasonable judgment in identifying which factors are important to their investment analysis, recommendations, or actions and include those factors in communications with clients and prospective clients.</FONT></P>
<P align=left><FONT face=sans-serif size=2>3. Distinguish between fact and opinion in the presentation of investment analysis and recommendations.</FONT></P>
<P align=left><FONT face=sans-serif size=2>C. </FONT><B><FONT face=sans-serif size=2>Record Retention. </FONT></B><FONT face=sans-serif size=2>Members and Candidates must develop and maintain appropriate records to support their investment analysis, recommendations, actions, and other investment-related communications with clients and prospective clients.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>VI. CONFLICTS OF INTEREST</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>A. </FONT><B><FONT face=sans-serif size=2>Disclosure of Conflicts. </FONT></B><FONT face=sans-serif size=2>Members and Candidates must make full and fair disclosure of all matters that could reasonably be expected to impair their independence and objectivity or interfere with respective duties to their clients, prospective clients, and employer. Members and Candidates must ensure that such disclosures are prominent, are delivered in plain language, and communicate the relevant information effectively.</FONT></P>
<P align=left><FONT face=sans-serif size=2>B. </FONT><B><FONT face=sans-serif size=2>Priority of Transactions. </FONT></B><FONT face=sans-serif size=2>Investment transactions for clients and employers must have priority over investment transactions in which a Member or Candidate is the beneficial owner. </FONT></P>
<P align=left><FONT face=sans-serif size=2>C. </FONT><B><FONT face=sans-serif size=2>Referral Fees. </FONT></B><FONT face=sans-serif size=2>Members and Candidates must disclose to their employer, clients, and prospective clients, as appropriate, any compensation, consideration, or benefit received by, or paid to, others for the recommendation of products or services.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>VII. RESPONSIBILITIES AS A CFA INSTITUTE MEMBER OR CFA CANDIDATE</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>A. </FONT><B><FONT face=sans-serif size=2>Conduct as Members and Candidates in the CFA Program. </FONT></B><FONT face=sans-serif size=2>Members and Candidates must not engage in any conduct that compromises the reputation or integrity of the CFA Institute or the CFA designation or the integrity, validity, or security of the CFA examinations.</FONT></P>
<P align=left><FONT face=sans-serif size=2>B. </FONT><B><FONT face=sans-serif size=2>Reference to the CFA Institute, the CFA designation, and the CFA Program. </FONT></B><FONT face=sans-serif size=2>When referring to the CFA Institute, CFA Institute membership, the CFA designation, or candidacy in the</FONT></P>
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<P align=left><FONT face=sans-serif size=2>CFA Program, Members and Candidates must not misrepresent or exaggerate the meaning or implications of membership in the CFA Institute, holding the CFA designation, or candidacy in the CFA Program.</FONT></P>
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<P align=left><FONT face=sans-serif size=5>Appendix E &#151; Inducement Policy for Putnam Investments Limited (PIL) Employees</FONT></P>
<P align=left><FONT face=sans-serif size=4>Inducements</FONT></P>
<P align=left><FONT face=sans-serif size=2>Putnam Investments Limited has adopted the following procedures to enable it to comply with, and demonstrate compliance with, the requirements in this area: </FONT></P>
<P align=left><FONT face=sans-serif size=2>Gifts, business meals, or entertainment events that are given or received (&#147;inducements&#148;) and that exceed a value of &#163;25 (40 euros or equivalent) must be reported through the PTA system within 20 business days.</FONT></P>
<P align=left><FONT face=sans-serif size=2>PIL&#146;s policy limits gifts to a value of &#163;100 (150 euros or equivalent) per item.</FONT></P>
<P align=left><FONT face=sans-serif size=2>No limit is applied to meals provided such meals are for business purposes, reasonable, and not lavish.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Entertainment provided to, or received from, suppliers (including brokers) is limited to a value of &#163;150 (225 euros or equivalent). When receiving or providing entertainment to clients or potential clients, the limit of &#163;150 (225 euros or equivalent) may be exceeded provided that such event is for business purposes, reasonable, and not lavish. Pre-clearance must be obtained from the PIL Compliance Officer.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Inducements exceeding these limits should be politely declined, explaining that PIL&#146;s internal policies will not permit their acceptance.</FONT></P>
<P align=left><FONT face=sans-serif size=2>There may be rare occasions where you are unexpectedly offered a gift or are entertained where the value exceeds the limits and it would be very discourteous to decline, or difficult to pay part of the bill yourself (such as in a members&#146; dining club). In these circumstances the gift should be handed in to the PIL Compliance Officer, who will arrange to give it to charity, or the entertainment reported immediately to the PIL Compliance Officer with an explanation of the circumstances. </FONT></P>
<P align=left><FONT face=sans-serif size=2>Where the gift is below &#163;100 (150 euros or equivalent) or the entertainment is below &#163;150 (225 euros or equivalent) for any individual, no pre-clearance is necessary. Above these levels, pre-clearance is required from the PIL Compliance Officer. If you are in doubt as to whether limits might be exceeded, please err on the side of caution and seek pre-clearance.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Employees must disclose inducements in PTA where the value is above &#163;25 (40 euros or equivalent).</FONT></P>
<P align=left><FONT face=sans-serif size=2>Inducements below &#163;25 (40 euros or equivalent), e.g., an umbrella, a casual drink, or a snack, need not be reported.</FONT></P>
<P align=left><FONT face=sans-serif size=2>No more than six entertainment events per year, and no more than two events may be accepted from a single source. Meals are not included in this limit.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Where breaches of the inducement policy occur, sanctions may apply.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Employees are required to make an annual declaration that they have reported all reportable inducements given and received, or that they have not given or received any inducements during the course of the year.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Further detailed guidance on PIL&#146;s Inducement Policy is available in the PIL Compliance Manual.</FONT></P>
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     <TD noWrap align=left><FONT face=sans-serif size=2>407 Letter</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2, 33</FONT> </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Employees</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>7-Day Rule</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3, 19, 20</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>general rules for</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>23</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>90-Day Short-Term Rule</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>12, 19</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>personal political contributions</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>26</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Access Person</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Entertainment Policy</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>23</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>definition</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>5</FONT> </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Excessive trading (over 10 trades) prohibited</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>16</FONT> </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>reporting requirements for</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>33</FONT> </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Exchange-traded index funds (ETFs) </FONT></TD>
