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<SEC-DOCUMENT>0000928816-09-000508.txt : 20090529
<SEC-HEADER>0000928816-09-000508.hdr.sgml : 20090529
<ACCEPTANCE-DATETIME>20090529120049
ACCESSION NUMBER:		0000928816-09-000508
CONFORMED SUBMISSION TYPE:	N-CSRS
PUBLIC DOCUMENT COUNT:		16
CONFORMED PERIOD OF REPORT:	20090331
FILED AS OF DATE:		20090529
DATE AS OF CHANGE:		20090529
EFFECTIVENESS DATE:		20090529

FILER:

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

	FILING VALUES:
		FORM TYPE:		N-CSRS
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-05498
		FILM NUMBER:		09859969

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

	MAIL ADDRESS:	
		STREET 1:		ONE POST OFFICE SQ
		CITY:			BOSTON
		STATE:			MA
		ZIP:			02109
</SEC-HEADER>
<DOCUMENT>
<TYPE>N-CSRS
<SEQUENCE>1
<FILENAME>a_masterinterminc.htm
<DESCRIPTION>PUTNAM MASTER INTERMEDIATE INCOME
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     <TD noWrap align=center colSpan=4><FONT face=sans-serif size=2>UNITED STATES</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=center colSpan=4><FONT face=sans-serif size=2>SECURITIES AND EXCHANGE COMMISSION</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=center colSpan=4><FONT face=sans-serif size=2>Washington, D.C. 20549</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=center colSpan=4><B><FONT face=sans-serif size=2>FORM N-CSR</FONT></B>&nbsp;</TD></TR>
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     <TD noWrap align=center colSpan=4><B><FONT face=sans-serif size=2>CERTIFIED SHAREHOLDER REPORT OF REGISTERED</FONT></B>&nbsp;</TD></TR>
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     <TD noWrap align=center colSpan=4><B><FONT face=sans-serif size=2>MANAGEMENT INVESTMENT COMPANIES</FONT></B>&nbsp;</TD></TR>
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     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=2>Investment Company Act file number: (811- 05498)</FONT>&nbsp;</TD>
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     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Exact name of registrant as specified in charter:</FONT>&nbsp;</TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam Master Intermediate Income Trust</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left colSpan=4><FONT face=sans-serif size=2>Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Name and address of agent for service:</FONT>&nbsp;</TD>
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     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Beth S. Mazor, Vice President</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left colSpan=2>&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 colSpan=2>&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=center><FONT face=sans-serif size=2>Copy to:</FONT>&nbsp;</TD>
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     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>John W. Gerstmayr, Esq.</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left colSpan=2>&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 colSpan=2>&nbsp;</TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>One International Place</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left colSpan=2>&nbsp;</TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Boston, Massachusetts 02110</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left colSpan=3><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>
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     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Date of fiscal year end: September 30, 2009</FONT>&nbsp;</TD>
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     <TD noWrap align=left width="99%" colSpan=4><FONT face=sans-serif size=2>Date of reporting period October 1, 2008 &#150; March 31, 2009</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><U><FONT face=sans-serif size=2>Item 1. Report to Stockholders:<BR>
</FONT></U><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=sans-serif>Since 1937, </FONT><FONT face=sans-serif size=2>when George Putnam created </FONT><FONT face=sans-serif size=2>a prudent mix of stocks and bonds in a single, </FONT><FONT face=sans-serif size=2>professionally managed portfolio, we have championed the wisdom of the balanced approach. Today, we offer a world of equity, fixed-income, multi-asset, and absolute-return portfolios so investors can pursue a range of financial goals. Our seasoned portfolio managers seek superior results over time, backed by original, fundamental research on a global scale. We believe in service excellence, in the value of experienced financial advice, and in putting clients first in everything we do.</FONT></P>
<P align=left><FONT face=sans-serif size=1>In 1830, Massachusetts Supreme Judicial Court Justice Samuel Putnam established The Prudent Man Rule, a legal foundation for responsible money management.</FONT></P>
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<P align=left><FONT face=sans-serif size=1>THE PRUDENT MAN RULE</FONT></P>
<P align=left><FONT face=sans-serif size=1>All that can be required of a trustee to invest is that he shall conduct himself faithfully and exercise a sound discretion. He is to observe how men of prudence, discretion, and intelligence manage their own affairs, not in regard to speculation, but in regard to the permanent disposition of their funds, considering the probable income, as well as the probable safety of the capital to be invested.</FONT></P>
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<P align=left><FONT face=sans-serif size=6>Putnam Master</FONT><BR>
<FONT face=sans-serif size=6>Intermediate</FONT><BR>
<FONT face=sans-serif size=6>Income Trust</FONT></P>
<P align=left><FONT face=sans-serif size=4>Semiannual Report</FONT><BR>
<FONT face=sans-serif size=4>3 </FONT><FONT face=sans-serif size=5>| </FONT><FONT face=sans-serif size=4>31 </FONT><FONT face=sans-serif size=5>| </FONT><FONT face=sans-serif size=4>09</FONT></P>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Message from the Trustees</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>About the fund</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Performance snapshot</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>6</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Interview with your fund&#146;s Portfolio Manager</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>7</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Performance in depth</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>12</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Your fund&#146;s management</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>13</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Terms and definitions</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>15</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Trustee approval of management contract</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>16</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Other information for shareholders</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>20</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Financial statements</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>21</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Shareholder meeting results</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>79</FONT>&nbsp;</TD></TR>
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<P align=left><FONT face=sans-serif size=5>Message from the Trustees</FONT></P>
<P align=left><FONT face=sans-serif size=2>Dear Fellow Shareholder:</FONT></P>
<P align=left><FONT face=sans-serif size=2>After 18 months of deep and painful losses, the stock market showed a glimmer of promise late in the first quarter. For the first 10 weeks of 2009, the S&amp;P 500 Index fell by approximately 25%, before abruptly reversing course with just three weeks left in the quarter. Recent technical and valuation improvements also may augur well for the fixed-income market.</FONT></P>
<P align=left><FONT face=sans-serif size=2>While the bottom of a bear market can only be identified in retrospect, we are encouraged by the upswing because it corresponds closely to historic turning points in the stock market. Notably, the upswing followed more aggressive government stimulus efforts and Federal Reserve action, as well as the kind of widespread sell-offs by investors that are often associated with market bottoms.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Under President and CEO Robert L. Reynolds, Putnam Investments has instituted several changes in order to position Putnam mutual funds for a market recovery. In April, Walter C. Donovan, a 25-year investment-industry veteran, joined Putnam as Chief Investment Officer. Mr. Donovan will lead a reinvigorated investment organization strengthened by the arrival during the past few months of several well-regarded senior portfolio managers, research analysts, and equity traders.</FONT></P>
<P align=left><FONT face=sans-serif size=2>We also are pleased to announce that Ravi Akhoury has been elected to the Board of Trustees of the Putnam Funds. From 1992 to 2007, Mr. Akhoury was Chairman and CEO of MacKay Shields, a multi-product investment management</FONT></P>
<P align=left><FONT face=sans-serif size=1>2</FONT></P>
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<P align=left><FONT face=sans-serif size=2>firm with over $40 billion in assets under management. He serves as advisor to New York Life Insurance Company, and previously was a member of its Executive Management Committee.</FONT></P>
<P align=left><FONT face=sans-serif size=2>We would like to take this opportunity to welcome new shareholders to the fund and to thank all of our investors for your continued confidence in Putnam.</FONT></P>
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<P align=left><FONT face=sans-serif size=5>About the fund<BR>
<BR>
</FONT><FONT face=sans-serif size=2>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 </FONT><FONT face=sans-serif size=2>innovative. Lower-rated, higher-yielding corporate bonds were relatively new, having just been established in the late 1970s. Additionally, at the time of the fund&#146;s launch, few investors were venturing outside the United States for fixed-income opportunities.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The bond investment landscape has undergone a transformation in the two decades since. 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 fixed-income group aligns teams of specialists with varied investment opportunities. Each team identifies compelling strategies within its area of expertise. The fund&#146;s managers select 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>The fund&#146;s multi-strategy approach is designed to target the expanding opportunities of today&#146;s global bond marketplace. As different factors drive the performance of various fixed-income sectors, the fund 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. </FONT></I><I><FONT face=sans-serif size=2>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=2>How do closed-end funds differ from open-end funds?</FONT></P>
<P align=left><B><FONT face=sans-serif size=1>More assets at work </FONT></B><FONT face=sans-serif size=1>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=1>Traded like stocks </FONT></B><FONT face=sans-serif size=1>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=1>Net asset value vs. market price </FONT></B><FONT face=sans-serif size=1>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=1>Putnam Master Intermediate Income Trust</FONT></B></P>
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<P align=left><FONT face=sans-serif size=2>Putnam Master Intermediate Income Trust balances</FONT><BR>
<FONT face=sans-serif size=2>risk and return across multiple sectors</FONT></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=1>Weightings are shown as a percentage of the fund&#146;s total investment portfolio. Allocations and holdings in each sector will vary over time. For more information on current fund holdings, see pages 22&#150;66.</FONT></I></P>
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<P align=left><FONT face=sans-serif size=5>Performance snapshot</FONT></P>
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<P align=left><I><FONT face=sans-serif size=1>Data is historical. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and net asset value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance assumes reinvestment of distributions and does not account for taxes. Fund returns in the bar chart are at NAV. See pages 7 and 12&#150;13 for additional performance information, including </FONT></I><I><FONT face=sans-serif size=1>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>
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     <TD vAlign=top width="100%" colSpan=2><I><FONT face=sans-serif size=1>*</FONT></I> <I><FONT face=sans-serif size=1>Returns for the six-month period are not annualized, but cumulative.</FONT></I> </TD></TR></TABLE>
<P align=left><FONT face=sans-serif size=1>6</FONT></P>
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<P align=left><FONT face=sans-serif size=5>Interview with your</FONT><BR>
<FONT face=sans-serif size=5>fund&#146;s Portfolio Manager</FONT><BR>
<BR>
<FONT face=sans-serif size=2><B>D. William Kohli</B></FONT></P>
<P align=left><FONT face=sans-serif size=2><B>Bill, thank you for taking the time today to talk about Putnam Master Intermediate Income Trust&#146;s most recent semiannual period. How did the fund perform?</B></FONT></P>
<P align=left><FONT face=sans-serif size=2>The past semiannual period was a tale of two very contrasting quarters. In terms of performance results, this period can be summarized as a very difficult one for the credit markets and the fund. At the peak of the financial crisis last October and November, even issues with very secure cash flows found few buyers. Interest-rate spreads, or differences in yield between credit instruments and Treasuries, widened dramatically as prices of many credit instruments plummeted. In an almost </FONT><FONT face=sans-serif size=2>desperate flight to perceived quality during the height of the credit crisis, investors fled credit instruments for the perceived safe haven of Treasuries. And in the unwinding of risk that followed, some of the highest-quality non-Treasury securities experienced the biggest price declines as investors sold at any cost. Specifically, the fund declined 21.69% at net asset value, versus a return of 5.06% for the Barclays Capital Government/ Credit Bond 
Index and a 12.32% loss for the fund&#146;s Lipper peer group.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The fund significantly underperformed its benchmark, which is more highly concentrated in these government securities,</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Broad market index and fund performance</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>This comparison shows your fund&#146;s performance in the context of broad market indexes for the six months ended 3/31/09. See page 6 and pages 12&#150;13 for additional fund performance information. Index descriptions can be found on page 15.</FONT></P>
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<P align=left><FONT face=sans-serif size=1>7</FONT></P>
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<P align=left><FONT face=sans-serif size=2>despite our emphasis on securities of investment grade and higher quality, and our continued cautious stance on duration [a measure of portfolio risk].</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>You talked about contrasting quarters. How did the period begin in terms of major events affecting the credit markets and how did it evolve?</B></FONT></P>
<P align=left><FONT face=sans-serif size=2>Over the past 18 months, we have witnessed the dramatic unfolding of a significant deleveraging process in the United States &#151;as well as worldwide &#151; on a scale that is unprecedented. Following Lehman Brothers&#146; bankruptcy declaration, breakup, and liquidation last September, credit market prices declined sharply in October and November 2008. Leading up to that point, we had seen a surge in home foreclosures, severe problems for the securitized loan markets, the collapse of Bear Stearns, and instances where the money markets virtually froze and </FONT><FONT face=sans-serif size=2>short-term Treasury yields turned negative because of unprecedented Treasury security demand. In October and November 2008, another significant drop in commercial and residential property values was reported, and panic selling of credit instruments by individuals and institutions, including large hedge funds, ensued. Non-Treasury instruments &#151; regardless of quality &#151; 
simply had too many sellers and very few buyers. And yields of credit instruments compared with Treasuries spiked to spread levels that had never been seen before.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The dramatic reduction of access to credit for individuals and businesses drove the United States and all major European countries into the worst economic downturn since the Great Depression. The U.S. Federal Reserve [the Fed] and several other central banks responded with a series of short-term interest-rate cuts designed to stimulate economic activity, and the Fed and U.S.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Credit quality overview</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>Credit qualities shown as a percentage of portfolio value as of 3/31/09. 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>
<IMG src="mastintmedinctrustx9x1.jpg" border=0>
</P>
<P align=left><FONT face=sans-serif size=1>8</FONT></P>
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<P align=left><FONT face=sans-serif size=2>Treasury introduced a number of new lending facilities designed to spur renewed credit flows and lending among &#151; and by &#151; large financial institutions. After the Fed reduced short-term interest to near zero, it shifted its strategy to &#147;quantitative easing,&#148; buying up bank securities to inject more money into the financial system with the goal of spurring additional lending by banks. In early February 2009, Congress approved an $800 billion stimulus package designed to buoy the economy with new spending, and in March, Treasury Secretary Geithner announced a public/private partnership to buy up so-called &#147;toxic&#148; mortgage assets from banks as another way to restore credit flows. The result of this series of government efforts was a gradual shift &#151; at least temporarily &#151; to a stabilization of the credit markets. These markets, which had started to bounce back in December, performed strongly during the first quarter of 2009. Howeve
r, for the fund&#146;s </FONT><FONT face=sans-serif size=2>semiannual period, this strength was insuf-ficient to overcome the steep price declines that we saw last October and November.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>Bill, what was the portfolio managers&#146; strategy during this volatile period?</B></FONT></P>
<P align=left><FONT face=sans-serif size=2>First, we continued our strategy of focusing on high-quality credit instruments that we believe carry minimal fundamental credit risk. Though the performance of most credit instruments was highly correlated at the low point for the bond market last fall (as many investors fled to Treasuries), we believe that our focus on high credit quality will reward investors over time. Beginning in late 2007, we began to find compelling opportunities among what we perceived to be severely undervalued securities in the commercial mortgage-backed securities [CMBS], CMBS interest-only securities [CMBS IOs], collateralized mortgage obligations [CMOs], and inverse floating-rate notes markets, and</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>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 <BR>
are shown as a percentage of total investment portfolio. Holdings will vary over time.</FONT></P>
<IMG src="mastintmedinctrustx10x1.jpg" border=0>
<BR>
<P align=left><FONT face=sans-serif size=1>9</FONT></P>
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<P align=left><FONT face=sans-serif size=2>purchased large amounts of these securities at various points over the past 15 months.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Two factors helped the fund bounce back somewhat from the tremendous market downdraft of October and November. The fund&#146;s investments in CMBS IOs and inverse floating-rate securities benefited from the slow rate of prepayments that the mortgage market was experiencing. Both types of securities were producing substantial cash flows even in the difficult economic environment, and these two types of holdings strongly benefited performance from December through February when the credit markets stabilized. Second, during the latter part of the period, the fund profited from our prior decision to position the portfolio for yield-curve steepening during the atypical market environment in which yields on short-term credit instruments were higher than on long-term issues. This strategy was based on our view that the yield curve would continue to normalize (with longer-term yields rising) as the government significantly ramped up spending to deal with the economic crisis
 and concern grew over budget deficits and longer-term inflation.</FONT></P>
<P align=left><FONT face=sans-serif size=2>IN THE NEWS</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>On April 16, 2009, the U.S. Treasury Department launched a $9.9 billion mortgage modification program aimed at stemming the tide of rising, </B></FONT><FONT face=sans-serif size=2><B>record foreclosures</B> </FONT><FONT face=sans-serif size=2>in the United States, which included a 24% year-over-year increase in foreclosure filings in first quarter 2009. Under the plan, which could help an estimated three to four million homeowners, the Treasury will pay six of the nation&#146;s largest mortgage service companies a $1,000 one-time fee each time they reduce a homeowner&#146;s mortgage payments to 38% of his or her income for five years. The Treasury would then subsidize further homeowner payments down to 31% of income. Further, these mortgage servicers will receive as much as $1,000 per year for as many as three years, if a borrower stays current in the program. Homeowners who maintain their standing in the program are also eligible to receive up to $1,000 a year f
or five years to be used to reduce loan principals.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>Did you incorporate any additional changes in strategy during the period?</B></FONT></P>
<P align=left><FONT face=sans-serif size=2>Yes, with the intent of decreasing the fund&#146;s price volatility, we have been reducing the overall level of commercial mortgage assets in the fund, and shifting to short-duration commercial mortgages and residential mortgages. Within the residential mortgage area, we have recently emphasized hybrid ARMs [combining features of both fixed-rate and adjustable-rate mortgages] and Alt-A mortgages [considered more risky than prime mortgages but higher quality than subprime] at what we feel are very depressed prices. We believe both types of residential mortgages were unfairly punished by the market during </FONT><FONT face=sans-serif size=2>the most intense periods of market illiquidity over the past 18 months. And it&#146;s very important to note that we are making these investments on the basis of our calculation that even if the current bad economic situation worsens considerably, we will still receive the proper cash flows from these securities.</FONT></P>
<P align=left><FONT face=sans-serif size=1>10</FONT></P>
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<P align=left><FONT face=sans-serif size=2><B>Bill, what is your outlook for the economy, the credit markets, and the fund over the next several months?</B></FONT></P>
<P align=left><FONT face=sans-serif size=2>Obviously, the seismic changes in today&#146;s financial landscape make it difficult to formulate a strong call concerning the magnitude of the economic impact. Further deterioration in growth is a distinct possibility. However, we believe that some potential bad economic news is already &#147;priced into&#148; the financial markets, and that markets are often ahead of the fundamental economic story in anticipating the future direction of the economy, positive or negative.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Because it is impossible to predict even the short-term economic future, we are focusing on cash flows. That is, we are looking to invest in bonds that will produce steady returns even if a bad U.S. economy gets significantly worse. We are also emphasizing shorter duration and high quality. At the same time, though we expect market volatility to persist, we think that the level of value in the bond market is so high it is off the charts. For the first time in more than 15 years, double-digit yields are available from fixed-income instruments during a period when inflation is still very low. To us, the potential returns from a select mix of credit instruments are extremely attractive.</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=sans-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=sans-serif size=2>Please note that the holdings discussed in this report may not have been held by the fund for the entire period. Portfolio composition is subject to review in accordance with the fund&#146;s investment strategy and may vary in the future. Current and future portfolio holdings are subject to risk.</FONT></I></P>
<P align=left><FONT face=sans-serif size=1>11</FONT></P>
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<P align=left><FONT face=sans-serif size=4>Your fund&#146;s performance</FONT></P>
<P align=left><FONT face=sans-serif size=2>This section shows your fund&#146;s performance for periods ended March 31, 2009, the end of the first half of its current fiscal year. Performance should always be considered in light of a fund&#146;s investment strategy. Data represents past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return, net asset value, and market price will fluctuate, and you may have a gain or a loss when you sell your shares.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Fund performance </FONT></B><FONT face=sans-serif size=2>Total return for periods ended 3/31/09</FONT></P>
<TABLE cellSpacing=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</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Life of fund (since 4/29/88)</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>5.33%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>4.92%</FONT>&nbsp;</TD></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>20.03</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>29.46</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>1.84</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>2.62</FONT>&nbsp;</TD></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>&#150;14.95</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>&#150;11.32</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>&#150;3.19</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>&#150;2.37</FONT>&nbsp;</TD></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>&#150;22.09</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>&#150;10.61</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>&#150;7.98</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>&#150;3.67</FONT>&nbsp;</TD></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;27.77</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>&#150;22.75</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 months</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>&#150;21.69</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>&#150;15.36</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 3/31/09</FONT></P>
<TABLE cellSpacing=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=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&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><FONT face=sans-serif size=1>Barclays Capital</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>Citigroup Non-U.S.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>Government/Credit </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>World Government</FONT>&nbsp;&nbsp;&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>JPMorgan Global</FONT></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>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>7.29%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>6.63%</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>5.10%</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>10 years</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>73.03</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>70.62</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>34.27%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>40.53</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>5.64</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>5.49</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>2.99</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>3.23</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>20.16</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>24.01</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>&#150;0.37</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>&#150;1.12</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>3.74</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>4.40</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>&#150;0.07</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>&#150;0.33</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>17.31</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>23.95</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>&#150;13.42</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>&#150;10.57</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>5.47</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>7.42</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>&#150;4.69</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>&#150;3.78</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>1.78</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>&#150;6.43</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>&#150;20.05</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>&#150;18.72</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>6 months</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>5.06</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>2.56</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>&#150;14.61</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>&#150;12.32</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's monthly reinvestment NAV.</FONT></P>
<P align=left><FONT face=sans-serif size=1>* Over the 6-month, 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 3/31/09, there were 6, 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><FONT face=sans-serif size=1>12</FONT></P>
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<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 six-month period ended 3/31/09</FONT></P>
<TABLE cellSpacing=0 width="80%" border=0>
<TR>
     <TD width="33%"></TD>
     <TD width="33%"></TD>
     <TD width="33%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Distributions</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>Number</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>6</FONT></TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Income</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$0.270</FONT></TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Capital gains</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>&#151;</FONT></TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$0.270</FONT></TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Share value</FONT>&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>9/30/08</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$5.88</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$5.39</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
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     <TD noWrap align=left><FONT face=sans-serif size=1>3/31/09</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>4.32</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>4.28</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Current yield (end of period)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Current dividend rate*</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>12.50%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>12.62%</FONT>&nbsp;</TD></TR>
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</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=4>Your fund&#146;s management</FONT></P>
<P align=left><FONT face=sans-serif size=2>In addition to D. William Kohli, your fund&#146;s Portfolio Managers are Michael Atkin, Rob Bloemker, Kevin Murphy, and Paul Scanlon.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Portfolio management fund ownership</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>The following table shows how much the fund&#146;s current Portfolio Managers have invested in the fund and in all Putnam mutual funds (in dollar ranges). Information shown is as of March 31, 2009, and March 31, 2008.</FONT></P>
<IMG src="mastintmedinctrustx14x1.jpg" border=0>
<BR>
<P align=left><FONT face=sans-serif size=1>13</FONT></P>
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<P align=left><B><FONT face=sans-serif size=2>Trustee and Putnam employee fund ownership</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>As of March 31, 2009, 12 of the 14 Trustees of the Putnam funds owned fund shares. The following table 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>
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     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Assets in the fund</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Total assets in all Putnam funds</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Trustees</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$22,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$30,000,000</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Putnam employees</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$2,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$319,000,000</FONT>&nbsp;</TD></TR>
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<P align=left><B><FONT face=sans-serif size=2>Other Putnam funds managed by the Portfolio Managers</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>D. William Kohli is also a Portfolio Manager of Putnam Absolute Return 100 Fund, Putnam Absolute Return 300 Fund, Putnam Diversified Income Trust, Putnam Global Income Trust, and Putnam Premier Income Trust.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Michael Atkin is also a Portfolio Manager of Putnam Diversified Income Trust, Putnam Global Income Trust, and Putnam Premier Income Trust.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Rob Bloemker is also a Portfolio Manager of Putnam Absolute Return 100 Fund, Putnam Absolute Return 300 Fund, Putnam American Government Income Fund, Putnam Diversified Income Trust, Putnam Global Income Trust, Putnam Income Fund, Putnam Premier Income Trust, and Putnam U.S. Government Income Trust.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Kevin Murphy is also a Portfolio Manager of Putnam Absolute Return 100 Fund, Putnam Absolute Return 300 Fund, Putnam Diversified Income Trust, Putnam Income Fund, and Putnam Premier Income Trust.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Paul Scanlon is also a Portfolio Manager of Putnam Absolute Return 100 Fund, Putnam Absolute Return 300 Fund, Putnam Diversified Income Trust, Putnam Floating Rate Income Fund, Putnam High Yield Advantage Fund, Putnam High Yield Trust, and Putnam Premier Income Trust.</FONT></P>
<P align=left><FONT face=sans-serif size=2>D. William Kohli, Michael Atkin, Rob Bloemker, Kevin Murphy, and Paul Scanlon may also manage other accounts and variable trust funds advised by Putnam Management or an affiliate.</FONT></P>
<P align=left><FONT face=sans-serif size=1>14</FONT></P>
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<P align=left><FONT face=sans-serif size=4>Terms and definitions</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Important terms</FONT></B></P>
<P align=left><FONT face=sans-serif size=2><B>Total return</B> </FONT><FONT face=sans-serif size=2>shows how the value of the fund&#146;s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>Net asset value (NAV)</B> </FONT><FONT face=sans-serif size=2>is the value of all your fund&#146;s assets, minus any liabilities, divided by the number of outstanding shares.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>Market price</B> </FONT><FONT face=sans-serif size=2>is the current trading price of one share of the fund. Market prices are set by transactions between buyers and sellers on exchanges such as the New York Stock Exchange.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>Current yield</B> </FONT><FONT face=sans-serif size=2>is the annual rate of return earned from dividends or interest of an investment. Current yield is expressed as a percentage of the price of a security, fund share, or principal investment.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Comparative indexes</FONT></B></P>
<P align=left><FONT face=sans-serif size=2><B>Barclays Capital Aggregate Bond Index</B> </FONT><FONT face=sans-serif size=2>is an unmanaged index of U.S. investment-grade fixed-income securities.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>Barclays Capital Government/Credit Bond Index</B> </FONT><FONT face=sans-serif size=2>is an unmanaged index of U.S. Treasuries, agency securities, and investment-grade corporate bonds.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>Citigroup Non-U.S. World Government Bond Index</B> </FONT><FONT face=sans-serif size=2>is an unmanaged index generally considered to be representative of the world bond market excluding the United States.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>JPMorgan Global High Yield Index</B> </FONT><FONT face=sans-serif size=2>is an unmanaged index of global high-yield fixed-income securities.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>Merrill Lynch U.S. 3-Month Treasury Bill Index</B> </FONT><FONT face=sans-serif size=2>is an unmanaged index that seeks to measure the performance of U.S. Treasury bills available in the marketplace.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>S&amp;P 500 Index</B> </FONT><FONT face=sans-serif size=2>is an unmanaged index of common stock performance.</FONT></P>
<P align=left><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><FONT face=sans-serif size=2><B>Lipper </B></FONT><FONT face=sans-serif size=2>is a third-party industry-ranking entity that ranks mutual funds. Its rankings do not reflect sales charges. Lipper rankings are based on total return at net asset value relative to other funds that have similar current investment styles or objectives as determined by Lipper. Lipper may change a fund&#146;s category assignment at its discretion. Lipper category averages reflect performance trends for funds within a category.</FONT></P>
<P align=left><FONT face=sans-serif size=1>15</FONT></P>
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<P align=left><FONT face=sans-serif size=4>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=sans-serif size=2>The Board of Trustees of the Putnam funds oversees the management of each fund and, as required by law, determines annually whether to approve the continuance of your fund&#146;s management contract with Putnam Investment Management (&#147;Putnam Management&#148;) and the sub-management contract, 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 an
d other 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=sans-serif size=2>The Independent Trustees&#146; approval was based on the following conclusions:</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; </FONT><FONT face=sans-serif size=2>That the fee schedule in effect for your fund represented reasonable compensation in light of the nature and quality of the services being provided to the fund, the fees paid by competitive funds and the costs incurred by Putnam Management in providing such services, and</FONT></P>
<P align=left><FONT face=sans-serif size=2>&#149; </FONT><FONT face=sans-serif size=2>That this fee schedule represented an appropriate sharing between fund shareholders and Putnam Management of such economies of scale as may exist in the management of the fund at current asset levels.</FONT></P>
<P align=left><FONT face=sans-serif size=2>These conclusions were based on a comprehensive consideration of all information provided to the Trustees, 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
 prior 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=sans-serif size=2>The Trustees reviewed the management fee schedules in effect for all Putnam funds, including fee levels and breakpoints, and the assignment of funds to particular fee categories. In reviewing fees and expenses, the Trustees generally focused their attention</FONT></P>
<P align=left><FONT face=sans-serif size=1>16</FONT></P>
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<P align=left><FONT face=sans-serif size=2>on material changes in circumstances &#151; for example, changes in a fund&#146;s size or investment style, changes in Putnam Management&#146;s operating costs or responsibilities, or changes in competitive practices in the mutual fund industry &#151; that suggest that consideration of fee changes might be warranted. The Trustees concluded that the circumstances did not warrant changes to the management fee structure of your fund, which had been carefully developed over the years, re-examined on many occasions and adjusted where appropriate. 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=sans-serif size=2>&#149; </FONT><B><FONT face=sans-serif size=2>Competitiveness. </FONT></B><FONT face=sans-serif size=2>The Trustees reviewed comparative fee and expense information for competitive funds, which indicated that, in a custom peer group of competitive funds selected by Lipper Inc., your fund ranked in the 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=sans-serif size=2>&#149; </FONT><B><FONT face=sans-serif size=2>Economies of scale. </FONT></B><FONT face=sans-serif size=2>The Trustees considered that most Putnam funds currently have the benefit of breakpoints in their management fees that provide shareholders with signifi-cant economies of scale, which means that the effective management fee rate of a fund (as a percentage of fund assets) declines as a fund grows in size and crosses specified asset thresholds. Conversely, as a fund shrinks in size &#151; as has been the case for many Putnam funds in recent years &#151; these breakpoints result in increasing fee levels. In recent years, the Trustees have examined the operation of the </FONT><FONT face=sans-serif size=2>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=sans-serif size=2>In connection with their review of the management fees and total expenses of the Putnam funds, the Trustees also reviewed the costs of the services to be provided and profits to be realized by Putnam Management and its affiliates from the relationship with the funds. This information included trends in revenues, expenses and profitability of Putnam Management and its affiliates relating to the investment management and distribution services provided to the funds. In this regard, the Trustees also reviewed an analysis of Putnam Management&#146;s revenues, expenses and profitability with respect to the funds&#146; management contracts, allocated on a fund-by-fund basis.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Investment performance</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>The quality of the investment process provided by Putnam Management represented a major factor in the Trustees&#146; evaluation of the quality of services provided by Putnam Management under your fund&#146;s management contract. The Trustees were assisted in their review of the Putnam funds&#146; investment process and performance by the work of the Investment 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 fa
vorable investment results for</FONT></P>
<P align=left><FONT face=sans-serif size=1>17</FONT></P>
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<P align=left><FONT face=sans-serif size=2>every fund in every time period. The Trustees considered the investment performance of each fund over multiple time periods and considered information comparing each fund&#146;s performance with various benchmarks and with the performance of competitive funds.</FONT></P>
<P align=left><FONT face=sans-serif size=2>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 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 effectivenes
s of these efforts and to evaluate whether additional changes to address areas of underperformance are warranted.</FONT></P>
<P align=left><FONT face=sans-serif size=2>In the case of your fund, the Trustees considered that your fund&#146;s common share cumulative total return performance at net asset value was in the following percentiles of its Lipper Inc. peer group (Lipper Flexible Income Funds (closed-end)) for the one-year, three-year </FONT><FONT face=sans-serif size=2>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 width="80%" border=0>
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     <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>
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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>
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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>
     <TD noWrap align=right></TD></TR>
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     <TD></TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>(Because of the passage of time, these performance results may differ from the performance results for more recent periods shown elsewhere in this report.) Over the one-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=sans-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><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 March 31, 2009, were 86%, 86%, and 84%, respectively. Over the one-year, five-year, and ten-year periods ended March 31, 2009, your fund ranked 6th out of 6, 6th out of 6, and 5th 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=1>18</FONT></P>
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<P align=left><B><FONT face=sans-serif size=2>Brokerage and soft-dollar allocations;</FONT></B><BR>
<B><FONT face=sans-serif size=2>other benefits</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>The Trustees considered various potential bene-fits 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 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=sans-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 </FONT><FONT face=sans-serif size=2>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 institutional</FONT></B><BR>
<B><FONT face=sans-serif size=2>fee schedules</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>The information examined by the Trustees as part of their annual contract review has included for many years information regarding fees charged by Putnam Management and its affiliates to institutional clients such as defined benefit pension plans, college endowments, etc. This information included 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 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 on 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=1>19</FONT></P>
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<P align=left><FONT face=sans-serif size=4>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=sans-serif size=2>In September 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>Important notice regarding delivery</FONT></B><BR>
<B><FONT face=sans-serif size=2>of shareholder documents</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>In accordance with SEC regulations, Putnam sends a single copy of annual and semiannual shareholder reports, prospectuses, and proxy statements to Putnam shareholders who share the same address, unless a shareholder requests otherwise. If you prefer to receive your own copy of these documents, please call Putnam at 1-800-225-1581, and Putnam will begin sending individual copies within 30 days.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Proxy voting</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds&#146; proxy voting guidelines and </FONT><FONT face=sans-serif size=2>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 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=sans-serif size=2>The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Shareholders may obtain the fund&#146;s Forms N-Q on the SEC&#146;s Web site at www.sec.gov. In addition, the fund&#146;s Forms N-Q may be reviewed and copied at the SEC&#146;s Public Reference Room in Washington, D.C. You may call the SEC at 1-800-SEC-0330 for information about the SEC&#146;s Web site or the operation of the Public Reference Room.</FONT></P>
<P align=left><FONT face=sans-serif size=1>20</FONT></P>
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<P align=left><FONT face=sans-serif size=4>Financial statements</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>A guide to financial statements</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>These sections of the report, as well as the accompanying Notes, constitute the fund&#146;s financial statements.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>The fund&#146;s portfolio</B> </FONT><FONT face=sans-serif size=2>lists all the fund&#146;s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>Statement of assets and liabilities</B> </FONT><FONT face=sans-serif size=2>shows how the fund&#146;s net assets and share price are determined. All investment and noninvest-ment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>Statement of operations</B> </FONT><FONT face=sans-serif size=2>shows the fund&#146;s net investment gain or loss. This is done by first adding up all the fund&#146;s earnings &#151; from dividends and interest income &#151; and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings &#151; as well as any unrealized gains </FONT><FONT face=sans-serif size=2>or losses over the period &#151; is added to or subtracted from the net investment result to determine the fund&#146;s net gain or loss for the fiscal period.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>Statement of changes in net assets</B> </FONT><FONT face=sans-serif size=2>shows how the fund&#146;s net assets were affected by the fund&#146;s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund&#146;s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund&#146;s fiscal year.</FONT></P>
<P align=left><FONT face=sans-serif size=2><B>Financial highlights</B> </FONT><FONT face=sans-serif size=2>provide an overview of the fund&#146;s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlight table also includes the current reporting period.</FONT></P>
<P align=left><FONT face=sans-serif size=1>21</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>3/31/09 (Unaudited)</FONT></P>
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     <TD noWrap align=left><FONT face=sans-serif size=1>MORTGAGE-BACKED SECURITIES (37.8%)*</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>&nbsp;<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>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Banc of America Alternative Loan Trust Ser. 06-7, Class A2,</FONT>&nbsp;</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>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>$1,618,277</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Banc of America Commercial 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>242,880</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-3, Class A2, 5.658s, 2049</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,568,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,299,268</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-3, Class A3, 5.837s, 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>107,936</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>414,104</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>1,022,830</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-5, Class XW, Interest Only (IO), 0.44s, 2051</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>112,797,849</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,874,450</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Banc of America Commercial 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>32,600</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>140,413</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Banc of America Funding Corp. FRB Ser. 06-D, Class 6A1,</FONT>&nbsp;</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>5.948s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,829,598</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,329,911</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Banc of America Large Loan 144A 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>
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     <TD noWrap align=left><FONT face=sans-serif size=1>2.556s, 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>331,803</FONT>&nbsp;</TD></TR>
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<HR noShade SIZE=1>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Bayview Commercial 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>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-1, Class S, IO, 2.477s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,808,438</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>227,745</FONT>&nbsp;</TD></TR>
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     <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>983,379</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>73,163</FONT>&nbsp;</TD></TR>
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     <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>2,121,441</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>891,358</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-6, Class 2A1, 5.891s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,023,505</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>466,351</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Bear Stearns Commercial Mortgage Securities, Inc. FRB</FONT>&nbsp;</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>Ser. 00-WF2, Class F, 8.186s, 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>231,031</FONT>&nbsp;</TD></TR>
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<HR noShade SIZE=1>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Bear Stearns Commercial Mortgage 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, 0.095s, 2050</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>62,512,571</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>363,654</FONT>&nbsp;</TD></TR>
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<HR noShade SIZE=1>
</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Broadgate Financing PLC sec. FRB Ser. D, 3.57s, 2023</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
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     <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>353,875</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>126,900</FONT>&nbsp;</TD></TR>
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<HR noShade SIZE=1>
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     <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>
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     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-AR5, Class 2A5A, 6.198s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,364,180</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>700,673</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-6, Class 2A5, IO, 6.128s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,686,533</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>130,706</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-10, Class 1A5A, 5.834s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>376,198</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>199,159</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-AR7, Class 2A2A, 5.645s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>235,358</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>89,436</FONT>&nbsp;</TD></TR>
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<HR noShade SIZE=1>
</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Citigroup/Deutsche Bank Commercial Mortgage 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-CD5, Class XS, IO, 0.077s, 2044</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>36,589,698</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>128,005</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 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, 0.656s, 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>250,888</FONT>&nbsp;</TD></TR>
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<HR noShade SIZE=1>
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     <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>IFB Ser. 04-2CB, Class 1A5, IO, 7.078s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,625,703</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>93,478</FONT>&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>859,153</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>450,518</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>2,198,875</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,153,035</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>1,756,449</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,125,294</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</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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, 5.675s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>44,694</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>20,559</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-HYB1, Class 1A1, 5.316s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>287,656</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>133,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-HYB4, Class 2A1, 4.895s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,599,581</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,345,786</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 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>5.43s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,042,607</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>207,753</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>22</FONT></P>
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<A name="page_24"></A>
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     <TD width="61%"></TD>
     <TD width="8%"></TD>
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     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>MORTGAGE-BACKED SECURITIES (37.8%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=right colSpan=2><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 height=20>
     <TD noWrap align=left colSpan=4>
<HR noShade SIZE=1>
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<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>Ser. 07-3, Class 1A1A, 5.837s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$597,128</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$289,607</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-C4, Class A2, 5.81s, 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>617,101</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>8,400,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,023,098</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 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>1.122s, 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>138,050</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>CS First Boston Mortgage 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>483,000</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>17,187</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-TFLA, Class L, 2.406s, 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>349,500</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>Deutsche Mortgage &amp; Asset Receiving Corp. Ser. 98-C1, Class X,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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, 0.344s, 2031</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,741,573</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>54,206</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. Ser. 98-CF2, Class B4,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.04s, 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>157,571</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 Ser. 22A, Class D, 3.043s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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 (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>507,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>145,448</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>European Prime Real Estate PLC 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>3.019s, 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>270,817</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>77,692</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, 50.389s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$201,182</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>301,379</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-62, Class PS, 36.769s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>611,825</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>871,715</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-W7, Class 1A4, 36.049s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>554,242</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>709,430</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-104, Class GS, 31.905s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>309,587</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>403,153</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-115, Class NQ, 22.98s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>247,753</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>288,918</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-74, Class CP, 22.836s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>426,069</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>476,810</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-8, Class WK, 22.653s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,171,101</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,484,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-99, Class SA, 22.653s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>496,073</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>619,243</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-95, Class OP, 18.743s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>322,154</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>380,447</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-74, Class CS, 18.585s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>485,757</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>591,837</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-95, Class CP, 18.306s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>70,546</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>81,991</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-83, Class QP, 16.037s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>177,046</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>188,518</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>71,282</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,098</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=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>72,443</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,320</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=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>74,833</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,669</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-W6, Class 6A2, IO, 7.278s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>892,642</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>82,569</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-90, Class SE, IO, 7.278s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,147,952</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>235,914</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 04-51, Class XP, IO, 7.178s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,020,191</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>170,848</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 03-66, Class SA, IO, 7.128s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>845,863</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>76,026</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-7, Class SA, IO, 7.028s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,321,309</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>522,477</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=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>77,018</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,623</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-W6, Class 5A2, IO, 6.768s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,381,968</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>120,922</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-W2, Class 3A2, IO, 6.758s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,226,882</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>107,352</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-115, Class BI, IO, 6.738s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,121,952</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>89,742</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-113, Class AI, IO, 6.708s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>680,159</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>53,688</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-125, Class SM, IO, 6.678s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,026,994</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>88,531</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-58, Class SQ, IO, 6.678s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,269,611</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>167,792</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-36, Class YI, IO, 6.678s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,588,922</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>145,202</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-43, Class SU, IO, 6.678s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>365,846</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>33,062</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-24, Class QS, IO, 6.678s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>895,777</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>102,002</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-60, Class SI, IO, 6.628s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,173,142</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>319,817</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-60, Class UI, IO, 6.628s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>542,625</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>41,072</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 04-24, Class CS, IO, 6.628s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>340,272</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>26,788</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>23</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
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     <TD noWrap align=left><FONT face=sans-serif size=1>MORTGAGE-BACKED SECURITIES (37.8%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&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 height=20>
     <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-W7, Class 3A2, IO, 6.608s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,536,932</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$143,734</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-60, Class DI, IO, 6.548s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,595,689</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>116,495</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 03-130, Class BS, IO, 6.528s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,149,407</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>199,983</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>85,166</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,312</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>389,047</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>36,230</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>65,373</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,678</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 03-34, Class WS, IO, 6.478s, 2029</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,041,457</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>161,106</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-20, Class SA, IO, 6.468s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>587,507</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>49,444</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-10, Class LI, IO, 6.458s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,068,534</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>212,611</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-41, Class S, IO, 6.278s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,100,952</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>162,331</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-39, Class LI, IO, 6.248s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,333,963</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>202,145</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-23, Class SI, IO, 6.248s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>335,527</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>24,613</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-54, Class CI, IO, 6.238s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,035,050</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>98,984</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-39, Class PI, IO, 6.238s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>852,568</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>62,401</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-42, Class SD, IO, 6.238s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>308,564</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>20,294</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-28, Class SE, IO, 6.228s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>208,646</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,787</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-22, Class S, IO, 6.228s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>15,013,382</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,388,192</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-128, Class SH, IO, 6.228s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>930,894</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>70,565</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-79, Class SI, IO, 6.228s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>601,277</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>56,993</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-90, Class SP, IO, 6.228s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>585,293</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>53,986</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-12, Class SC, IO, 6.228s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>734,978</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>77,476</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-W5, Class 2A2, IO, 6.218s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>517,716</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>42,480</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-30, Class IE, IO, 6.218s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,618,969</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>370,652</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-123, Class CI, IO, 6.218s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,077,063</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>195,481</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-123, Class UI, IO, 6.218s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,003,452</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>190,104</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-45, Class EW, IO, 6.198s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>564,767</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>43,339</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-15, Class BI, IO, 6.178s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,351,798</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>296,493</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-126, Class CS, IO, 6.178s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,425,903</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>116,957</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-16, Class SM, IO, 6.178s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,030,025</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>224,645</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-95, Class CI, IO, 6.178s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,138,824</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>122,572</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-84, Class SG, IO, 6.178s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,878,389</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>164,102</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-57, Class NI, IO, 6.178s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>471,359</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>33,343</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-29, Class SX, IO, 6.178s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>774,594</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>56,368</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-57, Class DI, IO, 6.178s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>821,693</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>66,406</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 04-92, Class S, IO, 6.178s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,752,147</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>208,084</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-104, Class EI, IO, 6.168s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,047,307</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>91,118</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-83, Class QI, IO, 6.168s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>314,635</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>26,295</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-128, Class GS, IO, 6.158s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,152,037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>107,364</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-114, Class IS, IO, 6.128s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,026,176</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>84,439</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-116, Class ES, IO, 6.128s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>171,770</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,772</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 04-92, Class SQ, IO, 6.128s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,143,391</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>112,582</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-115, Class IE, IO, 6.118s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>793,245</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>66,901</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-117, Class SA, IO, 6.118s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,193,941</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>99,232</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-121, Class SD, IO, 6.118s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>131,942</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11,691</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-109, Class SG, IO, 6.108s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>311,814</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>25,971</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-104, Class SY, IO, 6.098s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>279,312</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>20,490</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-109, Class SH, IO, 6.098s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>979,277</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>111,342</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-111, Class SA, IO, 6.098s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,479,351</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>611,074</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-W6, Class 4A2, IO, 6.078s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,790,898</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>506,704</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-128, Class SC, IO, 6.078s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,225,317</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>103,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-43, Class SI, IO, 6.078s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,115,130</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>176,590</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>24</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
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     <TD noWrap align=left><FONT face=sans-serif size=1>MORTGAGE-BACKED SECURITIES (37.8%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&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 height=20>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
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<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. 06-8, Class JH, IO, 6.078s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$3,974,760</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$355,264</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-122, Class SG, IO, 6.078s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>937,439</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>93,041</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-101, Class SA, IO, 6.058s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,551,081</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>212,786</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-92, Class LI, IO, 6.058s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,182,232</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>98,039</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-99, Class AS, IO, 6.058s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>331,307</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>30,827</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-17, Class SI, IO, 6.058s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>941,141</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>79,935</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-98, Class SQ, IO, 6.048s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,698,389</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>925,664</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-60, Class YI, IO, 6.048s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,889,641</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>277,348</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-85, Class TS, IO, 6.038s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,659,847</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>196,257</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-75, Class PI, IO, 6.018s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,286,755</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>96,011</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>86,960</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,736</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>444,247</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>40,538</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>392,973</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>35,859</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>352,726</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>34,832</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>625,319</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>57,842</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>608,994</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>60,138</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>519,235</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>51,274</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>769,703</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>73,603</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>370,181</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>34,936</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>84,051</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,406</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>79,176</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,830</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>69,759</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,955</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-88, Class MI, IO, 5.998s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>473,922</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>42,410</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-103, Class AI, IO, 5.978s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,768,619</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>459,413</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-15, Class NI, IO, 5.978s, 2022</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,854,965</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>143,494</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-106, Class SM, IO, 5.938s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,998,976</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>221,777</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-3, Class SC, IO, 5.928s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,320,493</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>218,815</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-109, Class XI, IO, 5.928s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>845,724</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>76,926</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-109, Class YI, IO, 5.928s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,248,379</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>90,686</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-W8, Class 2A2, IO, 5.928s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,100,313</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>132,815</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-88, Class JI, IO, 5.928s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,492,619</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>124,238</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-79, Class SH, IO, 5.928s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,860,505</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>196,095</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-54, Class KI, IO, 5.918s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>643,409</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>50,545</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-30, Class JS, IO, 5.918s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,296,526</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>207,864</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-30, Class LI, IO, 5.918s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,235,156</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>181,852</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-14, Class ES, IO, 5.918s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,180,853</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>84,678</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-W2, Class 1A2, IO, 5.908s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>949,348</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>74,856</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-106, Class SN, IO, 5.888s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,230,838</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>89,328</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-54, Class IA, IO, 5.888s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,139,862</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100,804</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-54, Class IB, IO, 5.888s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,139,862</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100,804</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-54, Class IC, IO, 5.888s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,139,862</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100,804</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-54, Class ID, IO, 5.888s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,139,862</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100,804</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-54, Class IE, IO, 5.888s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,139,862</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100,804</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-54, Class IF, IO, 5.888s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,818,371</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>147,706</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-54, Class NI, IO, 5.888s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,017,013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>76,127</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-54, Class UI, IO, 5.888s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,710,678</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>153,841</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-91, Class AS, IO, 5.878s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>829,497</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>62,475</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-91, Class HS, IO, 5.878s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>893,585</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>77,211</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-15, Class CI, IO, 5.858s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,867,188</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>342,033</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-115, Class JI, IO, 5.858s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,780,459</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>227,856</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-109, Class PI, IO, 5.828s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,404,767</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>111,609</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>25</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
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     <TD noWrap align=left><FONT face=sans-serif size=1>MORTGAGE-BACKED SECURITIES (37.8%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&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>
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     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
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<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. 06-123, Class LI, IO, 5.798s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,869,964</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$140,584</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-1, Class NI, IO, 5.728s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,512,071</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>219,732</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-10, Class GI, IO, 5.708s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,458,969</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>109,135</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-13, Class SA, IO, 5.698s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,912,481</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>422,660</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-39, Class AI, IO, 5.598s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,106,651</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>151,173</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-32, Class SD, IO, 5.588s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,355,459</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100,653</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-30, Class UI, IO, 5.578s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,113,153</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100,380</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-32, Class SC, IO, 5.578s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,921,847</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>160,951</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-1, Class CI, IO, 5.578s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,284,817</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>106,333</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-14, Class SE, IO, 5.528s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>946,978</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>67,302</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>706,646</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>69,781</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>644,302</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>63,625</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>975,261</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>83,882</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>619,803</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>62,755</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>555,495</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>52,078</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>548,412</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>51,414</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>402,284</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>39,726</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>379,568</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>37,482</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 04-46, Class PJ, IO, 5.478s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>906,095</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>79,490</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-1, Class BI, IO, 5.388s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,836,880</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>256,415</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-75, Class ID, IO, 5.348s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,311,912</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>106,586</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 03-W17, Class 12, IO, 1.143s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,929,873</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>45,399</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 06-26, Class NB, 1s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>213,816</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>190,274</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 03-W10, Class 3A, IO, 0.631s, 2043</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,152,620</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>38,040</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 03-W10, Class 1A, IO, 0.593s, 2043</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,682,499</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>26,690</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 02-T18, IO, 0.513s, 2042</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,302,682</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>57,599</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>81,435</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 06-47, Class VO, Principal Only (PO), zero %, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>92,552</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>87,722</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 05-103, Class OA, PO, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>207,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>183,428</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 08-37, Class DO, PO, zero %, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>316,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>273,849</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 04-61, Class JO, PO, zero %, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>230,663</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>216,310</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 326, Class 1, PO, zero %, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>207,060</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>190,198</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 318, Class 1, PO, zero %, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>77,842</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>71,745</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 314, Class 1, PO, zero %, 2031</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>372,818</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>344,854</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 99-51, Class N, PO, zero %, 2029</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>52,578</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>46,473</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-91, Class EF, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>75,792</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>69,822</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-54, Class CF, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>107,026</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>105,367</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-77, Class HF, zero %, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>153,024</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>145,116</FONT>&nbsp;</TD></TR>
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<HR noShade SIZE=1>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Federal Home Loan Mortgage Corp. Structured</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>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>IFB Ser. T-56, Class 2ASI, IO, 7.578s, 2043</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>653,836</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>60,071</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. T-57, Class 1AX, IO, 0.447s, 2043</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,769,599</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,758</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>FFCA Secured Lending Corp. 144A Ser. 00-1, 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>1.248s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,898,527</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>108,964</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>First Chicago Lennar Trust 144A Ser. 97-CHL1, Class E, 8s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>270,491</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>260,980</FONT>&nbsp;</TD></TR>
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<HR noShade SIZE=1>
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     <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. 3182, Class SP, 26 3/8s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>402,933</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>417,390</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3211, Class SI, IO, 25.327s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>303,726</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>132,169</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 2979, Class AS, 22.234s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>182,067</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>217,241</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3184, Class SP, IO, 6.794s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,571,504</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>141,008</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3345, Class SI, IO, 6.764s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,682,399</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>269,313</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>26</FONT></P>
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     <TD noWrap align=left><FONT face=sans-serif size=1>MORTGAGE-BACKED SECURITIES (37.8%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&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>
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     <TD noWrap align=left colSpan=3>
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     <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. 2882, Class LS, IO, 6.644s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$727,351</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$65,032</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3200, Class SB, IO, 6.594s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,202,250</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>98,584</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3149, Class SE, IO, 6.594s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>964,496</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>89,457</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3203, Class SH, IO, 6.584s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>914,421</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>92,669</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 2594, Class SE, IO, 6.494s, 2030</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>315,225</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>16,317</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 2828, Class TI, IO, 6.494s, 2030</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>570,551</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>50,291</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3397, Class GS, IO, 6.444s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>752,462</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>62,075</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3297, Class BI, IO, 6.204s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,650,650</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>319,425</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3287, Class SD, IO, 6.194s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,239,932</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>107,377</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3281, Class BI, IO, 6.194s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>646,379</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>51,320</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3281, Class CI, IO, 6.194s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>710,868</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>56,214</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3249, Class SI, IO, 6.194s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>592,315</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>56,813</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3028, Class ES, IO, 6.194s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,902,752</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>204,042</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3042, Class SP, IO, 6.194s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>947,243</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>80,185</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3236, Class ES, IO, 6.144s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100,318</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,446</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3136, Class NS, IO, 6.144s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>738,893</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>70,154</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 2950, Class SM, IO, 6.144s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>474,868</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>34,274</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3256, Class S, IO, 6.134s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,749,510</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>146,589</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3031, Class BI, IO, 6.134s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>620,443</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>57,017</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3370, Class TS, IO, 6.114s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,552,489</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>304,459</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3244, Class SB, IO, 6.104s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>927,651</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>70,020</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3244, Class SG, IO, 6.104s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,088,598</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>93,319</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3236, Class IS, IO, 6.094s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,796,607</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>133,972</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3033, Class SG, IO, 6.094s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>766,313</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>62,862</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3114, Class TS, IO, 6.094s, 2030</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,542,875</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>279,058</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3128, Class JI, IO, 6.074s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>340,419</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>30,318</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3240, Class S, IO, 6.064s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,179,458</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>273,694</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3229, Class BI, IO, 6.064s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>106,881</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,833</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3065, Class DI, IO, 6.064s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>479,357</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>46,561</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3210, Class S, IO, 6.044s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>280,145</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>16,893</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3145, Class GI, IO, 6.044s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>279,979</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>26,336</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3510, Class IB, IO, 6.044s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,185,167</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>138,368</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3218, Class AS, IO, 6.024s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,023,698</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>79,514</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3221, Class SI, IO, 6.024s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,445,055</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>113,227</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3153, Class UI, IO, 6.014s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,009,983</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>133,939</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3424, Class XI, IO, 6.014s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,818,774</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>137,363</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3485, Class SI, IO, 5.994s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>643,784</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>59,041</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3202, Class PI, IO, 5.984s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,068,747</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>328,482</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3355, Class MI, IO, 5.944s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>891,586</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>64,546</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3201, Class SG, IO, 5.944s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,873,637</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>156,599</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3203, Class SE, IO, 5.944s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,659,213</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>134,396</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3238, Class LI, IO, 5.934s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>908,518</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>72,136</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3171, Class PS, IO, 5.929s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,290,157</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>118,234</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3152, Class SY, IO, 5.924s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,992,847</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>260,976</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3510, Class DI, IO, 5.924s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,902,382</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>160,694</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3181, Class PS, IO, 5.914s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>826,747</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>74,416</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3366, Class SA, IO, 5.894s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,675,255</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>139,679</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3284, Class BI, IO, 5.894s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,057,060</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>81,859</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3260, Class SA, IO, 5.894s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>911,877</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>61,347</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3199, Class S, IO, 5.894s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,588,948</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>169,680</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3284, Class LI, IO, 5.884s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,026,642</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>256,762</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>27</FONT></P>
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     <TD noWrap align=left><FONT face=sans-serif size=1>MORTGAGE-BACKED SECURITIES (37.8%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&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 height=20>
     <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. 3281, Class AI, IO, 5.874s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$3,909,416</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$317,210</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3261, Class SA, IO, 5.874s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>871,328</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>71,466</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3311, Class EI, IO, 5.854s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,142,207</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>88,646</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3311, Class IA, IO, 5.854s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,719,649</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>141,665</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3311, Class IB, IO, 5.854s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,719,649</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>141,665</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3311, Class IC, IO, 5.854s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,719,649</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>141,665</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3311, Class ID, IO, 5.854s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,719,649</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>141,665</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3311, Class IE, IO, 5.854s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,595,557</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>213,822</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3311, Class PI, IO, 5.854s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,244,713</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>97,666</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3265, Class SC, IO, 5.854s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>609,844</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>44,756</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3375, Class MS, IO, 5.844s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,534,744</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>395,219</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3240, Class GS, IO, 5.824s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,942,219</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. 3257, Class SI, IO, 5.764s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>835,381</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>64,373</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3225, Class JY, IO, 5.734s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,630,534</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>296,204</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3416, Class BI, IO, 5.694s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,613,225</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>301,581</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3502, Class DS, IO, 5.594s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>665,477</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>48,934</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3339, Class TI, IO, 5.584s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,000,262</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>149,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3284, Class CI, IO, 5.564s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,951,414</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>401,703</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3016, Class SQ, IO, 5.554s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,243,877</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>75,195</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3397, Class SQ, IO, 5.414s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,706,600</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>201,052</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3500, Class SE, IO, 5.394s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>746,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>34,510</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 3424, Class UI, IO, 5.204s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,259,966</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>86,252</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 3331, Class GO, PO, zero %, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>135,981</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>129,492</FONT>&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>87,264</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>71,051</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 3226, Class YI, IO, zero %, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,587,815</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,343</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 2985, Class CO, PO, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>73,515</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>64,093</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 2858, Class MO, PO, zero %, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>41,114</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>34,868</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 201, PO, zero %, 2029</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>225,962</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>192,359</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>176,222</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>159,492</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>150,034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>143,540</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>67,702</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>64,263</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>51,970</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>49,787</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>51,694</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>50,372</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 3226, Class YW, zero %, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>241,149</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>227,197</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>52,557</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>50,203</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>551,333</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>539,275</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>229,221</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>224,238</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 3047, Class BD, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>140,550</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>126,214</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>161,317</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>147,878</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>84,640</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>73,603</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>401,059</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>380,030</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 2980, Class BU, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>129,503</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>125,247</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>49,726</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>47,026</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 2947, Class GF, zero %, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>130,537</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>120,127</FONT>&nbsp;</TD></TR>
<TR>
     <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 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, 7.518s, 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>125,263</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>248,946</FONT>&nbsp;</TD></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 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>196,088</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>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>MORTGAGE-BACKED SECURITIES (37.8%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&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>