     <TD noWrap align=right>&nbsp;<FONT face=sans-serif size=2>6, 8, 17, 33, 34</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>reporting transactions/holdings</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>33</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Exempted transactions</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>17</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ad Hoc Exemption</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>37</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Family member accounts</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>15</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Affiliated Entities</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>29</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Family Members&#146; Conflict Policy</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>29</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Analysts</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Fiduciary</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>28</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>special rules</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>19, 20, 21</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Gifts and Entertainment Policy</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>23</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Annual Holdings Report</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>11, 34</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Gifts donated as securities</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>11</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Anti-bribery/Kickback Policy</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>25</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Good Until Canceled (GTC) Limit orders</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>16</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Anti-money Laundering Policy</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>32</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Goods and services, purchasing</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>29</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Anti-trust and other laws</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>23</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Great-West Lifeco Inc.</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2, 8, 12, 43</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Appeal Procedures</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>38</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Initial holdings report</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>34</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Blackout Rule</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>trading by portfolio managers,</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Initial Public Offerings (IPOs)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>12</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>analysts, and CIOs</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3, 20</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Inside Information</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1, 43, 44</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Boycott laws</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>23</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>material, non-public information</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>13, 42</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>policy statement</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>40</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Bribes</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>25</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>sanctions for</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>39, 46</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Broker accounts</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2, 33</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Inside Information List (Red List)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>42</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Business ethics</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>34</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Insider Trading</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>CFA Institute Code of Ethics</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>31</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>definitions</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>41</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>CFA Institute Code of Ethics and Standards of</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>explanations of</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>44</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Professional Conduct</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>50</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>liability for</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>46</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>penalties for</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>46</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Chief Investment Officer</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>policy statement</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>40</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>special rules on trading</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>19</FONT> </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>Closed-end fund</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2, 5, 6, 7, 8, 48</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Investment clubs</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>28</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Code of Ethics Administrator</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>6</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Involuntary transactions</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>11, 17</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Code of Ethics Officer</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>6</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Kickback Policy</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>25</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Deputy Code of Ethics Officer</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>6</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Large-/Mid-Cap Exemption</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>9</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Code of Ethics Oversight Committee</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>&nbsp;</FONT>&nbsp;&nbsp;<FONT face=Arial size=2>6, 13, 16, 39</FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Limit Orders</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>16</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Compliance and Appeal Procedures</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>37</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Linked accounts</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>15</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Computer and Network Use Policy</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>30</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Lobbying Policy</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>26</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Confidentiality</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1, 27</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Market timing prohibition</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>15</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Confirmations and broker statements</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2, 33</FONT> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Marsh &amp; McLennan (MMC) securities </FONT></TD>