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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>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>IFB Ser. 07-41, Class SA, 36.93s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$102,303</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$135,453</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-66, Class SP, 18.979s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>407,099</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>472,158</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>527,812</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>61,079</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-42, Class AI, IO, 7.134s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,423,601</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>899,399</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-68, Class PU, IO, 6.755s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>905,838</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>80,676</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 04-59, Class SC, IO, 6.644s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>639,315</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>57,047</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 04-26, Class IS, IO, 6.644s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>628,380</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>43,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-47, Class SA, IO, 6.544s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,080,145</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>107,111</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-35, Class NY, IO, 6.344s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,865,354</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>156,505</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-22, Class S, IO, 6.255s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,020,337</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>90,753</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-84, Class AS, IO, 6.255s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,885,400</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>229,705</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-26, Class SD, IO, 6.244s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,712,943</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>106,737</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-51, Class SJ, IO, 6.205s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,071,024</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>90,180</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-53, Class SY, IO, 6.19s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,880,708</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>154,081</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-58, Class PS, IO, 6.155s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>943,965</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>71,067</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-41, Class SM, IO, 6.155s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>353,046</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-41, Class SN, IO, 6.155s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>359,733</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,488</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 04-88, Class S, IO, 6.155s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,503,329</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>99,246</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-59, Class PS, IO, 6 1/8s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>842,265</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>56,601</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-59, Class SP, IO, 6 1/8s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>185,022</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>13,087</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-48, Class SB, IO, 6.094s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,117,806</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>76,981</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-74, Class SI, IO, 6.014s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>874,597</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>53,088</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-17, Class AI, IO, 5.994s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,031,978</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>314,837</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-78, Class SA, IO, 5.974s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,895,944</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>451,783</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-26, Class S, IO, 5.955s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,866,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>358,376</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-2, Class SM, IO, 5.944s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,214,919</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>166,137</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-9, Class AI, IO, 5.944s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,025,129</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>155,805</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-9, Class SK, IO, 5.935s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,844,248</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>198,699</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 08-6, Class SC, IO, 5.93s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,779,139</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>467,277</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-65, Class SI, IO, 5.805s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,305,610</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>90,414</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-71, Class SA, IO, 5.804s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,359,696</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>249,820</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-7, Class SB, IO, 5.775s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>287,819</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,676</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-16, Class SX, IO, 5.745s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,692,676</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>113,731</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-17, Class IB, IO, 5.705s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>756,882</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>67,143</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-14, Class S, IO, 5.705s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,219,659</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>81,190</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-57, Class PS, IO, 5.705s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,333,228</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>109,013</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-11, Class ST, IO, 5.695s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>762,783</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>49,512</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-7, Class JI, IO, 5.655s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,186,770</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>106,771</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-25, Class KS, IO, 5.644s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,979,215</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>154,478</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-21, Class S, IO, 5.644s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>69,682</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,716</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-17, Class S, IO, 5.635s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>895,898</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>69,110</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-31, Class AI, IO, 5.624s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,086,841</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>111,364</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-62, Class S, IO, 5.594s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>995,436</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>65,101</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 05-3, Class SN, IO, 5.555s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,099,085</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>292,096</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-43, Class SC, IO, 5.544s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,307,095</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>86,476</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 04-41, Class SG, IO, 5.455s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,220,675</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>116,282</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 06-36, Class OD, PO, zero %, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>43,190</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>40,548</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-71, Class TA, zero %, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>75,357</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>74,881</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-71, Class UC, zero %, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>39,205</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>38,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-61, Class YC, zero %, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>308,909</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>302,070</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-33, Class TB, zero %, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>284,344</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>278,641</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>29</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>MORTGAGE-BACKED SECURITIES (37.8%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&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 height=20>
     <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 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. 07-6, Class TD, zero %, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$275,396</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$271,695</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-56, Class YF, zero %, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>85,477</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>81,583</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 98-2, Class EA, PO, zero %, 2028</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>52,344</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>46,627</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Greenwich Capital Commercial Funding Corp. Ser. 05-GG5,</FONT>&nbsp;</TD>
     <TD noWrap 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 A2, 5.117s, 2037 </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>1,727,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,510,401</FONT>&nbsp;</TD></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 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, 5.799s, 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>220,597</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>643,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>577,571</FONT>&nbsp;</TD></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, 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) (In default)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>84,852</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,527</FONT>&nbsp;</TD></TR>
<TR>
     <TD 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 Ser. 07-AR1, 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>6.111s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,415,304</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,605,193</FONT>&nbsp;</TD></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 Ser. 07-2, Class 1A1A,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>0.632s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,251,446</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,208,072</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>IndyMac Indx 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, 6.155s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>760,233</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>329,622</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-AR15, Class 1A1, 6.093s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>969,995</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>446,198</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-AR9, Class 2A1, 5.889s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>992,159</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>466,315</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-AR31, Class 3A1, 5.574s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,672,993</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,256,307</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-AR11, Class 1A1, 5.456s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,225,649</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>441,234</FONT>&nbsp;</TD></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, 5.939s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>681,363</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>333,868</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-A6, Class 1A1, 0.682s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,167,377</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>477,547</FONT>&nbsp;</TD></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 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, 6.062s, 2051</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>475,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>169,290</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-LD12, Class A3, 5.99s, 2051</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,365,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,570,482</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-CB20, Class A3, 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>558,438</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-LD11, Class A3, 5.819s, 2049</FONT>&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>267,416</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-CB20, Class A4, 5.794s, 2051</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>191,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>127,346</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 08-C2, Class X, IO, 0.482s, 2051 </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>30,062,116</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>387,791</FONT>&nbsp;</TD></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 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, 0.073s, 2051 </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>63,594,984</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>440,088</FONT>&nbsp;</TD></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 Trust 144A Ser. 99-C1,</FONT>&nbsp;</TD>
     <TD noWrap 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, 6.41s, 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>48,666</FONT>&nbsp;</TD></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 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>0.373s, 2045</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>61,439,217</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>920,132</FONT>&nbsp;</TD></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, 36.949s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>691,593</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>691,593</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-5, Class 8A2, IO, 7.198s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,189,326</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>90,574</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-4, Class 3A2, IO, 6.678s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,001,414</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>69,949</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-5, Class 2A2, IO, 6.628s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,729,784</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>138,383</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 07-2, Class 2A13, IO, 6.168s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,985,326</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>158,826</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-9, Class 2A2, IO, 6.098s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,278,283</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>153,547</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-7, Class 2A4, IO, 6.028s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,904,361</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>273,305</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-7, Class 2A5, IO, 6.028s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,669,204</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>266,017</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-6, Class 1A2, IO, 5.978s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,468,794</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>113,832</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>IFB Ser. 06-6, Class 1A3, IO, 5.978s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,227,978</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>172,668</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>30</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
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     <TD noWrap align=left><FONT face=sans-serif size=1>MORTGAGE-BACKED SECURITIES (37.8%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=Arial size=1>Principal amount</FONT>&nbsp;&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp;</TD></TR>
<TR height=20>
     <TD noWrap align=left colSpan=4>
<HR noShade SIZE=1>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Mach One Commercial Mortgage 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. 04-1A, Class J, 5.45s, 2040 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>$53,460</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 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>16,960</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 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>6,720</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>MASTR Alternative Loans Trust Ser. 06-3, Class 1A1,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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 1/4s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>582,312</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>296,251</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>Merrill Lynch Capital Funding Corp. Ser. 06-4, Class XC, 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>0.148s, 2049</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>56,473,467</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>479,624</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 Mortgage Investors, Inc. Ser. 96-C2, Class JS, 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>2.27s, 2028</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,191,007</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>40,542</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 Mortgage Trust FRB Ser. 07-C1, Class A3,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.829s, 2050</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>136,609</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/Countrywide Commercial Mortgage 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. 07-8, Class A2, 5.92s, 2049</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>172,393</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>Mezz Cap Commercial Mortgage Trust Ser. 07-C5, Class X,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.785s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,498,948</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>249,895</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>Mezz Cap Commercial Mortgage Trust 144A Ser. 04-C1, Class X,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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, 8.006s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>934,122</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>126,106</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 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>Ser. 98-CF1, Class E, 7.35s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>722,753</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 08-T29, Class A3, 6.28s, 2043</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>521,547</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-IQ14, Class AM, 5.691s, 2049</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>32,100</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>Morgan Stanley Capital I 144A FRB Ser. 04-RR, Class F7,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.124s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>103,800</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>Morgan Stanley Mortgage Loan Trust Ser. 05-5AR, Class 2A1,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.82s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,070,770</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>535,385</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>Mortgage Capital Funding, 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. 98-MC2, Class E, 7.097s, 2030</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>196,267</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 97-MC2, Class X, IO, 1.215s, 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>2,721</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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>PNC Mortgage Acceptance Corp. 144A Ser. 00-C1, Class J,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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 5/8s, 2010</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>38,585</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>Residential Asset Securitization 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>IFB Ser. 07-A3, Class 2A2, IO, 6.168s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,520,502</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>327,736</FONT>&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=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>848,369</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>441,152</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, 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>257,550</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>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=right><FONT face=sans-serif size=1>162,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>89,100</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=right><FONT face=sans-serif size=1>193,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>98,430</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=right><FONT face=sans-serif size=1>174,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>85,260</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=right><FONT face=sans-serif size=1>167,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>68,470</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>Structured Adjustable Rate Mortgage Loan Trust FRB Ser. 06-9,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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 1A1, 5.674s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>906,681</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>411,339</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>IFB Ser. 07-4, Class 1A3, IO, 5.728s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,385,530</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>245,451</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>3,589,473</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>73,333</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. 144A Ser. 07-RF1, Class 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>IO, 5.299s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,468,483</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>290,451</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, 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>226,682</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>237,361</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, 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>444,023</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>273,870</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>31</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=-->
<A name="page_33"></A>
<TABLE cellSpacing=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>MORTGAGE-BACKED SECURITIES (37.8%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=right colSpan=2><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 height=20>
     <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>Ursus EPC 144A FRB Ser. 1-A, 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>239,411</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$85,853</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 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>3,763,955</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 07-C34, IO, 0.355s, 2046</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>16,911,052</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>262,762</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>Wachovia Bank Commercial Mortgage Trust 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-WL5A, Class L, 3.856s, 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>119,250</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>Wells Fargo Alternative Loan Trust FRB Ser. 07-PA6, Class A1,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.599s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,395,661</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,277,027</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 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>8,873,546</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>55,460</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 mortgage-backed securities (cost $115,560,774)</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>$105,398,327</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>U.S. GOVERNMENT AND AGENCY</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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 OBLIGATIONS (34.9%)*</FONT>&nbsp;</TD>
     <TD noWrap align=right colSpan=2><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 height=20>
     <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>U.S. Government Guaranteed Mortgage Obligations (0.8%)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&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 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 6 1/2s, TBA, April 1, 2039</FONT>&nbsp;</TD>
     <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=right><FONT face=sans-serif size=1>$2,094,219</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>2,094,219</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>U.S. Government Agency Mortgage Obligations (34.1%)</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>Federal National Mortgage Association Pass-Through 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>6 1/2s, TBA, April 1, 2039</FONT>&nbsp;</TD>
     <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=right><FONT face=sans-serif size=1>2,106,094</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6s, TBA, April 1, 2024</FONT>&nbsp;</TD>
     <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=right><FONT face=sans-serif size=1>3,139,922</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5 1/2s, TBA, April 1, 2024</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>1,042,188</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5s, TBA, April 1, 2039</FONT>&nbsp;</TD>
     <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=right><FONT face=sans-serif size=1>2,063,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>4 1/2s, TBA, May 1, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>21,000,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>21,383,086</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>4 1/2s, TBA, April 1, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>64,000,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>65,360,000</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>95,094,415</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=1>Total U.S. government and agency mortgage obligations (cost $96,796,249)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$97,188,634</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>CORPORATE BONDS AND NOTES (21.7%)*</FONT>&nbsp;</TD>
     <TD noWrap align=right colSpan=2><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 height=20>
     <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 (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>Builders FirstSource, Inc. company 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>5.484s, 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>$37,800</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>Compass Minerals International, Inc. sr. disc. notes Ser. 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>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>148,035</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; Gold, Inc. sr. unsec. 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>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>780,028</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; Gold, Inc. sr. unsec. 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>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>401,955</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. 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>48,939</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. 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>54,656</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. 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>358,448</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>Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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 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>14,080</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 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>77,290</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>Mosaic Co. (The) 144A sr. unsec. 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>219,520</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>Mosaic Co. (The) 144A sr. unsec. 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>133,280</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>NewPage Corp. company guaranty 10s, 2012</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>39,963</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. sr. unsec. unsub. 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>10.265s, 2013 &#135;&#135;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>82,893</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,658</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>32</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
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<A name="page_34"></A>
<TABLE cellSpacing=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 AND NOTES (21.7%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=right colSpan=2><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 height=20>
     <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>Novelis, Inc. company 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>$45,200</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>Rockwood Specialties Group, 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>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>200,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>197,887</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 guaranty sr. unsec. unsub. 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>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>562,325</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>Steel Dynamics, Inc. 144A 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>112,340</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. 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>30,300</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>3,263,704</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Capital goods (1.4%)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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. 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>98,800</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>Berry Plastics Corp. company guaranty sr. 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>5.844s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>535,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>387,875</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>Bombardier, Inc. 144A sr. unsec. notes FRN 5.084s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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 (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>100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>85,994</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>Bombardier, Inc. 144A unsec. 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>1,291,875</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>Crown Americas, LLC/Crown Americas Capital 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 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>517,935</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 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>3.81s, 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>134,425</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 Acquisition Co., LLC sr. sub. 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>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>38,590</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>Hexcel Corp. 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>34,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>28,730</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 guaranty sr. unsec. sub.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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 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>573,615</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. 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>532,385</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. notes 12 1/4s, 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>232,108</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>3,922,332</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Communication services (2.3%)</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>American Tower Corp. sr. unsec. 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>384,150</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>CCH I Holdings, LLC company guaranty 12 1/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>80</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>CCH II, LLC sr. unsec. notes 10 1/4s, 2010</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>59,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>53,100</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>CCH II, LLC sr. unsec. notes Ser. B, 10 1/4s, 2010</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>498,400</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>Centennial Cellular Operating Co., LLC 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>10 1/8s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>175,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>181,125</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>Cincinnati Bell, Inc. company 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>531,760</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. company guaranty 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>414,338</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 company guaranty 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>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>340,725</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>CSC Holdings, Inc. sr. notes 6 3/4s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>522,638</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 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>158,025</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>Inmarsat Finance PLC company guaranty 10 3/8s, 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)</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>787,200</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>iPCS, Inc. company guaranty sr. sec. notes FRN 3.295s, 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>105,000</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>MetroPCS Wireless, Inc. company guaranty sr. unsec. 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>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>87,300</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>PAETEC Holding Corp. company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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 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>105,000</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>Qwest Communications International, 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>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. 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>68,250</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>33</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
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<TABLE cellSpacing=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 AND NOTES (21.7%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&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 height=20>
     <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>Qwest Corp. sr. unsec. unsub. notes 8 7/8s, 2012</FONT>&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>$1,482,238</FONT>&nbsp;</TD></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 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>West Corp. company guaranty 9 1/2s, 2014</FONT>&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>89,816</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>6,497,490</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Consumer cyclicals (4.1%)</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>Affinity Group, Inc. sr. sub. notes 9s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>482,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>265,100</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>AMC Entertainment, Inc. company 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>228,410</FONT>&nbsp;</TD></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. 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>168,100</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>Avis Budget Car Rental, LLC 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>71,250</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>Bon-Ton Stores, Inc. (The) company guaranty 10 1/4s, 2014</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>27,200</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>Boyd Gaming Corp. sr. sub. notes 6 3/4s, 2014</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>77,720</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>CanWest Media, Inc. company guaranty 8s, 2012 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>(In default)</FONT>&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>65,719</FONT>&nbsp;</TD></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 Corp. 144A company guaranty 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>10 1/2s, 2016</FONT>&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>131,894</FONT>&nbsp;</TD></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. sr. unsec. notes 7.65s, 2010</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>389,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>123,021</FONT>&nbsp;</TD></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. 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>8,700</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>D.R. Horton, Inc. 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>734,400</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 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>884,065</FONT>&nbsp;</TD></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 guaranty 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>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>114,660</FONT>&nbsp;</TD></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 guaranty 6 5/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,369,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,225,255</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>FelCor Lodging LP company guaranty 9s, 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>309,000</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>Ford Motor Credit Co., LLC 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>473,513</FONT>&nbsp;</TD></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 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>359,640</FONT>&nbsp;</TD></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. 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>174,886</FONT>&nbsp;</TD></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. 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>416,778</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>Hanesbrands, Inc. company 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, 5.698s, 2014</FONT>&nbsp;</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>39,900</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>Host Marriott LP sr. notes Ser. M, 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>612,625</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>Jostens IH Corp. company 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>568,500</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>Lamar Media Corp. sr. unsec. sub. notes Ser. C, 6 5/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,040</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lender Processing Services, Inc. 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>unsub. notes 8 1/8s, 2016</FONT>&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>789,038</FONT>&nbsp;</TD></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. notes 8 7/8s, 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>220,875</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>Levi Strauss &amp; Co. sr. unsec. 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>559,860</FONT>&nbsp;</TD></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>102,443</FONT>&nbsp;</TD></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. 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>162,299</FONT>&nbsp;</TD></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 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>66,300</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. company 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>86,100</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>Meritage Homes Corp. sr. notes 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>28,800</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>MGM Mirage, Inc. company guaranty 8 1/2s, 2010</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>181,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>74,210</FONT>&nbsp;</TD></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 guaranty 6s, 2009</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>647,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>349,380</FONT>&nbsp;</TD></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 Finance Co. 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>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>159,960</FONT>&nbsp;</TD></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 Finance Co. 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. unsec. sub. disc. notes stepped-coupon zero % (12 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>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>149,400</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>34</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=-->
<A name="page_36"></A>
<TABLE cellSpacing=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 AND NOTES (21.7%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&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 height=20>
     <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>NTK Holdings, Inc. sr. unsec. disc. 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>(10 3/4s, 9/1/09), 2014 &#134;&#134;</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>$6,240</FONT>&nbsp;</TD></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. sr. notes 8 7/8s, 2011</FONT>&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=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Pinnacle Entertainment, Inc. company guaranty sr. unsec. sub.</FONT>&nbsp;</TD>
     <TD noWrap 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, 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>198,400</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>Pinnacle Entertainment, Inc. 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>294,875</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>Pulte Homes, Inc. company 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>700,800</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. 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>27,563</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>Station Casinos, Inc. sr. notes 6s, 2012 (In default)</FONT>&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>79,500</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>Tenneco, Inc. sr. unsec. notes company guaranty 8 1/8s, 2015</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>37,000</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>THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sec. 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>48,013</FONT>&nbsp;</TD></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 Holdings, Inc.) sr. sub. 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>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>25,500</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>Trump Entertainment Resorts, Inc. sec. notes 8 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>(In default) &#134;</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>17,600</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>Vertis, Inc. company guaranty sr. notes zero %, 2014 &#135;&#135;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>217,715</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,905</FONT>&nbsp;</TD></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 guaranty sr. unsec. sub. 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>10s, 2011 (In default) &#134;</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>26</FONT>&nbsp;</TD></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 guaranty sr. sub. 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>8 3/4s, 2014 (In default) &#134;</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>42</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>11,529,195</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Consumer staples (0.6%)</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>Archibald Candy Corp. company guaranty 10s, 2009</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>(In 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>1,392</FONT>&nbsp;</TD></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 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>127,300</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>Del Monte Corp. 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>562,800</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>Prestige Brands, Inc. sr. sub. notes 9 1/4s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>321,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>306,555</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>Rite Aid Corp. company guaranty 9 1/2s, 2017</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>63,710</FONT>&nbsp;</TD></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>162,225</FONT>&nbsp;</TD></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. 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>312,819</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>United Rentals NA, Inc. company guaranty 6 1/2s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>211,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>168,800</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>1,705,601</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Energy (3.5%)</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 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>1,232,505</FONT>&nbsp;</TD></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 guaranty 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>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>110,400</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>Chesapeake Energy Corp. 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>943,365</FONT>&nbsp;</TD></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. 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>245,520</FONT>&nbsp;</TD></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. 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>327,025</FONT>&nbsp;</TD></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. 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>443,700</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>Connacher Oil and Gas, Ltd. 144A sec. notes 10 1/4s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>2015 (Canada)</FONT>&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>66,150</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>Denbury Resources, Inc. 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>274,050</FONT>&nbsp;</TD></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>518,400</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>Gaz Capital SA 144A company 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>142,273</FONT>&nbsp;</TD></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 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>146,163</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>35</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
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<A name="page_37"></A>
<TABLE cellSpacing=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 AND NOTES (21.7%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=Arial size=1>Principal amount</FONT>&nbsp;&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp;</TD></TR>
<TR height=20>
     <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>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. sr. notes 7 7/8s, 2011</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>$398,580</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. 144A sr. unsec. 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>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>230,100</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>Hornbeck Offshore Services, Inc. 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>392,920</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. company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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, 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>113,400</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>Lukoil International Finance 144A company guaranty 6.356s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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 (Russia)</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>315,000</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>Newfield Exploration Co. sr. unsec. 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>314,940</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>Offshore Logistics, Inc. company 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>238,950</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 mtge. 8.28s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>273,927</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>278,965</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>Pacific Energy Partners/Pacific Energy Finance 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 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>328,879</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>Petrobras International Finance Co. 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 7 7/8s, 2019 (Brazil)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>865,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>899,600</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>PetroHawk Energy Corp. company 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>162,240</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>Petroleum Development Corp. 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>141,900</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>Petroplus Finance, Ltd. company guaranty 6 3/4s,</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>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>262,700</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; Production Co. 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>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>60,200</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>Plains Exploration &amp; Production Co. company 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>63,600</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. 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>444,235</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>Range Resources Corp. company guaranty sr. unsec. sub. 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 1/2s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>232,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>211,120</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>SandRidge Energy, Inc. 144A company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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 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>227,850</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>Williams Cos., Inc. (The) 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>152,250</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>9,686,980</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Financials (3.8%)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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. 4.011s, 2017 (Brazil)</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>201,185</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. 144A sr. 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>3.034s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,083,750</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>932,480</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>GMAC, LLC 144A company guaranty sr. unsec. unsub. 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>58,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>48,727</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 144A company guaranty sr. unsec. unsub. 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>7s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>25,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>17,268</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 144A company guaranty sr. unsec. unsub. 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>6 7/8s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>403,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>270,643</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 144A company guaranty sr. unsec. unsub. 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>6 7/8s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>53,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>37,663</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 144A company guaranty sr. unsec. unsub. 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>6 5/8s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>512,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>343,465</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 144A company guaranty sr. unsec. unsub. 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>3.461s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>39,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,500</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>HUB International Holdings, Inc. 144A sr. sub. notes 10 1/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</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>45,125</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>36</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
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<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 AND NOTES (21.7%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=right colSpan=2><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 height=20>
     <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>Financials </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>HUB International Holdings, Inc. 144A sr. unsec. unsub. 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>9s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</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>$41,113</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 sr. unsec. notes FRN 6.46s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>707,400</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>JPMorgan Chase &amp; Co. 144A sr. unsec. unsub. 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>17.67s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>RUB</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>22,000,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>722,018</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>JPMorgan Chase &amp; Co. 144A unsec. unsub. notes 0.154s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>INR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,000,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>331,526</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>Leucadia National Corp. sr. unsec. notes 8 1/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>79,125</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. notes 7 1/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</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>172,620</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. notes FRN Ser. MTN, 1.359s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</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>304,966</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. bonds 4.151s, 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>1,850,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>514,779</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 Agricultural Bank 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>6.299s, 2017 (Russia)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</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>467,168</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 Agricultural Bank sub. 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>FRB 6.97s, 2016 (Russia)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>156,645</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 sub. bonds stepped-coupon</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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 (Russia) &#134;&#134;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</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>1,020,530</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 company 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>5.113s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</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>28,200</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>VTB Capital SA 144A notes 7 1/2s, 2011 (Russia)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,925,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,771,000</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>VTB Capital SA 144A sec. notes 6.609s, 2012 (Russia)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,025,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,626,703</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 (Vneshtorgbank) loan participation 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>stepped-coupon 6.315s (7.815s, 2/4/10), 2015 (Russia) &#134;&#134;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</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>704,086</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>10,563,935</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Government (0.2%)</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>Pemex Finance, Ltd. bonds 9.69s, 2009 (Mexico)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>101,500</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>102,028</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>Petroleos Mexicanos 144A notes 8s, 2019 (Mexico)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>494,325</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>596,353</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Health care (2.2%)</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>Community Health Systems, Inc. company guaranty 8 7/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</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>628,425</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 guaranty 6 5/8s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</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>148,410</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>Elan Finance PLC/Elan Finance Corp. company guaranty 7 3/4s,</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 (Ireland)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>173,994</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>HCA, Inc. sr. sec. notes 9 1/4s, 2016</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>586,950</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>HCA, Inc. sr. sec. notes 9 1/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>265,080</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>HCA, Inc. sr. unsec. notes 6 3/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>138,860</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>HCA, Inc. sr. unsec. notes 5 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>170,300</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>Omnicare, Inc. company guaranty 6 3/4s, 2013</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>176,963</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>Omnicare, Inc. sr. sub. notes 6 1/8s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>489,819</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>Select Medical Corp. company guaranty 7 5/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>354,183</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>Stewart Enterprises, Inc. sr. notes 6 1/4s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>611,780</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>Surgical Care Affiliates, Inc. 144A sr. sub. notes 10s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>153,000</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>Surgical Care Affiliates, Inc. 144A sr. unsec. notes 8 7/8s, 2015 &#135;&#135;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>63,800</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>Tenet Healthcare Corp. sr. unsec. notes 7 3/8s, 2013</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>310,050</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>Tenet Healthcare Corp. 144A company guaranty sr. sec. 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, 2018</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>285,413</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>Tenet Healthcare Corp. 144A company guaranty sr. sec. 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>9s, 2015</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>284,675</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>37</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
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<TABLE cellSpacing=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 AND NOTES (21.7%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&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 height=20>
     <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>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>US Oncology, Inc. company 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>$470,450</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>Vanguard Health Holding Co. 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>433,308</FONT>&nbsp;</TD></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. 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>304,238</FONT>&nbsp;</TD></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. 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>153,970</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>6,203,668</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Technology (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>Advanced Micro Devices, Inc. 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>177,438</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Avago Technologies Finance company guaranty 10 1/8s,</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>2013 (Singapore)</FONT>&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>71,200</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>Ceridian Corp. sr. unsec. 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>115,500</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>Compucom Systems, Inc. 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>89,900</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>Freescale Semiconductor, Inc. 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>550,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>115,500</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>Freescale Semiconductor, Inc. company guaranty sr. unsec. sub.</FONT>&nbsp;</TD>
     <TD noWrap 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 1/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,520</FONT>&nbsp;</TD></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 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>703,500</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>Iron Mountain, Inc. company guaranty sr. unsec. sub. 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>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>438,275</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>New ASAT Finance, Ltd. company 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) (In default) &#134;</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>195</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sanmina Corp. sr. unsec. sub. notes 8 1/8s, 2016</FONT>&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>47,600</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>SunGard Data Systems, Inc. company guaranty 9 1/8s, 2013</FONT>&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>295,800</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>Travelport LLC company guaranty 9 7/8s, 2014</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>65,570</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>2,122,998</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Utilities and power (1.6%)</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>AES Corp. (The) sr. unsec. unsub. notes 8s, 2017</FONT>&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>111,475</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>AES Corp. (The) 144A sec. notes 8 3/4s, 2013</FONT>&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>230,300</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>Allegheny Energy Supply 144A sr. unsec. bond 8 1/4s, 2012</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>161,827</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>CMS Energy Corp. sr. notes 7 3/4s, 2010</FONT>&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>178,701</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Edison Mission Energy sr. unsec. notes 7 3/4s, 2016</FONT>&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>114,760</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>Edison Mission Energy sr. unsec. notes 7 1/2s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>69,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>54,510</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Edison Mission Energy sr. unsec. notes 7.2s, 2019</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>191,125</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>Edison Mission Energy sr. unsec. notes 7s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>23,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>16,790</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ferrellgas LP/Finance sr. notes 6 3/4s, 2014</FONT>&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>436,800</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>Ipalco Enterprises, Inc. 144A sr. sec. notes 7 1/4s, 2016</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>101,775</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Kinder Morgan, Inc. sr. notes 6 1/2s, 2012</FONT>&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>1,477,770</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>NRG Energy, Inc. sr. notes 7 3/8s, 2016</FONT>&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>218,550</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>Orion Power Holdings, Inc. sr. unsec. notes 12s, 2010</FONT>&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>675,469</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Teco Finance, Inc. company guaranty sr. unsec. unsub. 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>7.2s, 2011</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>175,446</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Teco Finance, Inc. company guaranty sr. unsec. unsub. 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, 2012</FONT>&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>258,675</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>Teco Finance, Inc. company guaranty sr. unsec. unsub. 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>6 3/4s, 2015</FONT>&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>26,784</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Utilicorp United, Inc. sr. unsec. 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>17,679</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>4,448,436</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total corporate bonds and notes (cost $76,312,347)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$60,540,692</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>38</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
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<TABLE cellSpacing=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 SECURITIES (12.1%)*</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 height=20>
     <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>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, 1.212s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$81,269</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$40,135</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-4, Class A2C, 0.732s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>31,847</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>26,176</FONT>&nbsp;</TD></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, 0.672s, 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>33,187</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-HE3, Class A2C, 0.672s, 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>45,179</FONT>&nbsp;</TD></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 Securities, Inc. FRB Ser. 03-8, 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>2.272s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>201,334</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>53,298</FONT>&nbsp;</TD></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>53,620</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>46,930</FONT>&nbsp;</TD></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, 2.792s, 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>2,882</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-W4, Class A2C, 0.682s, 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>98,457</FONT>&nbsp;</TD></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, 1.522s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>191,802</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>119,576</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-WMC1, Class M1, 0.962s, 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>14,570</FONT>&nbsp;</TD></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 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, 0.712s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>33,940</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,580</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-HE4, Class A5, 0.682s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>128,898</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>78,395</FONT>&nbsp;</TD></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 FRB Ser. 03-2A, Class G1,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>1.245s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>238,220</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>64,319</FONT>&nbsp;</TD></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 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, 3.772s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>128,152</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>74,605</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-PC1, Class M9, 2.272s, 2035 </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>185,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,846</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-HE1, Class M3, 1.452s, 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>102,891</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>Bombardier Capital Mortgage 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>484,340</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>214,556</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>1,287,890</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>562,018</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>635,164</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>257,887</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>1,068,920</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>441,826</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 00-A, Class A1, 0.716s, 2030</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>139,319</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>22,941</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Capital Auto Receivables Asset Trust 144A Ser. 06-1, Class D,</FONT>&nbsp;</TD>
     <TD noWrap 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=right><FONT face=sans-serif size=1>500,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>343,848</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Citigroup Mortgage Loan Trust, Inc. FRB Ser. 05-OPT1, 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>0.942s, 2035</FONT>&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>24,870</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Conseco Finance Securitizations 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. 00-2, Class A5, 8.85s, 2030</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,324,876</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>807,879</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=right><FONT face=sans-serif size=1>3,159,840</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,643,117</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=right><FONT face=sans-serif size=1>476,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>282,788</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=right><FONT face=sans-serif size=1>899,954</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>498,480</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=right><FONT face=sans-serif size=1>179,217</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>101,775</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=right><FONT face=sans-serif size=1>614,455</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>381,714</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=right><FONT face=sans-serif size=1>44,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>22,451</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=right><FONT face=sans-serif size=1>47,695</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,273</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=right><FONT face=sans-serif size=1>186,180</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>137,856</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=right><FONT face=sans-serif size=1>69,543</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>47,990</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=right><FONT face=sans-serif size=1>4,073,960</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,607,335</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=right><FONT face=sans-serif size=1>2,665,810</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,857,817</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>39</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
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     <TD noWrap align=left><FONT face=sans-serif size=1>ASSET-BACKED SECURITIES (12.1%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=right colSpan=2><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 height=20>
     <TD noWrap align=left colSpan=4>
<HR noShade SIZE=1>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Conseco Finance 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. 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>$747,732</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$629,709</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 02-1, Class M1A, 3.311s, 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>699,294</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 01-4, Class M1, 2.247s, 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>48,485</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>Countrywide Asset 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, 1.042s, 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>32,826</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-14, Class 3A2, 0.762s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>23,105</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,179</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, Class E2, 8s, 2038</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>129,300</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>Equifirst Mortgage Loan Trust FRB Ser. 05-1, 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>1.192s, 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>12,632</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 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, 0.672s, 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>62,713</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, 0.852s, 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>124,525</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-2, Class 2A3, 0.692s, 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>195,692</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 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>560,315</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>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, 2043 </FONT><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B>&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>688,016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>118,427</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, 2043 </FONT><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B>&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>227,902</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>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>680,237</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>351,873</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>207,605</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>329,765</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>246,932</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>3,819,731</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,411,396</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>174,671</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>215,259</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>223,209</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>23,932</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>526,858</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>370,817</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>288,072</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>676,526</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>564,346</FONT>&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>172,934</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>115,605</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>43,270</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>28,282</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>14,737</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>436,364</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>287,746</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>140,059</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>135,564</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>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>1,599,740</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,030,399</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>73,790</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>37,741</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>33,187</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, Class D, 5s, 2011 </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>318,115</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>302,214</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>GSAMP Trust FRB Ser. 06-HE5, Class A2C, 0.672s, 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>203,974</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 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, 2.522s, 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>22,740</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-1A, Class E, 2.322s, 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>20,957</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 Ser. 06-1, Class 2A4, 0.852s, 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>69,898</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 Mortgage Acquisition Corp. FRB Ser. 06-FRE1,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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, 0.812s, 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>35,363</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 Contract Ser. 01-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>Class A4, 5.27s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,093,663</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>780,793</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>40</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
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<TABLE cellSpacing=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 SECURITIES (12.1%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&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 height=20>
     <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>LNR CDO, Ltd. 144A FRB Ser. 02-1A, Class FFL, 3.272s, 2037</FONT>&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>$252,000</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>Local Insight Media Finance, LLC Ser. 07-1W, 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>5.53s, 2012 </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>1,693,499</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>736,672</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<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></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-2, Class M4, 1.142s, 2035</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>85,083</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-4, Class 2A4, 0.782s, 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>32,358</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-1, Class 2A3, 0.712s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>142,667</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>76,369</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>Madison Avenue Manufactured Housing Contract FRB Ser. 02-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 B1, 3.772s, 2032</FONT>&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>536,695</FONT>&nbsp;</TD></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 Asset Backed Securities Trust FRB Ser. 06-FRE2, 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>0.672s, 2036</FONT>&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>32,261</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<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, 8.221s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>109,374</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>81,850</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>Morgan Stanley ABS Capital I</FONT>&nbsp;</TD>
     <TD noWrap 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, 3.722s, 2034</FONT>&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>5,537</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-HE2, Class M5, 1.202s, 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>103,324</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 05-HE1, Class M3, 1.042s, 2034</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>97,836</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-NC4, Class M2, 0.822s, 2036</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>3,052</FONT>&nbsp;</TD></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. 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>51,296</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>46,394</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><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>36,536</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>31,315</FONT>&nbsp;</TD></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 FRB Ser. 03-4, 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>2.572s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,928</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,084</FONT>&nbsp;</TD></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, 0.682s, 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>58,948</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-2, Class A2C, 0.672s, 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>79,997</FONT>&nbsp;</TD></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 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>985,107</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>344,788</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>844,340</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>439,057</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>121,675</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>66,108</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>314,280</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>178,127</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>408,800</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>350,122</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>224,355</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>876,199</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>573,778</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>219,986</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>201,933</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 02-A, Class A4, 6.97s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>51,539</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>28,862</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>660,291</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>368,462</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>868,485</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>554,799</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>208,738</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>132,837</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>886,247</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>316,403</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>1,077,120</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>560,102</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>131,984</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>66,222</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>921,876</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>520,546</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>226,501</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>139,137</FONT>&nbsp;</TD></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 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>162,510</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>110,346</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 01-B, Class A2, 0.836s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>43,874</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>26,730</FONT>&nbsp;</TD></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, 1.352s, 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>10,653</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 04-MCW1, Class A2, 0.902s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>105,702</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>90,599</FONT>&nbsp;</TD></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 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. 06-1, Class 1A2, 0.652s, 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>112,569</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>41</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>ASSET-BACKED SECURITIES (12.1%)* </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I>&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 height=20>
     <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>Residential Asset Mortgage 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, 0.712s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$135,311</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$104,007</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-RZ1, Class A2, 0.682s, 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>77,524</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>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>FRB Ser. 05-EMX1, Class M2, 1.252s, 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>241,126</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ser. 01-KS3, Class AII, 0.982s, 2031</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,384,297</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>806,455</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Securitized Asset Backed 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, 1.172s, 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>8,909</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-NC2, Class A2B, 0.662s, 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>58,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-BR5, Class A2A, 0.652s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>470,617</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>287,076</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 07-BR4, Class A2A, 0.612s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>417,739</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>253,994</FONT>&nbsp;</TD></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 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>0.732s, 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>68,666</FONT>&nbsp;</TD></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>FRB Ser. 06-OPT3, Class 2A3, 0.692s, 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>66,959</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>FRB Ser. 06-3, Class A3, 0.682s, 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>282,701</FONT>&nbsp;</TD></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 144A FRB Ser. 05-4,</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 M10, 3.022s, 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>135,612</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>689</FONT>&nbsp;</TD></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 Ser. 3A, Class A2, 2.441s, 2038</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>1,400</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>Structured Asset Investment Loan Trust FRB Ser. 06-BNC2,</FONT>&nbsp;</TD>
     <TD noWrap 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 A6, 0.782s, 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>3,815</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>Structured Asset Receivables Trust 144A FRB Ser. 05-1,</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>1.633s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,748,447</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>996,615</FONT>&nbsp;</TD></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. 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>58,375</FONT>&nbsp;</TD></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 Ser. 02-1A, Class IV,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6.84s, 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>66,300</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>Whinstone Capital Management, Ltd. 144A FRB Ser. 1A,</FONT>&nbsp;</TD>
     <TD noWrap 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 B3, 2.059s, 2044 (Jersey)</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>30,829</FONT>&nbsp;</TD></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 asset-backed securities (cost $59,399,671)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$33,868,135</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>SENIOR LOANS (9.2%)* </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>Principal amount</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp;</TD></TR>
<TR height=20>
     <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 (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>Georgia-Pacific, LLC bank term loan FRN Ser. B, 3.285s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$262,142</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$230,603</FONT>&nbsp;</TD></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 loan FRN Ser. B2, 3.174s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>262,387</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>230,819</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>Huntsman International, LLC 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>2.229s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,405,657</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>921,487</FONT>&nbsp;</TD></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 loan FRN 4.812s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>260,133</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>176,435</FONT>&nbsp;</TD></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 Ser. B, 3.46s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>229,320</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>142,637</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>Novelis, Inc. bank term loan FRN Ser. B, 3.46s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>504,505</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>313,802</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>Rockwood Specialties Group, 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. E, 2.229s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>71,169</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>62,018</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>2,077,801</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Capital goods (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>Berry Plastics Holding Corp. bank term loan FRN 2.533s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>147,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>98,049</FONT>&nbsp;</TD></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 loan FRN 3.555s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>96,783</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>82,341</FONT>&nbsp;</TD></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 Acquisition Co., 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>1.359s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>38,254</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>17,172</FONT>&nbsp;</TD></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 Acquisition Co., 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>Ser. B, 2.801s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>741,710</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>332,945</FONT>&nbsp;</TD></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 Ser. B, 3.282s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>258,744</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>227,695</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>42</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=-->
<A name="page_44"></A>
<TABLE cellSpacing=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>SENIOR LOANS (9.2%)* </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>Principal amount</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp;</TD></TR>
<TR height=20>
     <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>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></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Manitowoc Co., Inc. (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>4.657s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$573,563</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$406,512</FONT>&nbsp;</TD></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 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>2.907s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>352,464</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>280,943</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>Polypore, Inc. bank term loan FRN Ser. B, 3.407s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>311,314</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>227,260</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>Sensata Technologies BV bank term loan FRN 2.907s, 2013</FONT>&nbsp;</TD>
     <TD noWrap 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=right><FONT face=sans-serif size=1>276,826</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>115,990</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>Sequa Corp. bank term loan FRN 4.407s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>405,313</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>219,882</FONT>&nbsp;</TD></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 term loan FRN 2.73s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>114,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>92,796</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>2,101,585</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></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Cebridge Connections, Inc. bank term loan FRN 4.996s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>380,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>246,050</FONT>&nbsp;</TD></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 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 1/2s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>227,700</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>210,433</FONT>&nbsp;</TD></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 term loan FRN 3.959s, 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>125,938</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>Charter Communications, Inc. bank term loan FRN 3.157s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>932,090</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>760,042</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>Fairpoint Communications, Inc. 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>478,809</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>220,594</FONT>&nbsp;</TD></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 FRN Ser. B, 2 1/2s, 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>113,476</FONT>&nbsp;</TD></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 Ser. B2, 3.925s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>210,493</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>182,077</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>Intelsat Corp. bank term loan FRN Ser. B2-A, 3.925s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>210,557</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>182,132</FONT>&nbsp;</TD></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 Ser. B2-C, 3.925s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>210,493</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>182,077</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>Intelsat, Ltd. bank term loan FRN 4.435s, 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>335,225</FONT>&nbsp;</TD></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 Ser. B, 3.657s, 2013 (Bermuda)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>586,500</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>521,692</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Level 3 Communications, Inc. bank term loan FRN 3.309s, 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>157,658</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>Mediacom Communications Corp. 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>1.98s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>812,238</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>672,804</FONT>&nbsp;</TD></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 term loan FRN Ser. D2,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.23s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>117,300</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>98,708</FONT>&nbsp;</TD></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 loan FRN 3.19s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>220,334</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>200,015</FONT>&nbsp;</TD></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 loan FRN Ser. B1, 2.979s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>203,198</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>160,865</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>TW Telecom, Inc. bank term loan FRN Ser. B, 3.407s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>231,642</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>207,320</FONT>&nbsp;</TD></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 2.89s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>113,253</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>84,090</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>4,661,196</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Consumer cyclicals (2.9%)</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>Allison Transmission, Inc. 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>3.293s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>434,517</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>286,661</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>CCM Merger, Inc. bank term loan FRN Ser. B, 8 1/2s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>98,203</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>52,048</FONT>&nbsp;</TD></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 Ser. C, 3.157s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>231,297</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>156,125</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>Cenveo, Inc. bank term loan FRN Ser. DD, 3.157s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,707</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,202</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>Cinemark USA, Inc. bank term loan FRN 2.385s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>287,736</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>259,682</FONT>&nbsp;</TD></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 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>2.239s, 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>150,025</FONT>&nbsp;</TD></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. 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>3.157s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>220,659</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>47,810</FONT>&nbsp;</TD></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. 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>3.157s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>551,244</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>119,436</FONT>&nbsp;</TD></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 7 1/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>305,149</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>69,167</FONT>&nbsp;</TD></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 Finance Co. 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, 5.157s, 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>112,083</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>43</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
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<TABLE cellSpacing=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>SENIOR LOANS (9.2%)* </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>Principal amount</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp;</TD></TR>
<TR height=20>
     <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>DIRECTV Holdings, LLC bank term loan FRN 2.657s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$216,762</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$207,042</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>GateHouse Media, Inc. bank term loan FRN 2.79s, 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>41,617</FONT>&nbsp;</TD></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 loan FRN Ser. B, 3.157s, 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>97,123</FONT>&nbsp;</TD></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 loan FRN Ser. DD, 3.157s, 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>36,240</FONT>&nbsp;</TD></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 FRN Ser. B, 2.52s, 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>38,182</FONT>&nbsp;</TD></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 FRN Ser. DD, 2.54s, 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>21,818</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>Goodman Global Holdings, Inc. 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 1/2s, 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>760,016</FONT>&nbsp;</TD></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) 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>2.28s, 2010</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,268,400</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>880,350</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>Harrah&#146;s Operating Co., Inc. bank term loan FRN Ser. B2,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.16s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>207,900</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>123,766</FONT>&nbsp;</TD></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 term loan FRN 3.209s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>229,142</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>156,308</FONT>&nbsp;</TD></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 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>3.209s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>70,671</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>48,208</FONT>&nbsp;</TD></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 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>3.209s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>91,657</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>62,523</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lear Corp bank term loan FRN 3.754s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>982,461</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>336,800</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>Michaels Stores, Inc. bank term loan FRN Ser. B, 2.758s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>123,709</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>68,272</FONT>&nbsp;</TD></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 loan FRN 2.565s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>90,081</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>41,617</FONT>&nbsp;</TD></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 loan FRN 4.363s, 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>170,013</FONT>&nbsp;</TD></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 term loan FRN 3.729s, 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>467,537</FONT>&nbsp;</TD></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 loan FRN 6 3/4s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>516,102</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>226,440</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>R.H. Donnelley, Inc. bank term loan FRN Ser. D1, 6 3/4s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>288,065</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>123,868</FONT>&nbsp;</TD></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. (The) 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, 3.157s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>416,500</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>103,084</FONT>&nbsp;</TD></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 0.346s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>165,646</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>94,087</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>Realogy Corp. bank term loan FRN Ser. B, 4.157s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>615,256</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>349,465</FONT>&nbsp;</TD></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 loan FRN 3.022s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>540,114</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>365,927</FONT>&nbsp;</TD></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 Ser. B, 5 1/4s, 2014 (In default) &#134;</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>245,125</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>Tropicana Entertainment bank term loan FRN Ser. B, 6 1/2s, 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>161,394</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>TRW Automotive, Inc. bank term loan FRN Ser. B, 2.063s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>181,763</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>94,971</FONT>&nbsp;</TD></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 loan FRN Ser. D,</FONT>&nbsp;</TD>
     <TD noWrap 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 1/4s, 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>268,027</FONT>&nbsp;</TD></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 Partners 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>6s, 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>877,734</FONT>&nbsp;</TD></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. 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>2.729s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>175,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>90,891</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>Visteon Corp. bank term loan FRN Ser. B, 4.426s, 2013</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>69,300</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>Warner Music Group bank term loan FRN Ser. B, 2.979s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>149,819</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>131,166</FONT>&nbsp;</TD></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 loan FRN 3.406s, 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>81,131</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>8,098,281</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Consumer staples (0.6%)</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>Dole Food Co., Inc. bank term loan FRN Ser. B, 5.715s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>35,908</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>32,516</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dole Food Co., Inc. bank term loan FRN Ser. C, 6.157s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>133,781</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>121,146</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>Dole Food Co., Inc. bank term loan FRN Ser. C, 0.66s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>20,311</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,393</FONT>&nbsp;</TD></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 Ser. B1, 3.209s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>269,375</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>240,080</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>Jarden Corp. bank term loan FRN Ser. B2, 2.907s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>122,455</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>109,138</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>44</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=-->
<A name="page_46"></A>
<TABLE cellSpacing=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>SENIOR LOANS (9.2%)* </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>Principal amount</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp;</TD></TR>
<TR height=20>