     <TD noWrap align=right>&nbsp;&nbsp;<FONT face=sans-serif size=2>8, 11, 17, 33</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Conflicts of interest</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1, 4, 23</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Material information</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1, 13, 40, 42, 43, 44, 46</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Contra-Trading Rule</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3, 21</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Naked Options</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>17</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Clearance Form</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>49</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Negotiations prohibition</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>28</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Corporate purchase of goods and services</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>29</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Non-public information</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1, 13, 40, 42, 43, 44, 46</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Corporate/political contributions.</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>26</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Non-Putnam affiliates (NPAs)</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>29</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Currencies</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>7</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Officer, prohibited to serve for another entity</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>27</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Director, prohibited to serve for another entity</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>27</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ombudsman</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>35</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Discretionary account</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>6, 10, 12</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Options</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Dividend reinvestment program</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>18</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>defined as securities</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>10</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Education Requirements</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>36</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>naked</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>17</FONT> </TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="100%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT face=sans-serif size=2>55</FONT> </TD></TR></TABLE><BR>
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<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="35%"></TD>
     <TD width="12%"></TD>
     <TD width="5%">&nbsp;</TD>
     <TD width="35%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Partner, prohibited to serve for another entity&nbsp;</FONT> </TD>
     <TD noWrap align=right>&nbsp;<FONT face=sans-serif size=2>27</FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>90-Day Rule</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>15</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Partnerships, covered in personal securities</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>One-Year Rule</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>15</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>transactions</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>7, 41</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Variable Trusts</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>14</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Personal securities transactions</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Quarterly Report of Securities Transactions</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2, 33</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Personal Trading Assistant (PTA)</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Records</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=2>2, 6, 8, 9, 11, 24, 27, 33, 34</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>accuracy records policy</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>29</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Political activities, contributions, lobbying</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>26</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>retention policy</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>32</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Portfolio managers, special rules on trading</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>19-22</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Red List</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>42, 43</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Portfolio Trading</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>21, 29</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Reporting Requirements</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>33</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Postiions outside Putnam</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>27, 34</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Restricted List</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>7-9, 12, 37, 38</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Power Corporation of Canada</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2, 8, 12, 43</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sanctions</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>39</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Power Financial Corporation</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2, 8, 12, 43</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Shares by subscription, pre-clearance</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>10</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Pre-clearance</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2, 6-12</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Special rules for investment professionals</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3, 19-22</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>sanctions for failure to pre-clear properly</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>39</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Spread betting</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>17</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Privacy Policy</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>31</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Tender Offers</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>11</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Private offerings and private placement</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Trustee</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>7, 14, 27, 28, 41</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>pre-approval</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>13</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Trusts</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1, 7, 14, 41</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Prohibited transactions</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>12-18</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>U. S. government obligations</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>7</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam mutual fund restrictions</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2, 14, 15</FONT> </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Warrants</FONT> </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>7, 8, 41</FONT> </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1></FONT>&nbsp;</P>
<P align=left><FONT face=sans-serif size=1>One Post Office Square</FONT><BR>
<FONT face=sans-serif size=1>Boston, Massachusetts 02109</FONT><BR>
<FONT face=sans-serif size=1>1-617-292-1000</FONT><BR>
<FONT face=sans-serif size=1>www.putnam.com</FONT><BR>
<BR>
<FONT face=sans-serif size=1>248344 5/08</FONT></P>
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