     <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>Pinnacle Foods Holding Corp. 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>3.247s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$502,112</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$409,064</FONT>&nbsp;</TD></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 Ser. B, 2.267s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>99,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>65,175</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>RSC Equipment Rental, Inc. bank term loan FRN 4.657s, 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>248,273</FONT>&nbsp;</TD></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 loan FRN 0.347s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>(In default)</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>21,711</FONT>&nbsp;</TD></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 loan FRN Ser. B1, 6.053s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>(In default)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>528,533</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>375,698</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>1,641,194</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Energy (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>EPCO Holding, Inc. bank term loan FRN Ser. A, 1.52s, 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>180,400</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>Hercules Offshore, Inc. bank term loan FRN Ser. B, 3.21s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>243,116</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>169,938</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>MEG Energy Corp. bank term loan FRN 3.46s, 2013 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>97,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>63,293</FONT>&nbsp;</TD></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 FRN Ser. DD, 3.46s,</FONT>&nbsp;</TD>
     <TD noWrap 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 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>99,125</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>64,679</FONT>&nbsp;</TD></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 term loan FRN 3.21s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>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>104,033</FONT>&nbsp;</TD></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 term loan FRN 5.657s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>341,184</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>259,300</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>Targa Resources, Inc. bank term loan FRN 3.407s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>266,222</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>204,104</FONT>&nbsp;</TD></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 loan FRN Ser. C, 1.282s, 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>117,968</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>1,163,715</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Financials (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. 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>1.79s, 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>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>Hub International, Ltd. bank term loan FRN Ser. B, 3.959s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>140,472</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>99,735</FONT>&nbsp;</TD></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 loan FRN Ser. DD, 3.959s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>31,574</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>22,417</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>145,402</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Government (0.3%)</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 loan FRN Ser. B, 3.657s, 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>756,027</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>756,027</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. 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>3.438s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>537,745</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>463,805</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>Community Health Systems, Inc. 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>3.407s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>27,681</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>23,875</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>Health Management Associates, 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>3.209s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,309,408</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,056,038</FONT>&nbsp;</TD></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 Corp. 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>3.157s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>120,971</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>101,979</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>IASIS Healthcare, LLC/IASIS 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>6.434s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>382,782</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>160,768</FONT>&nbsp;</TD></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 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>3.157s, 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>27,400</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>IASIS Healthcare, LLC/IASIS 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, 2.497s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>349,583</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>294,698</FONT>&nbsp;</TD></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 Ser. B, 2.885s, 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>212,970</FONT>&nbsp;</TD></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 term loan FRN 3.157s, 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>29,527</FONT>&nbsp;</TD></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 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>3.157s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>124,155</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>104,704</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>2,475,764</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>45</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=-->
<A name="page_47"></A>
<TABLE cellSpacing=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>SENIOR LOANS (9.2%)* </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>Principal amount</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp;</TD></TR>
<TR height=20>
     <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 (0.4%)</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>Compucom Systems, Inc. bank term loan FRN 3.98s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$125,463</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$97,861</FONT>&nbsp;</TD></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 FRN Ser. B1, 3.269s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>388,606</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>261,192</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>First Data Corp. bank term loan FRN Ser. B3, 3.269s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>225,022</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>151,077</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>Flextronics International, Ltd. bank term loan FRN Ser. B, 3.407s,</FONT>&nbsp;</TD>
     <TD noWrap 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 (Singapore)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>600,629</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>386,119</FONT>&nbsp;</TD></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. bank term loan FRN Ser. B, 3.344s,</FONT>&nbsp;</TD>
     <TD noWrap 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 (Singapore)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>172,595</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>110,954</FONT>&nbsp;</TD></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 term loan FRN 1.282s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>110,939</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>56,718</FONT>&nbsp;</TD></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 3.959s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>20,934</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,060</FONT>&nbsp;</TD></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 Ser. B, 3.085s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>195,864</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>112,840</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>Travelport bank term loan FRN Ser. DD, 3.407s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>49,903</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>28,570</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>1,217,391</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Utilities and power (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>Dynegy Holdings, Inc. bank term loan FRN 1.98s, 2013</FONT>&nbsp;</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>168,053</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>Energy Future Holdings Corp. bank term loan FRN Ser. B2,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.036s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>270,743</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>178,056</FONT>&nbsp;</TD></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 term loan FRN Ser. B3,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.036s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>196,938</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>129,170</FONT>&nbsp;</TD></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 FRN 2.737s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>322,149</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>288,726</FONT>&nbsp;</TD></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 FRN 1.359s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>171,715</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>153,899</FONT>&nbsp;</TD></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 loan FRN 0.477s, 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>370,806</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>1,288,710</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total senior loans (cost $38,487,118)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$25,627,066</FONT>&nbsp;</TD></TR>
<TR>
     <TD>&nbsp;</TD>
     <TD></TD>
     <TD>&nbsp;</TD></TR></TABLE><BR>
<TABLE cellSpacing=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</FONT>&nbsp;</TD>
     <TD noWrap align=left><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><FONT face=sans-serif size=1>OUTSTANDING (0.2%)*</FONT>&nbsp;</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>amount</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Value</FONT>&nbsp;</TD></TR>
<TR height=20>
     <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 Goldman</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sachs International for the right to receive 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>fixed rate of 5.355% versus the three month</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>USD-LIBOR-BBA maturing November 12, 2019.</FONT>&nbsp;</TD>
     <TD noWrap align=left><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>$3,786,346</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</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Chase Bank, N.A. for the right to receive 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>fixed rate of 5.355% versus the three month</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>USD-LIBOR-BBA maturing November 12, 2019.</FONT>&nbsp;</TD>
     <TD noWrap align=left><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>3,786,346</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</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sachs International for the right to pay a fixed</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>rate of 5.355% versus the three month</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>USD-LIBOR-BBA maturing November 12, 2019.</FONT>&nbsp;</TD>
     <TD noWrap align=left><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>14,006</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</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Chase Bank, N.A. for the right to pay a fixed</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>rate of 5.355% versus the three month</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>USD-LIBOR-BBA maturing November 12, 2019.</FONT>&nbsp;</TD>
     <TD noWrap align=left><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>14,006</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</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Chase Bank, N.A. for the right to receive 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>fixed rate of 5.03% versus the three month</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>USD-LIBOR-BBA maturing February 16, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=left><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>5,341,556</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</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Chase Bank, N.A. for the right to pay a fixed</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>rate of 5.03% versus the three month</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>USD-LIBOR-BBA maturing February 16, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=left><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>95,396</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 purchased options outstanding (cost $5,722,627)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$13,037,656</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>46</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
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<TABLE cellSpacing=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>FOREIGN GOVERNMENT BONDS AND NOTES (7.7%)*</FONT>&nbsp;</TD>
     <TD noWrap align=right colSpan=2><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 height=20>
     <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 zero %, 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>$15,463</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>Argentina (Republic of) bonds 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>183,510</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>Argentina (Republic of) bonds FRB 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>468,653</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. unsub. bonds FRB 1.683s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,181,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,419,411</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) 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>787,796</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 10s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>557,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>637,013</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) sr. notes 7 3/8s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>299,250</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>Ecuador (Republic of) unsec. bonds Ser. REGS, 12s, 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>(In default) &#134;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,237,056</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>328,525</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>Ecuador (Republic of) 144A unsec. bonds 12s, 2012 (In default) &#134;</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>123,522</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) notes Ser. REGS 9 3/8s, 2015 (In default)</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>54,028</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>Export-Import Bank of Korea sr. unsub. notes 8 1/8s, 2014</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>144,810</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 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>1,474,343</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>Israel (State of) bonds 5 1/8s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>400,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>402,240</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>Japan (Government of) CPI Linked 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>249,964,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,148,232</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 bonds Ser. 8, 1s, 2016</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>716,696,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,226,387</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>Korea Development Bank sr. notes 8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>228,365</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>Peru (Republic of) sr. unsec. notes 7 1/8s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>942,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>954,482</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, 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>1,428,916</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) notes 7 1/2s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>895,500</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>Ukraine (Government of) 144A sr. unsec. notes FRN 5.151s, 2009</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>186,750</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) notes 10 3/4s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,985,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,414,571</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. note FRN Ser. REGS, 2.123s, 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>550,935</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) 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>27,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>23,175</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 foreign government bonds and notes (cost $25,848,528)</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>$21,395,877</FONT>&nbsp;</TD></TR>
<TR>
     <TD>&nbsp;</TD>
     <TD colSpan=2></TD>
     <TD>&nbsp;</TD></TR></TABLE><BR>
<TABLE cellSpacing=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 height=20>
     <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</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>1s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$525,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$372,094</FONT>&nbsp;</TD></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 $425,607)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$372,094</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 height=20>
     <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>$13,815</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>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>46,072</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>Vertis Holdings, Inc. </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>11,336</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11</FONT>&nbsp;</TD></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 $10,915)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$59,898</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>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 height=20>
     <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>Preferred Blocker, Inc. 144A 7.00% cum. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>228</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$45,393</FONT>&nbsp;</TD></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 preferred stocks (cost $76,202)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$45,393</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>47</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
<A name="page_49"></A>
<TABLE cellSpacing=0 width="80%" border=0>
<TR>
     <TD width="40%"></TD>
     <TD width="11%"></TD>
     <TD width="8%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>WARRANTS (&#151;%)* &#134;</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Expiration</FONT>&nbsp;</TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>Strike</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT>&nbsp;</TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>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 height=20>
     <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>AboveNet, Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/08/10</FONT>&nbsp;</TD>
     <TD noWrap align=right colSpan=2><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>$2,950</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>Dayton Superior Corp. 144A </FONT><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/15/09</FONT>&nbsp;</TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>0.01</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>527</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>New ASAT (Finance), Ltd. (Cayman Islands) </FONT><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2/01/11</FONT>&nbsp;</TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>0.01</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>&#151;</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>Smurfit Kappa Group PLC 144A (Ireland)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/01/13</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=right><FONT face=sans-serif size=1>EUR0</FONT></TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=right><FONT face=Arial size=1>.001</FONT>&nbsp;&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>4,731</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>Vertis Holdings, Inc. </FONT><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/18/15</FONT>&nbsp;</TD>
     <TD noWrap align=right colSpan=2><FONT face=sans-serif size=1>$0.01</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>752</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</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 warrants (cost $38,587)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left colSpan=2>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$8,208</FONT>&nbsp;</TD></TR>
<TR>
     <TD>&nbsp;</TD>
     <TD colSpan=4></TD>
     <TD>&nbsp;</TD></TR></TABLE><BR>
<TABLE cellSpacing=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 height=20>
     <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=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>(acquired various dates from 12/02/04 to 12/22/04,</FONT>&nbsp;</TD>
     <TD noWrap 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 $109,821) &#135;</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>$2,990</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>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>487</FONT>&nbsp;</TD></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 $738,521)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$3,477</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>SHORT-TERM INVESTMENTS (28.2%)*</FONT>&nbsp;</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 height=20>
     <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>Federated Prime Obligations Fund</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>53,604,096</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$53,604,096</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>LMA Americas, LLC for an effective yield of 0.60%, April 15, 2009</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>2,999,300</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>Victory Receivables Corp. for an effective yield of 0.55%,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>April 17, 2009</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,000,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,999,022</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>Working Capital Management Co. for an effective yield of 0.75%,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>April 2, 2009</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,000,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,999,917</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CAFCO, LLC. for an effective yield of 0.60%, April 1, 2009</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,000,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,000,000</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>U.S.Treasury Note, 3 3/8%. September 15, 2009 </FONT><B><SUP><FONT face=sans-serif size=1>i</FONT></SUP></B>&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>512,128</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>U.S.Treasury Note, 4 1/2%. April 30, 2009 </FONT><B><SUP><FONT face=sans-serif size=1>i</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>977,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>977,000</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>SSgA U.S. Government Money Market Fund </FONT><B><SUP><FONT face=sans-serif size=1>i</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,290,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,290,000</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>U.S. Treasury Cash Management Bills for an effective yield</FONT>&nbsp;</TD>
     <TD noWrap 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 0.88%, May 15, 2009 #</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,305,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,294,998</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>Total short-term investments (cost $78,676,461)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$78,676,461</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>TOTAL INVESTMENTS</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR height=20>
     <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>Total investments (cost $498,093,607)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$436,221,918</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>Key to holding&#146;s currency abbreviations</FONT></P>
<TABLE cellSpacing=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 style="TEXT-INDENT: 0px" 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>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>PLN</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Polish Zloty</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>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>48</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=-->
<A name="page_50"></A>
<P align=left><FONT face=sans-serif size=1>&nbsp; * Percentages indicated are based on net assets of $278,803,619. </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>&#134;&#134; 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 March 31, 2009 was $2,990 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 these securities were pledged and segregated with the custodian or brokers to cover margin requirements for futures contracts and collateral on certain swap contracts. </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 March 31, 2009. 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 5).</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. Securities may be classified as a Level 2 or Level 3 for FASB 157 disclosures based on the securities valuation inputs. </FONT></P>
<P align=left><B><SUP><FONT face=sans-serif size=1>i </FONT></SUP></B><FONT face=sans-serif size=1>Securities purchased with cash or received that were pledged to the fund for collateral on certain swap contracts (Note 1).</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><B><SUP><FONT face=sans-serif size=1>U </FONT></SUP></B><FONT face=sans-serif size=1>This security, in part or in entirety, represents unfunded loan commitments (Note 6).</FONT></P>
<P align=left><FONT face=sans-serif size=1>At March 31, 2009, liquid assets totaling $182,983,563 have been designated as collateral for open forward commitments, swap contracts, forward contracts and futures contracts.</FONT></P>
<P align=left><FONT face=sans-serif size=1>Debt obligations are considered secured unless otherwise indicated.</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 March 31, 2009.</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 March 31, 2009.</FONT></P>
<TABLE cellSpacing=0 width="80%" border=0>
<TR>
     <TD width="37%"></TD>
     <TD width="10%"></TD>
     <TD width="5%"></TD>
     <TD width="37%"></TD>
     <TD width="10%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DIVERSIFICATION BY COUNTRY</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 height=20>
     <TD noWrap align=left colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=4><FONT face=sans-serif size=1>Distribution of investments by country of risk at March 31, 2009 (as a percentage of Portfolio Value):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</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>91.7%</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Canada</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>0.5%</FONT>&nbsp;</TD></TR>
<TR height=20>
     <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>1.9</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Venezuela</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>0.5</FONT>&nbsp;</TD></TR>
<TR height=20>
     <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>Russia</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>Other</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3.3</FONT>&nbsp;</TD></TR>
<TR height=20>
     <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>0.7</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 height=20>
     <TD noWrap align=left colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left colSpan=2></TD></TR>
<TR>
     <TD colSpan=2></TD>
     <TD></TD>
     <TD colSpan=2>&nbsp;</TD></TR></TABLE><BR>
<TABLE cellSpacing=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 colSpan=6><FONT face=sans-serif size=1>FORWARD CURRENCY CONTRACTS TO BUY at 3/31/09 (aggregate face value $50,679,186) (Unaudited)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<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=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=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>appreciation/</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&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 height=20>
     <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>$11,159,973</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$10,768,620</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/15/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$391,353</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>3,253,729</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,200,975</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/15/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>52,754</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>937,861</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>924,187</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/15/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>13,674</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>240,028</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>228,339</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/15/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11,689</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>5,513,296</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,344,144</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/15/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>169,152</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=-->
<A name="page_51"></A>
<P align=left><FONT face=sans-serif size=1>FORWARD CURRENCY CONTRACTS TO BUY at 3/31/09 (aggregate face value $50,679,186) (Unaudited) </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I></P>
<TABLE cellSpacing=0 width="80%" border=0>
<TR>
     <TD width="47%"></TD>
     <TD width="15%"></TD>
     <TD width="13%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=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>appreciation/</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&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 height=20>
     <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>Hungarian Forint</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$941,511</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$891,967</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/15/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$49,544</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>10,776,512</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,875,368</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/15/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(98,856)</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>154,696</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>150,351</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/15/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,345</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>9,114</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,356</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/15/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>758</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>New Zealand Dollar</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,842</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,187</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/15/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>655</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>9,425,843</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,314,055</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/15/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>111,788</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>3,109,372</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,840,142</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/15/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>269,230</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>1,053,291</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>957,308</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/15/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>95,983</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>2,936,424</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,630,997</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/15/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>305,427</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>2,621,376</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,540,190</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/15/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>81,186</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>$1,458,682</FONT>&nbsp;</TD></TR>
<TR>
     <TD>&nbsp;</TD>
     <TD colSpan=4></TD>
     <TD>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>FORWARD CURRENCY CONTRACTS TO SELL at 3/31/09 (aggregate face value $40,182,438) (Unaudited)</FONT></P>
<TABLE cellSpacing=0 width="80%" border=0>
<TR>
     <TD width="47%"></TD>
     <TD width="15%"></TD>
     <TD width="13%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=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>appreciation/</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&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 height=20>
     <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>$1,391,567</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,282,722</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/15/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$(108,845)</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>Brazilian Real</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,070,678</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,018,648</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/15/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(52,030)</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>4,691,241</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,665,409</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/15/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(25,832)</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>6,509,196</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,471,898</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/15/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(37,298)</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>5,941,993</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,656,685</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/15/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(285,308)</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>954,282</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>899,042</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/15/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(55,240)</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>660,367</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>665,075</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/15/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,708</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>23,239</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>21,244</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/15/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,995)</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>5,237,117</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,950,223</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/15/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(286,894)</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>2,426,155</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,220,151</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/15/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(206,004)</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>1,022,593</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>928,495</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/15/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(94,098)</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>5,627,672</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,304,060</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/15/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(323,612)</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>6,202,925</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,098,786</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/15/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(104,139)</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>$(1,576,587)</FONT>&nbsp;</TD></TR>
<TR>
     <TD>&nbsp;</TD>
     <TD colSpan=4></TD>
     <TD>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>FUTURES CONTRACTS OUTSTANDING at 3/31/09 (Unaudited)</FONT></P>
<TABLE cellSpacing=0 width="80%" border=0>
<TR>
     <TD width="47%"></TD>
     <TD width="15%"></TD>
     <TD width="13%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=Arial 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=right></TD>
     <TD noWrap align=right><FONT face=Arial 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 height=20>
     <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</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=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bond 10 yr (Long)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$498,530</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>$(603)</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>4</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>402,190</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>5,453</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>20</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,305,110</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>(13,535)</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>30,906,250</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>(541,302)</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>56,128,588</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>(1,097,805)</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>152,329,588</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>(3,082,591)</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>5,181,750</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>(124,932)</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-Euribor Interest Rate 90 day (Long)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>137</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>44,493,525</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dec-10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>182,080</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-Euribor Interest Rate 90 day (Long)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>58</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,887,707</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sep-10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>53,239</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-Euribor Interest Rate 90 day (Short)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>49</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>16,035,762</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>(68,385)</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-Euribor Interest Rate 90 day (Short)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>58</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,012,880</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>(67,220)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>50</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=-->
<A name="page_52"></A>
<P align=left><FONT face=sans-serif size=1>FUTURES CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I></P>
<TABLE cellSpacing=0 width="80%" border=0>
<TR>
     <TD width="47%"></TD>
     <TD width="15%"></TD>
     <TD width="13%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=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 height=20>
     <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>Euro-Schatz 2 yr (Short)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>209</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$30,059,757</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Jun-09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$(108,231)</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</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=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>10 yr (Short)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>16</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>22,309,245</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>119,427</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</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=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>10 yr Mini (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>278,543</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>(734)</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 90 day (Long)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,752,299</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sep-10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,142)</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>10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,767,719</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>(96)</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>33</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,832,170</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>(43,376)</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 (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>2,204,953</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>(79,601)</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 (Long)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>44</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,587,188</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>44,239</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>76</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,026,188</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>(138,874)</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 (Short)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>71</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,809,547</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>(137,492)</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>$(5,102,481)</FONT>&nbsp;</TD></TR>
<TR>
     <TD>&nbsp;</TD>
     <TD colSpan=4></TD>
     <TD>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>WRITTEN OPTIONS OUTSTANDING at 3/31/09 (premiums received $6,619,089) (Unaudited)</FONT></P>
<TABLE cellSpacing=0 width="80%" border=0>
<TR>
     <TD width="62%"></TD>
     <TD width="13%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=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 height=20>
     <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</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>Bank, N.A. for the obligation to pay a fixed rate of 4.82%</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>versus the three month USD-LIBOR-BBA maturing</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>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>Sep-13/4.82</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$99,687</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</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>Bank, N.A. for the obligation to pay a fixed rate of 5.51%</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>versus the three month USD-LIBOR-BBA maturing</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>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>4,111,782</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</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>Bank, N.A. for the obligation to pay a fixed rate of 4.40%</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>versus the three month USD-LIBOR-BBA maturing</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>November 9, 2019.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>50,458,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Nov-09/4.40</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,104,409</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</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>Bank for the obligation to receive a fixed rate of 4.40%</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>versus the three month USD-LIBOR-BBA maturing</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>November 9, 2019.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>50,458,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Nov-09/4.40</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>205,364</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</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>Bank, N.A. for the obligation to receive a fixed rate of</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>4.82% versus the three month USD-LIBOR-BBA maturing</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>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>Sep-13/4.82</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>25,755</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</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>Bank, N.A. for the obligation to receive a fixed rate</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>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 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>370,665</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>$10,917,662</FONT>&nbsp;</TD></TR>
<TR>
     <TD>&nbsp;</TD>
     <TD colSpan=3></TD>
     <TD>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>TBA SALE COMMITMENTS OUTSTANDING at 3/31/09 (proceeds receivable $46,770,469) (Unaudited)</FONT></P>
<TABLE cellSpacing=0 width="80%" border=0>
<TR>
     <TD width="62%"></TD>
     <TD width="13%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=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 height=20>
     <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, 5s, April 1, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,000,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/13/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,031,563</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, 4 1/2s, April 1, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>45,000,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/13/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>45,956,250</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>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>$46,987,813</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>51</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=-->
<A name="page_53"></A>
<P align=left><FONT face=sans-serif size=1>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/09 (Unaudited)</FONT></P>
<TABLE cellSpacing=0 width="80%" border=0>
<TR>
     <TD 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="3%"></TD>
     <TD width="18%"></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=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></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=1>Swap counterparty /</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>premium</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Termination</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>made by</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received by</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=1>Notional amount</FONT></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>date</FONT>&nbsp;</TD>
     <TD noWrap align=left></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 height=20>
     <TD noWrap align=right colSpan=10>
<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></TD>
     <TD noWrap 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>$32,178,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5/23/10</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>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>$1,027,657</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR 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=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>7/18/13</FONT>&nbsp;</TD>
     <TD noWrap align=left></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-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,163,535)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR 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=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>7/29/18</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>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>500,762</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR 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=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>8/26/18</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>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>1,848,003</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR 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=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>9/18/38</FONT>&nbsp;</TD>
     <TD noWrap align=left></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-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,516,803)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR 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=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>9/19/18</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>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>209,875</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR 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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>15,845</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10/1/18</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>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>735,024</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>13,613,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(57,362)</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10/8/38</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>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>2,905,101</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,484,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,315</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10/20/18</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>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>585,996</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>28,409,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>25,825</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10/20/10</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.00%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,095,805</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>219,700,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(78,193)</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11/26/10</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.35%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,209,803</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>550,228,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1.515%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,983,392</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR 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=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>10/26/12</FONT>&nbsp;</TD>
     <TD noWrap align=left></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-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(6,172,559)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR 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=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>5/19/10</FONT>&nbsp;</TD>
     <TD noWrap align=left></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-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(646,048)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR 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=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>7/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>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>827,495</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR 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=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>5/8/28</FONT>&nbsp;</TD>
     <TD noWrap align=left></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-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(3,194,563)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><I><FONT face=sans-serif size=1>Barclays Bank PLC</FONT></I></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>76,136,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12/9/10</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.005%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,299,232</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>28,963,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12/9/20</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.91875%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(25,766)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPY</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,134,000,000</FONT>&nbsp;</TD>
     <TD noWrap align=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>9/11/16</FONT>&nbsp;</TD>
     <TD noWrap align=left></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-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(615,416)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$28,000,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7/21/18</FONT>&nbsp;</TD>
     <TD noWrap align=left></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-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(4,825,615)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>MXN</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>33,510,000&nbsp;&nbsp;</FONT></TD>
     <TD noWrap align=center><B><SUP><FONT face=sans-serif size=1>F</FONT></SUP></B>&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>7/18/13</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1 month MXN-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>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>187,105</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>MXN</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,055,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7/22/13</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1 month MXN-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>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>53,689</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>AUD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,800,000 </FONT></TD>
     <TD noWrap align=center><STRONG><SUP><FONT face=Arial size=1>E</FONT></SUP></STRONG>&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>9/11/18</FONT>&nbsp;</TD>
     <TD noWrap align=left></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-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBR-BBSW</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(32,630)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>52</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=-->
<A name="page_54"></A>
<P align=left><FONT face=sans-serif size=1>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I></P>
<TABLE cellSpacing=0 width="80%" border=0>
<TR>
     <TD 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="3%"></TD>
     <TD width="18%"></TD>
     <TD width="19%"></TD>
     <TD width="11%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></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></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Swap counterparty /</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>premium</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Termination</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>made by</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received by</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Notional amount</FONT>&nbsp;</TD>
     <TD noWrap align=right></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>date</FONT>&nbsp;</TD>
     <TD noWrap align=left></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 height=20>
     <TD noWrap align=right colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><I><FONT face=sans-serif size=1>Citibank, N.A. cont.</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>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$95,602,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9/17/13</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>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>$5,759,252</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,895,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9/18/38</FONT>&nbsp;</TD>
     <TD noWrap align=left></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-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,585,564)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>302,431,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9/18/10</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>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>7,417,798</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,078,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2/24/16</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.77%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(123,336)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>24,636,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/25/19</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.95%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(168,609)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>30,650,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/27/14</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.335%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>175,593</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>102,606,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/30/11</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1.535%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>300,041</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><I><FONT face=sans-serif size=1>Citibank, N.A., London</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>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=Arial size=1>JPY </FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,300,000,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2/10/16</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month JPY-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>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>597,736</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=4><I><FONT face=sans-serif size=1>Credit Suisse International</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>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$11,827,400</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>9/16/10</FONT>&nbsp;</TD>
     <TD noWrap align=left></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-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(327,417)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,042,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9/18/38</FONT>&nbsp;</TD>
     <TD noWrap align=left></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-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(899,971)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>124,287,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9/18/10</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>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>3,038,218</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>13,961,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9/23/10</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>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>425,267</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,000,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12/5/20</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.01%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>158,498</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,000,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12/11/18</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.9275%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(115,996)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>23,950,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6/30/38</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.71%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,315,442</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,517,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1/16/19</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.32%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(641,243)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,255,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2/5/14</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.475%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(215,608)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,455,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2/5/29</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.35%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>143,341</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,000,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/23/19</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.79%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>21,590</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,000,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/23/19</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.81%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>38,026</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><I><FONT face=sans-serif size=1>Deutsche Bank AG</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>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,268,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9/23/38</FONT>&nbsp;</TD>
     <TD noWrap align=left></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-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,659,627)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,715,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10/17/18</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.585%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,620,209)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>53</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=-->
<A name="page_55"></A>
<P align=left><FONT face=sans-serif size=1>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I></P>
<TABLE cellSpacing=0 width="80%" border=0>
<TR>
     <TD 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="3%"></TD>
     <TD width="18%"></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=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></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Swap counterparty /</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>premium</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Termination</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>made by</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received by</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Notional amount</FONT>&nbsp;</TD>
     <TD noWrap align=right></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>date</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><I><FONT face=sans-serif size=1>Deutsche Bank AG cont.</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>&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>$125,936,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10/24/10</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.604%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$3,755,790</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,000,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11/18/18</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.04%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>461,609</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>97,260,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11/25/13</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.95409%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,378,183</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>ZAR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,120,000</FONT>&nbsp;</TD>
     <TD noWrap align=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>7/6/11</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month ZAR-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>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>32,180</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$70,018,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11/28/13</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.8725%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,867,434</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>79,355,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12/5/13</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.590625%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,136,564)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>28,551,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12/9/13</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.5225%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>668,311</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>54,334,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12/11/18</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.94%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(848,029)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>85,491,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12/15/18</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.80776%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>304,402</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>20,515,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12/16/28</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.845%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(992,695)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>332,987,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12/19/10</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1.53429%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,480,065</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,000,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12/22/13</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.008%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,099</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>23,757,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12/24/13</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.165%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(134,031)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>49,838,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12/30/13</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.15633%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(248,806)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>34,300,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1/8/29</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.19625%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,360</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>21,843,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1/8/19</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.735%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(167,493)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>109,800,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1/8/14</FONT>&nbsp;</TD>
     <TD noWrap align=left></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>3 month USD-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,254,133)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,241,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1/13/19</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.52438%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(58,984)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,094,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1/20/19</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.347%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(341,846)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,754,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1/28/29</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.1785%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(38,634)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>208,867,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2/3/14</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.44%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,858,521)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>89,668,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2/3/24</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.27%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,471,727</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>27,518,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2/3/19</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.01%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(428,570)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>20,377,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2/5/29</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.324%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>372,813</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>54</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=-->
<A name="page_56"></A>
<P align=left><FONT face=sans-serif size=1>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I></P>
<TABLE cellSpacing=0 width="80%" border=0>
<TR>
     <TD 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="3%"></TD>
     <TD width="18%"></TD>
     <TD width="19%"></TD>
     <TD width="11%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></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></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Swap counterparty /</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>premium</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Termination</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>made by</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received by</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Notional amount</FONT>&nbsp;</TD>
     <TD noWrap align=right></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>date</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><I><FONT face=sans-serif size=1>Deutsche Bank AG cont.</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>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$41,011,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2/5/14</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.44661%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$(564,760)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>285,446,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2/6/14</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.5529%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(5,362,622)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>48,326,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2/6/29</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.42575%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,620,387</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,000,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2/6/14</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.5675%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(175,312)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,000,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2/9/14</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.525%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(86,294)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,000,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2/10/14</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.55%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(73,674)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>65,000,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2/17/14</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.55%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,171,205)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>77,000,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2/17/19</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.095%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,695,898</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>25,000,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2/17/39</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.31%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(321,936)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>21,612,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2/25/14</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.4675%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(294,862)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>106,000,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/4/14</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.54%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,765,975)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>128,000,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/4/19</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.20087%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,877,861</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>41,000,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/4/39</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.37174%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(975,552)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,000,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/10/16</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.845%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>38,079</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <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></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>3/11/16</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.892%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>21,971</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,100,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/11/16</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.938%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>27,452</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>202,712,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/20/11</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1.43%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>173,882</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,000,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/23/19</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.8225%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,988</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,000,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/24/14</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.297%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(12,285)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>84,000,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/30/14</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.36%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(565,078)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>38,000,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/30/21</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.125%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>379,558</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=4><I><FONT face=sans-serif size=1>Goldman Sachs International</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>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>30,676,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4/3/18</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>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>3,997,483</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>120,229,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4/8/10</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>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>2,895,469</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>55</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=-->
<A name="page_57"></A>
<P align=left><FONT face=sans-serif size=1>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I></P>
<TABLE cellSpacing=0 width="80%" border=0>
<TR>
     <TD 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="3%"></TD>
     <TD width="18%"></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=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></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=1>Swap counterparty /</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>premium</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Termination</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>made by</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received by</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=1>Notional amount</FONT></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>date</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=4><I><FONT face=sans-serif size=1>Goldman Sachs International cont.</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>
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     <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>$13,189,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4/23/18</FONT>&nbsp;</TD>
     <TD noWrap align=left></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-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$(1,981,209)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR 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=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>5/19/18</FONT>&nbsp;</TD>
     <TD noWrap align=left></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-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,711,279)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPY</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>743,800,000</FONT>&nbsp;</TD>
     <TD noWrap align=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>6/10/16</FONT>&nbsp;</TD>
     <TD noWrap align=left></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-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(460,299)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$11,539,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,438</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10/24/10</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.60%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>348,672</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>28,568,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>176,833</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11/18/18</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.10%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(3,272,867)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>73,190,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(20,131)</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11/18/10</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.35%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,749,509</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>113,015,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>411,793</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11/18/13</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.45%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(7,408,008)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,770,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1/23/19</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.61125%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>165,601</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>18,200,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2/3/11</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>EURIBOR-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
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     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>REUTERS</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.23%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>172,353</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>AUD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>15,162,500 </FONT></TD>
     <TD noWrap align=center><STRONG><SUP><FONT face=Arial size=1>E</FONT></SUP></STRONG>&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>2/14/12</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month AUD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>BBR-BBSW</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.39%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(25,235)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=4><I><FONT face=sans-serif size=1>JPMorgan Chase Bank, N.A.</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>&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>$4,665,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/7/18</FONT>&nbsp;</TD>
     <TD noWrap align=left></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-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(631,638)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR 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=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>3/12/18</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>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>2,319,680</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR 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=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>3/11/38</FONT>&nbsp;</TD>
     <TD noWrap align=left></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-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(5,095,419)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR 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=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>3/20/13</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>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>1,597,801</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR 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=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>3/26/10</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>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>793,772</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR 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=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>4/8/13</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>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>2,009,522</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR 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=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>5/23/10</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>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>1,717,206</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR 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=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>6/13/13</FONT>&nbsp;</TD>
     <TD noWrap align=left></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-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,988,494)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR 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=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>6/27/18</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>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>357,348</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR 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=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>7/16/10</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>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>208,586</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR 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=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>7/17/18</FONT>&nbsp;</TD>
     <TD noWrap align=left></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-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(503,136)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR 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=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>7/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>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>669,899</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>49,717,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7/28/10</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>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>1,691,642</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>56</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=-->
<A name="page_58"></A>
<P align=left><FONT face=sans-serif size=1>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I></P>
<TABLE cellSpacing=0 width="80%" border=0>
<TR>
     <TD 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="3%"></TD>
     <TD width="18%"></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=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></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=1>Swap counterparty /</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>premium</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Termination</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>made by</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received by</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=1>Notional amount</FONT></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>date</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=4><I><FONT face=sans-serif size=1>JPMorgan Chase Bank, N.A. cont.</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>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>AUD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>19,160,000&nbsp; </FONT></TD>
     <TD noWrap align=center><FONT face=sans-serif size=1></FONT><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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8/6/18</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month AUD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>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>$558,818</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPY</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,737,320,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9/18/15</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month JPY-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>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>691,336</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPY</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>32,620,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9/18/38</FONT>&nbsp;</TD>
     <TD noWrap align=left></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-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(22,757)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR 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=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>9/23/38</FONT>&nbsp;</TD>
     <TD noWrap align=left></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-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(4,896,420)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,445,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.78%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>114,846</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,297,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10/22/18</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.2825%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>320,048</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>17,025,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10/23/13</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.535%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,277,551</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,879,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>23,761</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11/4/18</FONT>&nbsp;</TD>
     <TD noWrap align=left></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-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,182,241)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,053,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>33,492</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11/4/13</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.85%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(595,884)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>34,218,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11/10/18</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.83%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,382,120</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR 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=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>11/18/18</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.04%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>230,805</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>71,000,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11/24/10</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.0075%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,229,061</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>22,020,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12/11/13</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>EURIBOR-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>REUTERS</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.536%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,114,166</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,060,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12/19/18</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(210,164)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>PLN</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,400,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1/26/11</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month PLN-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>WIBOR-WIBO</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.177%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(32,413)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPY</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,460,000,000</FONT>&nbsp;</TD>
     <TD noWrap align=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>6/6/13</FONT>&nbsp;</TD>
     <TD noWrap align=left></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-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(3,010,222)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$6,970,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1/27/24</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.1%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>27,307</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>AUD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,130,000</FONT>&nbsp;</TD>
     <TD noWrap align=center><STRONG><SUP><FONT face=Arial size=1>E</FONT></SUP></STRONG></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>1/27/12</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month AUD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>BBR-BBSW</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.21%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(32,403)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$3,485,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2/3/24</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.2825%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>62,532</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>80,000,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2/5/11</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1.625%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(448,231)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>195,522,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2/6/11</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1.6966%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,368,377)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>20,767,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2/6/29</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.4546%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>786,538</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>AUD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,720,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2/24/19</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.825%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month AUD-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBR-BBSW</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>50,216</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>57</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=-->
<A name="page_59"></A>
<P align=left><FONT face=sans-serif size=1>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I></P>
<TABLE cellSpacing=0 width="80%" border=0>
<TR>
     <TD 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="3%"></TD>
     <TD width="18%"></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=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></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Swap counterparty /</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>premium</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Termination</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>made by</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received by</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Notional amount</FONT>&nbsp;</TD>
     <TD noWrap align=right></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>date</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=4><I><FONT face=sans-serif size=1>JPMorgan Chase Bank, N.A. cont.</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>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$22,859,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/3/11</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1.68283%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$142,419</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>17,990,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/4/14</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1 month EUR-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>EURIBOR-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>REUTERS</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.74%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>96,381</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,320,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/4/12</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month GBP-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.535%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>26,811</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$4,658,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/6/39</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.48%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(207,908)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>AUD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,790,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/6/19</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.93%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month AUD-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BBR-BBSW</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,187</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CAD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,690,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/16/11</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>0.98%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month CAD-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BA-CDOR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(15,868)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CAD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,690,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/16/19</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month CAD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>BA-CDOR</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.7%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>25,836</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CAD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,940,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/17/13</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1.56%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month CAD-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BA-CDOR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(38,727)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$8,060,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/19/13</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.28%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>95,034</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,590,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/19/24</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.37%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(65,771)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CAD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,520,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/17/24</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month CAD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>BA-CDOR</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.46%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>44,412</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$41,000,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/20/19</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3.20875%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,223,903)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>120,000,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/24/11</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1.4625%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>192,317</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>33,850,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/30/11</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 month EUR-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>EURIBOR-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>REUTERS</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1.972%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>143,895</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$12,700,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/30/19</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.945%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>78,021</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=4><I><FONT face=sans-serif size=1>Merrill Lynch Capital Services, Inc.</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>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPY</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>743,800,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6/10/16</FONT>&nbsp;</TD>
     <TD noWrap align=left></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-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(483,959)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=4><I><FONT face=sans-serif size=1>Merrill Lynch Derivative Products AG</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>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>JPY</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>371,900,000</FONT>&nbsp;</TD>
     <TD noWrap align=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>6/11/17</FONT>&nbsp;</TD>
     <TD noWrap align=left></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-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(269,354)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><I><FONT face=sans-serif size=1>UBS 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></TD>
     <TD noWrap 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>$367,450,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10/29/10</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.75%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(11,953,665)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>61,548,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10/29/20</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.18142%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,206,510</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>76,877,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,640,051</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11/10/38</FONT>&nbsp;</TD>
     <TD noWrap align=left></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-</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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(16,192,908)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>58</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=-->
<A name="page_60"></A>
<P align=left><FONT face=sans-serif size=1>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I></P>
<TABLE cellSpacing=0 width="80%" border=0>
<TR>
     <TD 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="3%"></TD>
     <TD width="18%"></TD>
     <TD width="19%"></TD>
     <TD width="11%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></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></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Payments</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Swap counterparty /</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>premium</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Termination</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>made by</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received by</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Notional amount</FONT>&nbsp;</TD>
     <TD noWrap align=right></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>date</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><I><FONT face=sans-serif size=1>UBS AG cont.</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>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$97,757,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$(3,249,608)</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11/10/28</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>4.45%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$16,016,851</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>185,016,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,700,082</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11/10/18</FONT>&nbsp;</TD>
     <TD noWrap align=left></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-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(23,532,473)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>102,199,000</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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>11/24/10</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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><FONT face=sans-serif size=1>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.05%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,859,908</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=10>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Total</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>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$(12,298,349)</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. Securities may be classified as a Level 2 or Level 3 for FASB 157 disclosures based on securities valuation inputs.</FONT></P>
<P align=left><FONT face=sans-serif size=1>TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/09 (Unaudited)</FONT></P>
<TABLE cellSpacing=0 width="80%" border=0>
<TR>
     <TD width="5%"></TD>
     <TD width="15%"></TD>
     <TD width="5%"></TD>
     <TD width="15%"></TD>
     <TD width="6%"></TD>
     <TD width="19%"></TD>
     <TD width="21%"></TD>
     <TD width="13%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fixed payments</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Total return</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Swap counterparty /</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Termination</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received (paid) by</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received by</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=1>Notional amount</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>date</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>or paid by fund</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT>&nbsp;</TD></TR>
<TR height=20>
     <TD noWrap align=left colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><I><FONT face=sans-serif size=1>Deutsche Bank AG</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>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5,760,000 </FONT></TD>
     <TD noWrap align=center><STRONG><SUP><FONT face=Arial size=1>F</FONT></SUP></STRONG>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3/27/14</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>1.785%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Eurostat Eurozone</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$4,796</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>HICP excluding</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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>tobacco</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><I><FONT face=sans-serif size=1>Goldman Sachs International</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>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>9,600,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4/30/13</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.375%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>French Consumer</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>421,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Price Index</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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>excluding tobacco</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4/30/13</FONT>&nbsp;</TD>
     <TD noWrap align=left></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</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(500,938)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>HICP excluding</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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>tobacco</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5/6/13</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.34%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>French Consumer</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>402,892</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Price Index</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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>excluding tobacco</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><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=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>5/6/13</FONT>&nbsp;</TD>
     <TD noWrap align=left></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</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(489,463)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>HICP excluding</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></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>tobacco</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><I><FONT face=sans-serif size=1>JPMorgan Chase Bank, N.A.</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>&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>$201,000,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4/13/09</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(0.84%)4.50%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>FNMA 4.50% 30 YR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,687,997</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>TBA</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><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>$2,526,409</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. Securities may be classified as a Level 2 or Level 3 for FASB 157 disclosures based on securities valuation inputs.</FONT></P>
<P align=left><FONT face=sans-serif size=1>59</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=-->
<A name="page_61"></A>
<P align=left><FONT face=sans-serif size=1>CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/09 (Unaudited)</FONT></P>
<TABLE cellSpacing=0 width="80%" border=0>
<TR>
     <TD width="19%"></TD>
     <TD width="5%"></TD>
     <TD width="13%"></TD>
     <TD 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>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Upfront</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fixed payments</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>premium</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Termi-</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Swap counterparty /</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>received</FONT>&nbsp;</TD>
     <TD noWrap align=right></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>nation</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(paid) by fund</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Referenced debt*</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Rating***</FONT></TD>
     <TD noWrap align=right>&nbsp;<FONT face=Arial size=1> (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>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>per annum</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT>&nbsp;</TD></TR>
<TR height=20>
     <TD noWrap align=left colSpan=9>
<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=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Clear Channel</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Communications,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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 3/4%, 1/15/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ca</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>$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>$(77,015)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Financial Security</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Assurance Holdings,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ltd, 6.4%, 12/15/66</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>B2</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>555,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/12 </FONT></TD>
     <TD noWrap align=left><FONT face=Arial size=1>95 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(272,748)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Nalco Co., 7.75%,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/15/11</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>B1</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>350 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(6,193)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Visteon Corp., 7%,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/10/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(127,500)</FONT>&nbsp;</TD>
     <TD noWrap align=right></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>299,255</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<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=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE PEN AAA</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Series 6 Version 1</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>278,302</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,027,356</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>(56,141)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE PEN AAA</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Series 6 Version 1</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>220,207</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,520,517</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>(30,625)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE PEN AAA</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Series 6 Version 1</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>208,985</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,311,260</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>(7,327)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE PEN AAA</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Series 6 Version 1</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>210,906</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,317,908</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>(6,503)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE PEN AAA</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Series 7 Version 1</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>A+</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>898,208</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,524,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/25/37</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(172,376)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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 Version 1 Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,130,107)</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>29,966,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></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>(100 bp)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>157,632</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<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=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE AAA Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>717,663</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,729,793</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>(979,313)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE AAA Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BB+</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>600,474</FONT>&nbsp;</TD>
     <TD noWrap align=right></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>(962,523)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE PEN AAA</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>611,503</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,251,532</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>(1,322,853)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE PEN AAA</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Series 6 Version 1</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>171,737</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>868,416</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>(223,374)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE PEN AAA</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Series 6 Version 1</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>163,880</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,065,913</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>(11,958)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE PEN AAA</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Series 6 Version 2</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>686,668</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,021,277</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>(1,142,927)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lear Corp., T/L</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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 Loan</FONT>&nbsp;</TD>
     <TD noWrap align=left><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>
     <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>(225 bp)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>160,913</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lear Corp., T/L</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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 Loan</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Caa1</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>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>700 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(144,604)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>60</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=-->
<A name="page_62"></A>
<P align=left><FONT face=sans-serif size=1>CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I></P>
<TABLE cellSpacing=0 width="80%" border=0>
<TR>
     <TD width="19%"></TD>
     <TD width="5%"></TD>
     <TD width="13%"></TD>
     <TD 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>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Upfront</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fixed payments</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>premium</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Termi-</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Swap counterparty /</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>received</FONT>&nbsp;</TD>
     <TD noWrap align=right></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>nation</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(paid) by fund</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Referenced debt*</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Rating***</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(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>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>per annum</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><I><FONT face=sans-serif size=1>Barclays Bank PLC 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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lighthouse</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>International Co.,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>SA, 8%, 4/30/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>B3</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR 495,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>815 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$(220,361)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Argentina, 8.28%,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/31/33</FONT>&nbsp;</TD>
     <TD noWrap align=left><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>
     <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>(1,170 bp)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>161,627</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Argentina, 8.28%,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/31/33</FONT>&nbsp;</TD>
     <TD noWrap align=left><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>
     <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>173,587</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Venezuela, 9 1/4%,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/15/27</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>B2</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>300,000</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>940 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(84,002)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sara Lee Corp.,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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 1/8%, 11/1/32</FONT>&nbsp;</TD>
     <TD noWrap align=left><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>
     <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>1,163</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 First Boston International</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>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ukraine (Government</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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), 7.65%, 6/11/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>B1</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>1,105,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/20/11 </FONT></TD>
     <TD noWrap align=left><FONT face=Arial size=1>194 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(648,808)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Devices, Inc.,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 3/4%, 11/1/12</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Caa1</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>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>(12,586)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE AAA</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Series 7 Version 2</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BB+</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>31,635</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>57,000</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>(11,392)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE PEN AAA</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Series 6 Version 1</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>189,651</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,222,618</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>(12,038)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE PEN AAA</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Series 6 Version 1</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>103,332</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>672,092</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>(7,540)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE PEN AAA</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Series 6 Version 1</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>109,805</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>714,197</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>(8,012)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE PEN AAA</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Series 6 Version 1</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>52,858</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>343,802</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>(3,857)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE PEN AAA</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Series 6 Version 1</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>131,555</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>748,703</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>8,045</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE PEN AAA</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Series 6 Version 1</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>311,108</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,860,520</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>4,188</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE PEN AAA</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Series 6 Version 2</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>292,504</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,440,174</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>(362,744)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE PEN AAA</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Series 6 Version 2</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>555,462</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,723,035</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>(228,482)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>61</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=-->
<A name="page_63"></A>
<P align=left><FONT face=sans-serif size=1>CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I></P>
<TABLE cellSpacing=0 width="80%" border=0>
<TR>
     <TD width="19%"></TD>
     <TD width="5%"></TD>
     <TD width="13%"></TD>
     <TD 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>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Upfront</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fixed payments</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>premium</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Termi-</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Swap counterparty /</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>received</FONT>&nbsp;</TD>
     <TD noWrap align=right></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>nation</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(paid) by fund</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Referenced debt*</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Rating***</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(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>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>per annum</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><I><FONT face=sans-serif size=1>Credit Suisse International cont.</FONT></I>&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></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE PEN AAA</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Series 7 Version 1</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>A+</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,146,531</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,931,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>8/25/37</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$(209,962)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>B+</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>197,589</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,881,800</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>(314,549)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>B+</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,360,425</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>12,804,000</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>(2,124,226)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CMB NA CMBX AAA</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,988</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>54,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/13/49 </FONT></TD>
     <TD noWrap align=left><FONT face=Arial size=1>8 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(9,045)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CMBX NA AAA</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Series 4 Version 1</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,523,481</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,688,000</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>272,673</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<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=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE A Series</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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 Version 2 Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>CCC</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,361,360</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,483,492</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>(80,271)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE AAA Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>126,909</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,606,627</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>(451,476)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE PEN AAA</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>608,711</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,251,532</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>(1,325,645)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE PEN AAA</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Series 6 Version 1</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>113,424</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>688,554</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>(163)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE PEN AAA</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Series 6 Version 2</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>655,834</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,872,226</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>(195,989)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>11 Version 1 Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>B+</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,955,633</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>21,087,800</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/13 </FONT></TD>
     <TD noWrap align=left><FONT face=Arial size=1>500 bp</FONT>&nbsp;&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,573,853)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ iTraxx Europe</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Series 8 Version 1</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(57,074)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=Arial size=1>EUR</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>595,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/12 </FONT></TD>
     <TD noWrap align=left><FONT face=Arial size=1>(375 bp)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>141,400</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ iTraxx Europe</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Series 9 Version 1</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>164,972&nbsp; </FONT></TD>
     <TD noWrap align=right><FONT face=Arial size=1>EUR</FONT></TD>
     <TD noWrap align=right><FONT face=Arial size=1>2,415,000</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>(650 bp)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>712,866</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Federal Republic of</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Brazil, 12 1/4%,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/6/30</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ba1</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>$775,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/20/17</FONT></TD>
     <TD noWrap align=left><FONT face=Arial size=1>105 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(119,122)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>General Electric</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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., 6%,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/15/12</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>C</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>300,000</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>109 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(62,558)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Grohe Holding GmBh,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 5/8%, 10/1/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>B3</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=Arial size=1>EUR</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&nbsp;140,000</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>400 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(9,973)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Grohe Holding GmBh,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 5/8%, 10/1/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>B3</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=Arial size=1>EUR</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&nbsp;505,000</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>400 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(35,975)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>India Government</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bond, 5 7/8%, 1/2/10</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ba2</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>$5,800,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></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>99,878</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Korea Monetary STAB</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bond, 5.15%, 2/12/10</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>A2</FONT>&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>1,365,000 </FONT></TD>
     <TD noWrap align=center><STRONG><SUP><FONT face=Arial size=1>F</FONT></SUP></STRONG>&nbsp;</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>10,635</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Korea Monetary STAB</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bond, 5.45%, 1/23/10</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>A</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>870,000 </FONT></TD>
     <TD noWrap align=center><STRONG><SUP><FONT face=Arial size=1>F</FONT></SUP></STRONG>&nbsp;</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>5,776</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Nalco Co., 7.75%,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/15/11</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>B1</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>70,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/12 </FONT></TD>
     <TD noWrap align=left><FONT face=Arial size=1>363 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(5,545)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>62</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=-->
<A name="page_64"></A>
<P align=left><FONT face=sans-serif size=1>CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I></P>
<TABLE cellSpacing=0 width="80%" border=0>
<TR>
     <TD width="19%"></TD>
     <TD width="5%"></TD>
     <TD width="13%"></TD>
     <TD 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>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Upfront</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fixed payments</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>premium</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Termi-</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Swap counterparty /</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>received</FONT>&nbsp;</TD>
     <TD noWrap align=right></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>nation</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(paid) by fund</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Referenced debt*</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Rating***&nbsp;</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;<FONT face=Arial size=1>(paid)**</FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&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>per annum</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><I><FONT face=sans-serif size=1>Deutsche Bank AG 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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Argentina, 8.28%,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/31/33</FONT>&nbsp;</TD>
     <TD noWrap align=left><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>
     <TD noWrap align=right><FONT face=sans-serif size=1>$660,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></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>$389,055</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Indonesia, 6.75%,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BB&#150;</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>575,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></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>(87,559)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Venezuela, 9 1/4%,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/15/27</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>B2</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>595,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></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>(283,213)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Venezuela, 9 1/4%,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/15/27</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>B2</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>300,000</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>940 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(84,002)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Smurfit Kappa</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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, 10 1/8%,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/1/12</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BB/P</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=Arial size=1>EUR</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&nbsp;415,000</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>135 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(7,673)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Smurfit Kappa</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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, 7 3/4%,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/1/15</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>B2</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=Arial size=1>EUR</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&nbsp;425,000</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>715 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(54,234)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>United Mexican</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>States, 7.5%, 4/8/33</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Baa1</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>$1,495,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></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>(209,559)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Virgin Media</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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 PLC,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 3/4%, 4/15/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>B2</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=Arial size=1>EUR</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&nbsp;400,000</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>477 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(28,043)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Virgin Media</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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 PLC,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 3/4%, 4/15/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>B2</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=Arial size=1>EUR</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&nbsp;400,000</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>535 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(17,336)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><I><FONT face=sans-serif size=1>Goldman Sachs International</FONT></I>&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></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=left><FONT face=sans-serif size=1>CCC</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>501,237</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$741,746</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>(219,579)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE AAA Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>111,232</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,408,161</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>(395,656)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE AAA Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BB+</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>175,796</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>748,000</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>(388,834)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA CMBX AAA</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>56,692</FONT>&nbsp;</TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,550,000 </FONT></TD>
     <TD noWrap align=center><STRONG><SUP><FONT face=Arial size=1>F</FONT></SUP></STRONG>&nbsp;</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>(381,123)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA HY Series</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>11 Version 1 Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(924,653)</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,772,400</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/13</FONT></TD>
     <TD noWrap align=left>&nbsp;<FONT face=Arial size=1>(500 bp)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>553,042</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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 Version 1 Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,177,535)</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>27,089,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></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>(100 bp)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(9,668)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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 Version 1 Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(127,138)</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,893,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></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>(100 bp)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Lighthouse</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>International Co,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>SA, 8%, 4/30/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>B3</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=Arial size=1>EUR</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&nbsp;420,000</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>680 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(204,034)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Smurfit Kappa</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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, 7 3/4%,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>4/1/15</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>B2</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=Arial size=1>EUR</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&nbsp;390,000</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>720 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(74,507)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>63</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=-->
<A name="page_65"></A>
<P align=left><FONT face=sans-serif size=1>CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I></P>
<TABLE cellSpacing=0 width="80%" border=0>
<TR>
     <TD width="19%"></TD>
     <TD width="5%"></TD>
     <TD width="13%"></TD>
     <TD 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>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Upfront</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fixed payments</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>premium</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Termi-</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Swap counterparty /</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>received</FONT>&nbsp;</TD>
     <TD noWrap align=right></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>nation</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(paid) by fund</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Referenced debt*</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Rating***</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(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>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>per annum</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Claire&#146;s Stores,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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 5/8%, 6/1/15</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Caa2</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>$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>$(33,191)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Codere Finance</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>(Luxembourg) S.A.,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.25%, 6/15/15</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>B+</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=Arial size=1>EUR</FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&nbsp;420,000</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>795 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(178,253)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE PEN AAA</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Series 6 Version 1</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>77,693</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$479,613</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>(1,427)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE PEN AAA</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Series 6 Version 2</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>189,164</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>931,370</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>(234,589)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX HE PEN AAA</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Series 6 Version 2</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>659,822</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,856,704</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>(184,938)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA EM Series</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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 Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>BB</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>28,017</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>485,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/13 </FONT></TD>
     <TD noWrap align=left><FONT face=Arial size=1>335 bp</FONT>&nbsp;&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(33,270)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ iTraxx Europe</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Crossover Series 8</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Version 1</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(160,342)&nbsp; </FONT></TD>
     <TD noWrap align=right><FONT face=Arial size=1>EUR</FONT></TD>
     <TD noWrap align=right><FONT face=Arial size=1>1,200,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/12 </FONT></TD>
     <TD noWrap align=left><FONT face=Arial size=1>(375 bp)</FONT>&nbsp;&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>239,894</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freeport-McMoRan</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Copper &amp; Gold,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Inc., bank term loan</FONT>&nbsp;</TD>
     <TD noWrap align=left><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>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,194,100</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>(85 bp)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>81,434</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>General Growth</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Properties, conv.</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>bond 3.98%, 4/15/27</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Baa3</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>1,375,000</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>775 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(927,502)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Argentina, 8.28%,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/31/33</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>B&#150;</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>705,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></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>(460,888)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Hungary, 4 3/4%,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>2/3/15</FONT>&nbsp;</TD>
     <TD noWrap align=left><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>
     <TD noWrap align=right><FONT face=sans-serif size=1>600,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></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>69,741</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of Turkey,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>11 7/8%, 1/15/30</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ba3</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>185,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/20/12 </FONT></TD>
     <TD noWrap align=left><FONT face=Arial size=1>154 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(12,787)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Russian Federation,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 1/2%, 3/31/30</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Baa1</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>1,605,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></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>(366,630)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Sanmina-Sci Corp.,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 1/8%, 3/1/16</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>B3</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>215,000</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>595 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(113,964)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bombardier, Inc,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 3/4%, 5/1/12</FONT>&nbsp;</TD>
     <TD noWrap align=left><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>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,080,000</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>(150 bp)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>202,651</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>D.R. Horton Inc.,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 7/8%, 8/15/11</FONT>&nbsp;</TD>
     <TD noWrap align=left><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>
     <TD noWrap align=right><FONT face=sans-serif size=1>735,000</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>(426 bp)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>368</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Pulte Homes Inc.,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>5.25%, 1/15/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><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>
     <TD noWrap align=right><FONT face=sans-serif size=1>690,000</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>(482 bp)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(33,138)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>64</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=-->
<A name="page_66"></A>
<P align=left><FONT face=sans-serif size=1>CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/09 (Unaudited) </FONT><I><FONT face=sans-serif size=1>cont.</FONT></I></P>
<TABLE cellSpacing=0 width="80%" border=0>
<TR>
     <TD width="19%"></TD>
     <TD width="5%"></TD>
     <TD width="13%"></TD>
     <TD 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>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Upfront</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fixed payments</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>premium</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Termi-</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Swap counterparty /</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>received</FONT>&nbsp;</TD>
     <TD noWrap align=right></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>nation</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(paid) by fund</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Referenced debt*</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Rating***</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(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>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>per annum</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><I><FONT face=sans-serif size=1>Merrill Lynch 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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Kinder Morgan,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Inc., 6 1/2%, 9/1/12</FONT>&nbsp;</TD>
     <TD noWrap align=left><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>
     <TD noWrap align=right><FONT face=sans-serif size=1>$1,589,000</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>(128 bp)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$19,280</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Advanced Micro</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Devices, Inc.,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 3/4%, 11/1/12</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Caa1</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>500,000</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>190 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(23,233)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Bombardier, Inc,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 3/4%, 5/1/12</FONT>&nbsp;</TD>
     <TD noWrap align=left><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>
     <TD noWrap align=right><FONT face=sans-serif size=1>545,000</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>(114 bp)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>107,305</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ ABX CMBX BBB</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>50</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>68,790</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>10/12/52 </FONT></TD>
     <TD noWrap align=left><FONT face=Arial size=1>(134 bp)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>59,866</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CDX NA IG Series</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap 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 Version 1 Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(256,363)</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>6,310,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></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>(100 bp)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,799</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>DJ CMB NA CMBX AAA</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>AAA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>273,852</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,523,500</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>(592,519)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dominican Republic,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8 5/8%, 4/20/27</FONT>&nbsp;</TD>
     <TD noWrap align=left><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>
     <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></TD>
     <TD noWrap align=left><FONT face=Arial size=1>(170 bp)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>287,203</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freeport-McMoRan</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Copper &amp; Gold,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Inc., T/L Bank Loan</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Baa3</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>1,191,200</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>(94,085)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Nalco Co., 7.75%,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/15/11</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>B1</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>(6,669)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Nalco Co., 7.75%,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/15/11</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>B1</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>(6,052)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Republic of</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Venezuela, 9 1/4%,</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/15/27</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>B2</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></TD>
     <TD noWrap align=left><FONT face=Arial size=1>339 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(186,569)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</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=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Meritage Homes</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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Corp., 7%, 5/1/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><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>
     <TD noWrap align=right><FONT face=sans-serif size=1>135,000</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>(760 bp)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>24,927</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>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=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$(15,210,175)</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><B><SUP><FONT face=sans-serif size=1>* </FONT></SUP></B><FONT face=sans-serif size=1>Payments related to the reference debt are made upon a credit default event.</FONT></P>
<P align=left><B><SUP><FONT face=sans-serif size=1>**</FONT></SUP></B><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>***</FONT></SUP></B><FONT face=sans-serif size=1>Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody&#146;s, Standard &amp; Poor&#146;s or Fitch ratings are believed to be the most recent ratings available at March 31, 2009.</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. Securities may be classified as a Level 2 or Level 3 for FASB 157 disclosures based on securities valuation inputs.</FONT></P>
<P align=left><FONT face=sans-serif size=1>65</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=-->
<A name="page_67"></A>
<P align=left><FONT face=sans-serif size=1>In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157). SFAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. While the adoption of SFAS 157 does not have a material effect on the fund&#146;s net asset value, it does require additional disclosures about fair value measurements. The Standard establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund&#146;s investments. The three levels are defined as follows:</FONT></P>
<P align=left><FONT face=sans-serif size=1>Level 1 &#151; Valuations based on quoted prices for identical securities in active markets.</FONT></P>
<P align=left><FONT face=sans-serif size=1>Level 2 &#151; Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.</FONT></P>
<P align=left><FONT face=sans-serif size=1>Level 3 &#151; Valuations based on inputs that are unobservable and significant to the fair value measurement.</FONT></P>
<P align=left><FONT face=sans-serif size=1>The following is a summary of the inputs used to value the fund&#146;s net assets as of March 31, 2009:</FONT></P>
<TABLE cellSpacing=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><I><FONT face=sans-serif size=1>Valuation inputs</FONT></I>&nbsp;</TD>
     <TD noWrap align=center><I><FONT face=sans-serif size=1>Investments in securities</FONT></I>&nbsp;</TD>
     <TD noWrap align=center><I><FONT face=sans-serif size=1>Other financial instruments</FONT></I>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Level 1</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$54,910,861</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$(5,102,481)</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>Level 2</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>377,505,710</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(29,615,937)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Level 3</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>3,805,347</FONT>&nbsp;</TD>
     <TD noWrap align=center><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>Total</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$436,221,918</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$(34,718,418)</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>Other financial instruments include futures, written options, TBA sale commitments, swaps and forward contracts which are valued at the unrealized appreciation/(depreciation) on the instrument.</FONT></P>
<P align=left><FONT face=sans-serif size=1>The following is a reconciliation of Level 3 assets as of March 31, 2009:</FONT></P>
<TABLE cellSpacing=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><I><FONT face=sans-serif size=1>Investment in securities</FONT></I>&nbsp;</TD>
     <TD noWrap align=center><I><FONT face=sans-serif size=1>Other financial instruments</FONT></I>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Balance as of September 30, 2008</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$5,231,184</FONT>&nbsp;</TD>
     <TD noWrap align=center><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>Accrued discounts/premiums</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=center><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>Realized gain/(loss)</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(576,907)</FONT>&nbsp;</TD>
     <TD noWrap align=center><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>Change in net unrealized appreciation/(depreciation)</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>9,932</FONT>&nbsp;</TD>
     <TD noWrap align=center><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>Net purchases/sales</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>1,458,541</FONT>&nbsp;</TD>
     <TD noWrap align=center><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>Net transfers in and/or out of Level 3</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(2,317,403)</FONT>&nbsp;</TD>
     <TD noWrap align=center><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>Balance as of March 31, 2009</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$3,805,347</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$&#151;</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>Other financial instruments include futures, written options, TBA sale commitments, swaps and forward contracts which are valued at the unrealized appreciation/(depreciation) on the instrument.</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=1>66</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=-->
<A name="page_68"></A>
<P align=left><B><FONT face=sans-serif size=2>Statement of assets and liabilities </FONT></B><FONT face=sans-serif size=2>3/31/09 (Unaudited)</FONT></P>
<TABLE cellSpacing=0 width="80%" border=0>
<TR>
     <TD width="87%"></TD>
     <TD width="12%"></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 height=20>
     <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, (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 $498,093,607)</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=right><FONT face=sans-serif size=1>$436,221,918</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>1,195,382</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>4,317,720</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 investments sold</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>47,764,043</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>Receivable for sales of delayed delivery securities (Note 1)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>46,839,636</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>133,767,272</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>Unrealized appreciation on forward currency contracts (Note 1)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,926,672</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 contracts (Note 1)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,366,006</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>679,398,649</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 height=20>
     <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>Payable to custodian (Note 2)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,714,708</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 variation margin (Note 1)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>72,700</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>Distributions payable to shareholders</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,894,836</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 investments purchased</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>47,499,722</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 (Notes 1, 5 and 6)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>97,147,133</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 (Note 2)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>503,686</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>11,610</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>42,370</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>109,606</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>3,600</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 forward currency contracts (Note 1)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,044,577</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 (premiums received $6,619,089) (Notes 1 and 3)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>10,917,662</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>28,878,290</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>158,749,387</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 (proceeds receivable $46,770,469) (Note 1)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>46,987,813</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>Collateral on swap contracts, at value (Note 1)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,779,128</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>69,188</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>400,595,030</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>$278,803,619</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=2>&nbsp;</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 height=20>
     <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) (Note 1)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$575,352,260</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>Undistributed net investment income (Note 1)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>22,245,117</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 foreign currency transactions (Note 1)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(222,709,418)</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>Net unrealized depreciation of investments and assets and liabilities in foreign currencies</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(96,084,340)</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 capital shares outstanding</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$278,803,619</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>COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR height=20>
     <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><FONT face=sans-serif size=1>($278,803,619 divided by 64,477,210 shares)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$4.32</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</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=1>67</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=-->
<A name="page_69"></A>
<P align=left><B><FONT face=sans-serif size=2>Statement of operations </FONT></B><FONT face=sans-serif size=2>Six months ended 3/31/09 (Unaudited)</FONT></P>
<TABLE cellSpacing=0 width="80%" border=0>
<TR>
     <TD width="87%"></TD>
     <TD width="12%"></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 height=20>
     <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 $10,770)</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=right><FONT face=sans-serif size=1>$8,956,866</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>2,317</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>Securities lending</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,656</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>8,961,839</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 height=20>
     <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>1,077,846</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>72,120</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>59,528</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>18,074</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>Administrative services (Note 2)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>14,933</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>236,626</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>1,479,127</FONT>&nbsp;</TD></TR>
<TR height=20>
     <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>(2,666)</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>1,476,461</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 investment income</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>7,485,378</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=2>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net realized loss on investments (Notes 1 and 3)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(27,142,522)</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>(38,569,156)</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>(20,351,505)</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>(1,926,336)</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>193,295</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 appreciation of assets and liabilities in foreign currencies during the period</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,985,252</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 contracts, swap contracts,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>written options, and TBA sale commitments during the period</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(6,910,747)</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>(92,721,719)</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 decrease in net assets resulting from operations</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$(85,236,341)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</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=1>68</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=-->
<A name="page_70"></A>
<P align=left><B><FONT face=sans-serif size=2>Statement of changes in net assets</FONT></B></P>
<TABLE cellSpacing=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=right><FONT face=sans-serif size=1>Six months ended 3/31/09*</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Year ended 9/30/08</FONT>&nbsp;</TD></TR>
<TR height=20>
     <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>Operations:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net investment income</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$7,485,378</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$37,047,440</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>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>(87,796,224)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(357,169)</FONT>&nbsp;</TD></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 depreciation of investments and 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>and liabilities in foreign currencies</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(4,925,495)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(94,081,603)</FONT>&nbsp;</TD></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 decrease in net assets resulting from operations</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(85,236,341)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(57,391,332)</FONT>&nbsp;</TD></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 vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>From ordinary income</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net investment income</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(17,433,230)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(36,112,991)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Increase in capital share transactions from reinvestment</FONT>&nbsp;</TD>
     <TD noWrap 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 distributions</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>211,433</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>Decrease from capital share transactions (Note 4)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(10,711,596)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(93,333,036)</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>Total decrease in net assets</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(113,169,734)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(186,837,359)</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 height=20>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Beginning of period</FONT>&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 vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>End of period </FONT><FONT face=sans-serif size=1>(including undistributed net investment</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>income of $22,245,117 and $32,192,969, respectively)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$278,803,619</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$391,973,353</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 height=20>
     <TD noWrap align=left colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Shares outstanding at beginning of period</FONT>&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>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Shares issued in connection with reinvestment of distributions</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>49,056</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>Shares repurchased (Note 4)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,212,355)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(14,496,521)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Shares outstanding at end of period</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>64,477,210</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>66,640,509</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>* Unaudited</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=1>69</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=-->
<A name="page_71"></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 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 colSpan=2><FONT face=sans-serif size=1>PER-SHARE OPERATING PERFORMANCE</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>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center></TD>
     <TD noWrap align=center><FONT face=Arial size=1>Six months ended**</FONT>&nbsp;&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>Year ended</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>3/31/09</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>9/30/08</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>9/30/07</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>9/30/06</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>9/30/05</FONT>&nbsp;</TD>
     <TD noWrap align=center><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,</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>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>beginning of period</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$5.88</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$7.13</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$7.08</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$7.07</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$7.13</FONT>&nbsp;</TD>
     <TD noWrap align=center><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>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>
<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=center><FONT face=sans-serif size=1>.12</FONT>&nbsp;</TD>
     <TD noWrap align=center><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=center><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=center><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=center><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=center><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=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net realized and unrealized</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>gain (loss) on investments</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(1.43)</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(1.28)</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>.01</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(.04 )</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>.04</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>.23</FONT>&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=1>Total from investment operations</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(1.31)</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(.79)</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>.37</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>.30</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>.36</FONT>&nbsp;</TD>
     <TD noWrap align=center><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>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>
<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=center><FONT face=sans-serif size=1>(.27)</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(.49)</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(.36)</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(.35)</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(.42)</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(.49)</FONT>&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=1>Total distributions</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(.27)</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(.49)</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(.36)</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(.35)</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(.42)</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(.49)</FONT>&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=1>Increase from shares repurchased</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>.02</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>.03</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>.04</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>.06</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>&#151;</FONT>&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=1>Net asset value, end of period</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$4.32</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$5.88</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$7.13</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$7.08</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$7.07</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$7.13</FONT>&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=1>Market value, end of period</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$4.28</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$5.39</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$6.41</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$6.15</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$6.25</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$6.73</FONT>&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=1>Total return at</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>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>market value (%) </FONT><B><SUP><FONT face=sans-serif size=1>b</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(15.36) </FONT><B><SUP><FONT face=sans-serif size=1>*</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(8.92)</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>10.15</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>4.17</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>(0.98)</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>12.95</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>&nbsp;</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>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR height=20>
     <TD noWrap align=left colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Net assets, end of period</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>(in thousands)</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$278,804</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$391,973</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$578,811</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$664,410</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$709,266</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>$715,596</FONT>&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=1>Ratio of expenses to</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>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>average net assets (%) </FONT><B><SUP><FONT face=sans-serif size=1>c</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>.51 </FONT><B><SUP><FONT face=sans-serif size=1>*</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=center><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=center><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=center><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=center><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=center><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=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Ratio of net investment income</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>
     <TD noWrap 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 average net assets (%)</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>2.62 </FONT><B><SUP><FONT face=sans-serif size=1>*</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=center><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=center><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=center><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=center><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=center><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=7>
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</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Portfolio turnover (%)</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT face=sans-serif size=1>112.11 </FONT><B><SUP><FONT face=sans-serif size=1>e</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=center><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=center><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=center><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=center><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=center><FONT face=sans-serif size=1>113.46</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><B><SUP><FONT face=sans-serif size=1>* </FONT></SUP></B><FONT face=sans-serif size=1>Not annualized.</FONT></P>
<P align=left><B><SUP><FONT face=sans-serif size=1>** </FONT></SUP></B><FONT face=sans-serif size=1>Unaudited. </FONT></P>
<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 the 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:</FONT></P>
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     <TD width="50%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Percentage</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>of average net assets</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left colSpan=2>
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     <TD noWrap align=left><FONT face=sans-serif size=1>September 30, 2008</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&lt;0.01%</FONT>&nbsp;</TD></TR>
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     <TD colSpan=2>
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</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><FONT face=sans-serif size=1>0.02</FONT>&nbsp;</TD></TR>
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     <TD colSpan=2>
<HR noShade SIZE=1>
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     <TD noWrap align=left><FONT face=sans-serif size=1>September 30, 2006</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>0.02</FONT>&nbsp;</TD></TR>
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     <TD colSpan=2>
<HR noShade SIZE=1>
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     <TD noWrap align=left><FONT face=sans-serif size=1>September 30, 2005</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>0.02</FONT>&nbsp;</TD></TR>
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<HR noShade SIZE=1>
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     <TD noWrap align=left><FONT face=sans-serif size=1>September 30, 2004</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>&lt;0.01</FONT>&nbsp;</TD></TR>
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<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=1>70</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>3/31/09 (Unaudited)</FONT></P>
<P align=left><FONT face=sans-serif size=1><B>Note 1: Significant accounting policies</B></FONT></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 signifi-cant portion of its assets in securitized debt instruments, including mortgage-backed and asset-backed investments. The yields and values of these investments are sensitive to changes in interest rates, the rate of principal payments on the underlying assets and the market&#146;s perception of the issuers. The market for these in
vestments 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 </FONT><FONT face=sans-serif size=1>Management&#148;), the fund&#146;s manager, a wholly-owned subsidiary of Putnam Investments, LLC. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for compara
ble securities and various relationships, generally recognized by institutional traders, between securities. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors, including movements in the U.S. securities markets. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. To the extent a pricing service or dealer is unable to value a security or provides a valuation which Putnam Management does not believe accura
tely reflects the security&#146;s fair value, the security will be valued at fair value by Putnam Management. Certain investments, including certain restricted and illiquid 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. 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>71</FONT></P>
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<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. 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 </FONT><FONT face=sans-serif size=1>e
xchange gains or losses on closed forward currency contracts, disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the fund&#146;s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of open forward currency contracts and assets and liabilities other than investments at the period end, resulting from changes in the exchange rate. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations, not present with domestic investments.</FONT></P>
<P align=left><FONT face=sans-serif size=1><B>F) 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, interest or exchange rates moving unexpectedly 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 origina
lly 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>72</FONT></P>
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<P align=left><FONT face=sans-serif size=1><B>G) 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>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 gains or losses. Certain total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes 
in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities. Total return swap contracts outstanding at period end, if any, are listed after the fund&#146;s portfolio.</FONT></P>
<P align=left><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 </FONT><FONT face=sans-serif size=1>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 are accrued based on the
 terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities. Interest 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 contracts </B></FONT><FONT face=sans-serif size=1>The fund may enter into credit default contracts to provide a measure of protection against risk of loss following a default, or other credit event in respect of issuers within an underlying index or a single issuer, or to gain credit exposure to an underlying index or issuer. In a credit default contract, the protection buyer typically makes an up front payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. 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. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.</FONT></P>
<P align=left><FONT face=sans-serif size=1>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 or the possibility that the fund may be unable to close out its position at the</FONT></P>
<P align=left><FONT face=sans-serif size=1>73</FONT></P>
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<P align=left><FONT face=sans-serif size=1>same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities.. The fund&#146;s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk is mitigated by having a master netting arrangement between the fund and the coun-terparty. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount of the relevant credit default contract. Credit default contracts outstanding, including their respective notional amounts 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) Master agreements </B></FONT><FONT face=sans-serif size=1>The fund is a party to ISDA (International Swap and Derivatives Association, Inc.) Master Agreements (&#147;Master Agreements&#148;) with certain counterparties that govern over the counter derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties&#146; general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund&#146;s custodian; collateral pledged by the fund is segregated by the fund&#146;s custodian and identified in The fund&#146;s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed
 to by the fund and the applicable counterparty. Termination events applicable to the fund may occur upon a decline in the fund&#146;s net assets below a speci-fied threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty&#146;s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund&#146;s counterparties to elect early termination could impact the fund&#146;s future derivative activity.</FONT></P>
<P align=left><FONT face=sans-serif size=1><B>L) 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, it is anticipated that the amount of </FONT><FONT face=sans-serif size=1>the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. TBA purchase commitments may be considered securities themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is 
in addition to the risk of decline in the value of the fund&#146;s other assets. Unsettled TBA purchase commitments are valued at fair value of the underlying securities, according to the procedures described under &#147;Security valuation&#148; above. The contract is 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>M) 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>N) 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</FONT></P>
<P align=left><FONT face=sans-serif size=1>74</FONT></P>
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<P align=left><FONT face=sans-serif size=1>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>O) 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 March 31, 2009, the fund had no securities out on loan. </FONT></P>
<P align=left><FONT face=sans-serif size=1><B>P) 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. The fund is subject to the provisions of FASB Interpretation No. 48, </FONT><I><FONT face=sans-serif size=1>Accounting for Uncertainties in Income Taxes </FONT></I><FONT face=sans-serif size=1>(&#147;FIN 48&#148;). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The fund did not have any unrecognized tax benefits in the accompanying financial statements. No provision has been made for federal taxes on income, cap
ital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains. Each of the fund&#146;s federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service and state departments of revenue.</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 width="80%" border=0>
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     <TD width="33%"></TD>
     <TD width="33%"></TD>
     <TD width="33%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Loss Carryover</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Expiration</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD></TR>
<TR height=20>
     <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>$24,593,458</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>September 30, 2009</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>27,431,170</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>September 30, 2010</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>47,564,236</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>September 30, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7,342,291</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>September 30, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>11,586,218</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>September 30, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=1>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>The aggregate identified cost on a tax basis is $500,570,627, resulting in gross unrealized appreciation and depreciation of $27,430,514 and $91,779,223, respectively, or net unrealized depreciation of $64,348,709.</FONT></P>
<P align=left><FONT face=sans-serif size=1><B>Q) 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. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund&#146;s fiscal year. Reclassifications are made to the fund&#146;s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations.</FONT></P>
<P align=left><FONT face=sans-serif size=1><B>Note 2: Management fee, administrative</B></FONT><BR>
<FONT face=sans-serif size=1><B>services and other transactions</B></FONT></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>On September 26, 2008, the fund entered into an Agreement with another registered investment company (the &#147;Seller&#148;) managed by Putnam Management. Under the Agreement, the Seller sold to the fund the right to receive, in the aggregate, $655,823 in net payments from Lehman Brothers Special Financing, Inc. in connection with certain</FONT></P>
<P align=left><FONT face=sans-serif size=1>75</FONT></P>
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<P align=left><FONT face=sans-serif size=1>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. and is included in the Statement of assets and liabilities within payable for investments purchased. Future payments under the Agreement are valued at fair value following procedures approved by the Trustees and are included in the Statement of assets and liabilities. 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>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>Custodial functions for the fund&#146;s assets were provided 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 and transaction volumes.</FONT></P>
<P align=left><FONT face=sans-serif size=1>Putnam Investor Services, a division of Putnam Fiduciary Trust Company (&#147;PFTC&#148;), which is an affiliate of Putnam Management, 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. The amounts incurred for investor servicing agent functions provided by PFTC during the six months ended March 31, 2009 are included in Investor servicing fees in the Statement of operations.</FONT></P>
<P align=left><FONT face=sans-serif size=1>Under the custodian contract between the fund and State Street, the custodian bank has a lien on the securities of the fund to the extent permitted by the fund&#146;s investment restrictions to cover any advances made by the custodian bank for the settlement of securities purchased by the fund. At March 31, 2009, the payable to the custodian bank represents the amount due for cash advanced for the settlement of securities purchased.</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 six months ended March 31, 2009, the fund&#146;s expenses were reduced by $2,666 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 $377, 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><FONT face=sans-serif size=1><B>Note 3: Purchases and sales of securities</B></FONT></P>
<P align=left><FONT face=sans-serif size=1>During the six months ended March 31, 2009, cost of purchases and proceeds from sales of investment securities other than U.S. government securities and short-term investments aggregated $326,080,525 and $430,448,893, respectively. Purchases and sales of U.S. government securities aggregated $18,696,644 and $16,735,000, respectively.</FONT></P>
<P align=left><FONT face=sans-serif size=1>76</FONT></P>
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<P align=left><FONT face=sans-serif size=1>Written option transactions during the six months ended March 31, 2009 are summarized as follows:</FONT></P>
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<TR>
     <TD width="38%"></TD>
     <TD width="9%"></TD>
     <TD width="26%"></TD>
     <TD width="26%"></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></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></TR>
<TR height=20>
     <TD noWrap align=left colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Written</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>options</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>outstanding</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>at beginning </FONT></TD>
     <TD noWrap align=right>&nbsp;<FONT face=Arial 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></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>of period</FONT>&nbsp;</TD>
     <TD noWrap align=right><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></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Options</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>8,102,500</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>382,438</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>opened</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100,916,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>4,541,221</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>Options</FONT>&nbsp;</TD>
     <TD noWrap align=right><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></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>exercised</FONT>&nbsp;</TD>
     <TD noWrap align=right><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></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Options</FONT>&nbsp;</TD>
     <TD noWrap align=right><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></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>expired</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,120,000)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(63,336)</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>Options</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(8,102,500)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(382,438)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>closed</FONT>&nbsp;</TD>
     <TD noWrap align=right><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></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Written</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>options</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>outstanding</FONT>&nbsp;</TD>
     <TD noWrap align=right><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></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>at end</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>of period</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>153,877,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$6,619,089</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><B>Note 4: Share repurchase program</B></FONT></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 six-months ended March 31, 2009, the fund repurchased 2,212,355 common shares for an aggregate purchase price of $10,711,596, which reflects a weighted-average discount from net asset value per share of 8.41%.</FONT></P>
<P align=left><FONT face=sans-serif size=1><B>Note 5: Senior loan commitments</B></FONT></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 </FONT><FONT face=sans-serif size=1>fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.</FONT></P>
<P align=left><FONT face=sans-serif size=1><B>Note 6: Unfunded loan commitments</B></FONT></P>
<P align=left><FONT face=sans-serif size=1>As of March 31, 2009, the fund had unfunded loan commitments of $9,697, which could be extended at the option of the borrower, pursuant to the following loan agreements with the following borrower:</FONT></P>
<TABLE cellSpacing=0 width="80%" border=0>
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     <TD width="33%"></TD>
     <TD width="33%"></TD>
     <TD width="33%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=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 height=20>
     <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>Golden Nugget, Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$9,697</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><FONT face=sans-serif size=1><B>Note 7: Regulatory matters and litigation</B></FONT></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 (the &#147;SEC&#148;) 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><B>Note 8: New accounting pronouncement</B></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 and interim periods 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 April 2009, FASB issued a new FASB Staff Position FSP FAS 157-4 which amends FASB Statement No. 157, </FONT><I><FONT face=sans-serif size=1>Fair Value Measurements</FONT></I><FONT face=sans-serif size=1>, and is effective for interim and annual periods ending after June 15, 2009. FSP FAS 157-4 provides additional guidance when the volume and level of activity for the asset or liability measured at fair value has significantly decreased. Additionally, FSP FAS 157-4 expands disclosure by reporting entities with</FONT></P>
<P align=left><FONT face=sans-serif size=1>77</FONT></P>
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<P align=left><FONT face=sans-serif size=1>respect to categories of assets and liabilities carried at fair value. Putnam Management believes applying the provisions of FSP FAS 157-4 will not have a material impact on its financial statements.</FONT></P>
<P align=left><FONT face=sans-serif size=1><B>Note 9: Market and credit risk</B></FONT></P>
<P align=left><FONT face=sans-serif size=1>In the normal course of business, the fund trades finan-cial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the transaction to perform (credit risk). The fund may be exposed to additional credit risk that an institution or other entity with which the funds have unsettled or open transactions will default.</FONT></P>
<P align=left><FONT face=sans-serif size=1>78</FONT></P>
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<P align=left><FONT face=sans-serif size=4>Shareholder meeting results (unaudited)</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>January 29, 2009 annual meeting</FONT></B><BR>
<FONT face=sans-serif size=1>At the meeting, each of the nominees for Trustees was elected, as follows:</FONT></P>
<TABLE cellSpacing=0 width="80%" border=0>
<TR>
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     <TD width="33%"></TD>
     <TD width="33%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <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 withheld</FONT>&nbsp;</TD></TR>
<TR height=20>
     <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=left><FONT face=sans-serif size=1>52,770,644</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5,428,717</FONT>&nbsp;</TD></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=left><FONT face=sans-serif size=1>52,783,549</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5,415,812</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>Robert J. Darretta</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>52,751,878</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5,447,483</FONT>&nbsp;</TD></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=left><FONT face=sans-serif size=1>52,772,846</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5,426,515</FONT>&nbsp;</TD></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=left><FONT face=sans-serif size=1>52,730,313</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5,469,048</FONT>&nbsp;</TD></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=left><FONT face=sans-serif size=1>52,770,297</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5,429,064</FONT>&nbsp;</TD></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=left><FONT face=sans-serif size=1>52,751,987</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5,447,374</FONT>&nbsp;</TD></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=left><FONT face=sans-serif size=1>52,747,239</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5,452,122</FONT>&nbsp;</TD></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=left><FONT face=sans-serif size=1>52,735,929</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5,463,432</FONT>&nbsp;</TD></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=left><FONT face=sans-serif size=1>52,753,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5,446,361</FONT>&nbsp;</TD></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=left><FONT face=sans-serif size=1>52,666,563</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5,532,798</FONT>&nbsp;</TD></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 L. Reynolds</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>52,643,403</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5,555,958</FONT>&nbsp;</TD></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=left><FONT face=sans-serif size=1>52,779,617</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>5,419,744</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>All tabulations are rounded to the nearest whole number.</FONT></P>
<P align=left><FONT face=sans-serif size=1>79</FONT></P>
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<P align=left><FONT face=sans-serif size=5>Services for shareholders</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Investor services</FONT></B></P>
<P align=left><B><FONT face=serif size=2>Systematic investment plan </FONT></B><FONT face=serif size=2>Tell us how much you wish to invest regularly &#151; weekly, semimonthly, or monthly &#151; and the amount you choose will be transferred automatically from your checking or savings account. There&#146;s no additional fee for this service, and you can suspend it at any time. This plan may be a great way to save for college expenses or to plan for your retirement.</FONT></P>
<P align=left><FONT face=serif size=2>Please note that regular investing does not guarantee a profit or protect against loss in a declining market. Before arranging a systematic investment plan, consider your financial ability to continue making purchases in periods when prices are low.</FONT></P>
<P align=left><B><FONT face=serif size=2>Systematic exchange </FONT></B><FONT face=serif size=2>You can make regular transfers from one Putnam fund to another Putnam fund. There are no additional fees for this service, and you can cancel or change your options at any time.</FONT></P>
<P align=left><B><FONT face=serif size=2>Dividends PLUS </FONT></B><FONT face=serif size=2>You can choose to have the dividend distributions from one of your Put-nam funds automatically reinvested in another Putnam fund at no additional charge.</FONT></P>
<P align=left><B><FONT face=serif size=2>Free exchange privilege </FONT></B><FONT face=serif size=2>You can exchange money between Putnam funds free of charge, as long as they are the same class of shares. A signature guarantee is required if you are exchanging more than $500,000.</FONT></P>
<P align=left><B><FONT face=serif size=2>Reinstatement privilege </FONT></B><FONT face=serif size=2>If you&#146;ve sold Putnam shares or received a check for a dividend or capital gain, you may reinvest the proceeds with Putnam within 90 days of the transaction and they will be reinvested at the fund&#146;s current net asset value &#151; with no sales charge. However, reinstatement of class B shares may have special tax consequences. Ask your financial or tax representative for details.</FONT></P>
<P align=left><B><FONT face=serif size=2>Check-writing service </FONT></B><FONT face=serif size=2>You have ready access to many Putnam accounts. It&#146;s as simple as writing a check, and there are no special fees or service charges. For more information about the check-writing service, call Putnam or visit our Web site.</FONT></P>
<P align=left><B><FONT face=serif size=2>Dollar cost averaging </FONT></B><FONT face=serif size=2>When you&#146;re investing for long-term goals, it&#146;s time, not timing, that counts. Investing on a systematic basis is a better strategy than trying to figure out when the markets will go up or down. This means investing the same amount of money regularly over a long period. This method of investing is called dollar cost averaging. When a fund&#146;s share price declines, your investment dollars buy more shares at lower prices. When it increases, they buy fewer shares. Over time, you will pay a lower average price per share.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>For more information</FONT></B></P>
<P align=left><B><FONT face=serif size=2>Visit the Individual Investors section at putnam.com </FONT></B><FONT face=serif size=2>A secure section of our Web site contains complete information on your account, including balances and transactions, updated daily. You may also conduct transactions, such as exchanges, additional investments, and address changes. Log on today to get your password.</FONT></P>
<P align=left><B><FONT face=serif size=2>Call us toll free at 1-800-225-1581 </FONT></B><FONT face=serif size=2>Ask a helpful Putnam representative or your financial advisor for details about any of these or other services, or see your prospectus.</FONT></P>
<P align=left><FONT face=sans-serif size=1>80</FONT></P>
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<P align=left><FONT face=sans-serif size=4>Fund information</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>About Putnam Investments</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>Founded over 70 years ago, Putnam Investments was built around the concept that a balance between risk and reward is the hallmark of a well-rounded financial program. We manage 100 mutual funds across income, value, blend, growth, asset allocation, absolute return, and global sector categories.</FONT></P>
<TABLE cellSpacing=0 width="80%" border=0>
<TR>
     <TD width="33%"></TD>
     <TD width="33%"></TD>
     <TD width="33%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2><B>Investment Manager</B></FONT><B>&nbsp;</B></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Elizabeth T. Kennan</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Beth S. Mazor</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>Kenneth R. Leibler</FONT>&nbsp;</TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Vice President</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 E. Patterson</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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><FONT face=sans-serif size=2>George Putnam, III</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>James P. Pappas</FONT>&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><FONT face=sans-serif size=2>Robert L. Reynolds</FONT>&nbsp;</TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Vice President</FONT></I>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Richard B. Worley</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2><B>Investment Sub-Manager</B></FONT><B>&nbsp;</B></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Francis J. McNamara, III</FONT>&nbsp;&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Investments Limited</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=2><B>Officers</B></FONT><B>&nbsp;</B></TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Vice President and</FONT></I>&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><FONT face=sans-serif size=2>Charles E. Haldeman, Jr.</FONT>&nbsp;</TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Chief Legal Officer</FONT></I>&nbsp;</TD></TR>
<TR height=20>
     <TD noWrap align=left><FONT face=sans-serif size=2>London, England SW1A 1LD</FONT>&nbsp;</TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>President</FONT></I>&nbsp;</TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Robert R. Leveille</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2><B>Marketing Services</B></FONT><B>&nbsp;</B></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Charles E. Porter</FONT>&nbsp;</TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Vice President and</FONT></I>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Retail Management</FONT>&nbsp;</TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Executive Vice President,</FONT></I>&nbsp;</TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Chief Compliance Officer</FONT></I>&nbsp;</TD></TR>
<TR height=20>
     <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>Principal Executive Officer,</FONT></I>&nbsp;</TD>
     <TD noWrap align=left></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><I><FONT face=sans-serif size=2>Associate Treasurer and</FONT></I>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Mark C. Trenchard</FONT>&nbsp;&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Compliance Liaison</FONT></I>&nbsp;</TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Vice President and</FONT></I>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2><B>Custodian</B></FONT><B>&nbsp;</B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>BSA Compliance Officer</FONT></I>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>State Street Bank</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Jonathan S. Horwitz</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>and Trust Company</FONT>&nbsp;</TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Senior Vice President</FONT></I>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Judith Cohen</FONT>&nbsp;&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>and Treasurer</FONT></I>&nbsp;&nbsp;</TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Vice President, Clerk and</FONT></I>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2><B>Legal Counsel</B></FONT><B>&nbsp;</B></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Assistant Treasurer</FONT></I>&nbsp; </TD></TR>
<TR height=20>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ropes &amp; Gray LLP</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Steven D. Krichmar</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD></TR>
<TR height=20>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Vice President and</FONT></I>&nbsp;&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Wanda M. McManus</FONT></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>Principal Financial Officer</FONT></I>&nbsp;</TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Vice President, Senior Associate</FONT></I>&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></TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Treasurer and Assistant Clerk</FONT></I>&nbsp;&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Jameson A. Baxter,</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Janet C. Smith</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Vic<I><FONT face=sans-serif size=2>e Chairman</FONT></I>&nbsp;</FONT></I></TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Vice President, Principal</FONT></I>&nbsp;&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Nancy E. Florek</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ravi A<FONT face=sans-serif size=2>khoury</FONT>&nbsp;</FONT></TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Accounting Officer and</FONT></I>&nbsp;</TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Vice President, Assistant Clerk,</FONT></I>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Charles B. Curtis</FONT>&nbsp;</TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Assistant Treasurer</FONT></I>&nbsp;</TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Assistant Treasurer and</FONT></I>&nbsp;&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2><FONT face=sans-serif size=2>Rob<FONT face=sans-serif size=2>ert J. Darretta</FONT>&nbsp;</FONT></FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Proxy Manager</FONT></I>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Myra R. Drucker</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Susan G. Malloy</FONT>&nbsp;</TD>
     <TD noWrap align=left></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 and</FONT></I>&nbsp;</TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Paul L. Joskow</FONT>&nbsp;</TD>
     <TD noWrap align=left><I><FONT face=sans-serif size=2>Assistant Treasurer</FONT></I>&nbsp;</TD>
     <TD noWrap align=left></TD></TR>
<TR height=20>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>Call 1-800-225-1581 weekdays between 8:30 a.m. and 8:00 p.m. or on Saturday between 9:00 a.m. and 5:00 p.m. Eastern Time, or visit our Web site (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>Not Applicable</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>Item 3. Audit Committee Financial Expert:</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>Not Applicable</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>Not Applicable</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>Item 5. Audit Committee</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>Not Applicable</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>Item 6. Schedule of Investments:</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>The registrant&#146;s schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above.</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies:</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>Not applicable</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>Item 8. Portfolio Managers of Closed-End Management Investment Companies</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>(a) Not applicable</FONT></P>
<P align=left><FONT face=sans-serif size=2>(b) There have been no changes to the list of the registrant&#146;s identified portfolio managers included in the registrant&#146;s report on Form N-CSR for the most recent completed fiscal year.</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>
<P align=left><FONT face=sans-serif size=2>Registrant Purchase of Equity Securities</FONT></P>
<TABLE cellSpacing=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=right>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Maximum</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Total Number</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Number (or</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>of Shares</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Approximate</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Purchased</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Dollar Value)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>as Part</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>of Shares</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>of Publicly</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>that May Yet Be</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Total Number</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Average</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Announced</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Purchased</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>of Shares</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Price Paid</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Plans or</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>under the Plans</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><U><FONT face=sans-serif size=2>Period</FONT></U>&nbsp;</TD>
     <TD noWrap align=right><U><FONT face=sans-serif size=2>Purchased</FONT></U>&nbsp;</TD>
     <TD noWrap align=right><U><FONT face=sans-serif size=2>per Share</FONT></U>&nbsp;</TD>
     <TD noWrap align=right><U><FONT face=sans-serif size=2>Programs*</FONT></U>&nbsp;</TD>
     <TD noWrap align=right><U><FONT face=sans-serif size=2>or Programs**</FONT></U>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;&nbsp;</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 7, 2008</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>-</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>-</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>-</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>5,747,748</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>October 8 -</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>October 31, 2008</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,990,091</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$4.95</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,990,091</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,673,960</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=right>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>November 30, 2008</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>165,037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$3.86</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>165,037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,508,923</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=right>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>December 31, 2008</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>57,228</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$4.04</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>57,228</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,451,695</FONT>&nbsp;</TD></TR></TABLE><BR>
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<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><FONT face=sans-serif size=2>January 1 -</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></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>January 31, 2009</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>-</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>-</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>-</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,451,695</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=right></TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>February 28, 2009</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>-</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>-</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>-</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,451,695</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=right></TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>March 31, 2009</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>-</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>-</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>-</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,451,695</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. </FONT><FONT face=sans-serif size=2>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 6,664,051 shares through October 7, 2009.</FONT></P>
<P align=left><FONT face=sans-serif size=2>**Information prior to October 7, 2008 is based on the total number of shares eligible for repurchase under the program, as amended through September 2007. Information from October 8, 2008 forward is based on the total number of shares eligible for repurchase under the program, as amended through September 2008.</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>Item 10. Submission of Matters to a Vote of Security Holders:</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>Not applicable</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>Item 11. Controls and Procedures:</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>(a) The registrant's principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission's rules and forms.</FONT></P>
<P align=left><FONT face=sans-serif size=2>(b) Changes in internal control over financial reporting: Not applicable</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>Item 12. Exhibits:</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>(a)(1) Not applicable</FONT></P>
<P align=left><FONT face=sans-serif size=2>(a)(2) Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.</FONT></P>
<P align=left><FONT face=sans-serif size=2>(b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, are filed herewith.</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>SIGNATURES</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.</FONT></P>
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<P align="left"> <U><FONT size=2 face="sans-serif">Putnam Master Intermediate Income Trust</FONT></U><BR>
<BR>
<FONT size=2 face="sans-serif">By (Signature and Title):</FONT><BR>
<BR>
<U><FONT size=2 face="sans-serif">/s/Janet C. Smith</FONT></U><BR>
<FONT size=2 face="sans-serif">Janet C. Smith</FONT><BR>
<FONT size=2 face="sans-serif">Principal Accounting Officer</FONT><BR>
<BR>
<FONT size=2 face="sans-serif">Date: May 29, 2009</FONT></P>
<P align="left"> <FONT size=2 face="sans-serif">Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.</FONT></P>
<P align="left"> <FONT size=2 face="sans-serif">By (Signature and Title):</FONT><BR>
<BR>
<U><FONT size=2 face="sans-serif">/s/Charles E. Porter</FONT></U><BR>
<FONT size=2 face="sans-serif">Charles E. Porter</FONT><BR>
<FONT size=2 face="sans-serif">Principal Executive Officer</FONT><BR>
<BR>
<FONT size=2 face="sans-serif">Date: May 29, 2009</FONT><BR>
<FONT size=2 face="sans-serif">By (Signature and Title):</FONT><BR>
<BR>
<U><FONT size=2 face="sans-serif">/s/Steven D. Krichmar</FONT></U><BR>
<FONT size=2 face="sans-serif">Steven D. Krichmar</FONT><BR>
<FONT size=2 face="sans-serif">Principal Financial Officer</FONT><BR>
<BR>
<FONT size=2 face="sans-serif">Date: May 29, 2009</FONT></P>
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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: May 28, 2009</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&#146;s internal control over financial reporting.</FONT></P>
<P align="left"> <FONT size=2 face="sans-serif">Date: May 28, 2009</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 noWrap align=center><FONT face=sans-serif size=2>Attachment A</FONT>&nbsp;</TD>
     <TD noWrap align=center></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT face=sans-serif size=2>N-CSR</FONT>&nbsp;</TD>
     <TD noWrap align=center></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT face=sans-serif size=2>Period (s) ended March 31, 2009</FONT>&nbsp;</TD>
     <TD noWrap align=center></TD></TR>
<TR>
     <TD colSpan=2>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>&nbsp;</TD></TR>
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     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam Master Intermediate Income Trust</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam California Tax Exempt Income Fund</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam American Government Income Fund</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam Tax Exempt Income Fund</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam International New Opportunities Fund</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam U.S. Government Income Trust</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam Money Market Fund</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam Tax Exempt Money Market Fund</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam Diversified Income Trust</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam Asset Allocation: Balanced Portfolio</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam Asset Allocation: Growth Portfolio</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam Asset Allocation: Conservative Portfolio</FONT>&nbsp;</TD></TR></TABLE><BR>
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<TYPE>EX-99.906 CERT
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<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 March 31, 2009 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and</FONT></P>
<P align="left"> <FONT size=2 face="sans-serif">2. The information contained in the Form N-CSR of the Funds listed on Attachment A for the period ended March 31, 2009 fairly presents, in all material respects, the financial condition and results of operations of the Funds listed on Attachment A.</FONT></P>
<P align="left"> <FONT size=2 face="sans-serif">Date: May 28, 2009</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">Section 906 Certifications</FONT></U></P>
<P align="left"> <FONT size=2 face="sans-serif">I, Steven D. Krichmar, the Principal Financial Officer of the Funds listed on Attachment A, certify that, to my knowledge:</FONT></P>
<P align="left"> <FONT size=2 face="sans-serif">1. The form N-CSR of the Funds listed on Attachment A for the period ended March 31, 2009 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and</FONT></P>
<P align="left"> <FONT size=2 face="sans-serif">2. The information contained in the Form N-CSR of the Funds listed on Attachment A for the period ended March 31, 2009 fairly presents, in all material respects, the financial condition and results of operations of the Funds listed on Attachment A.</FONT></P>
<P align="left"> <FONT size=2 face="sans-serif">Date: May 28, 2009</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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<TABLE cellSpacing=0 width="80%" border=0>
<TR>
     <TD width="25%"></TD>
     <TD width="74%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT face=sans-serif size=2>Attachment A</FONT>&nbsp;</TD>
     <TD noWrap align=center></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT face=sans-serif size=2>N-CSR</FONT>&nbsp;</TD>
     <TD noWrap align=center></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT face=sans-serif size=2>Period (s) ended March 31, 2009</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD colSpan=2>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam Master Intermediate Income Trust</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam California Tax Exempt Income Fund</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam American Government Income Fund</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam Tax Exempt Income Fund</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam International New Opportunities Fund</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam U.S. Government Income Trust</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam Money Market Fund</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam Tax Exempt Money Market Fund</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam Diversified Income Trust</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam Asset Allocation: Balanced Portfolio</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam Asset Allocation: Growth Portfolio</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam Asset Allocation: Conservative Portfolio</FONT>&nbsp;</TD></TR></TABLE><BR>
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`
end
</TEXT>
</DOCUMENT>
</SEC-DOCUMENT>
-----END PRIVACY-ENHANCED MESSAGE-----
