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<SEC-DOCUMENT>0000928816-10-000586.txt : 20100528
<SEC-HEADER>0000928816-10-000586.hdr.sgml : 20100528
<ACCEPTANCE-DATETIME>20100528123012
ACCESSION NUMBER:		0000928816-10-000586
CONFORMED SUBMISSION TYPE:	N-CSRS
PUBLIC DOCUMENT COUNT:		15
CONFORMED PERIOD OF REPORT:	20100331
FILED AS OF DATE:		20100528
DATE AS OF CHANGE:		20100528
EFFECTIVENESS DATE:		20100528

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:		10865352

	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_intermedinc.htm
<DESCRIPTION>PUTNAM MASTER INTERMEDIATE INCOME TRUST
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     <TD colSpan=3 noWrap align=center><FONT size=2 face=sans-serif>UNITED STATES</FONT></TD></TR>
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     <TD colSpan=3 noWrap align=center><FONT size=2 face=sans-serif>SECURITIES AND EXCHANGE COMMISSION</FONT></TD></TR>
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     <TD colSpan=3 noWrap align=center><FONT size=2 face=sans-serif>Washington, D.C. 20549</FONT></TD></TR>
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     <TD colSpan=3 noWrap align=center><B><FONT size=2 face=sans-serif>FORM N-CSR</FONT></B></TD></TR>
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     <TD colSpan=3 noWrap align=center>&nbsp;</TD></TR>
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     <TD colSpan=3 noWrap align=center><B><FONT size=2 face=sans-serif>CERTIFIED SHAREHOLDER REPORT OF REGISTERED</FONT></B></TD></TR>
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     <TD colSpan=3 noWrap align=center><B><FONT size=2 face=sans-serif>MANAGEMENT INVESTMENT COMPANIES</FONT></B></TD></TR>
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     <TD colSpan=3 noWrap align=center>&nbsp; </TD></TR>
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     <TD colSpan=3 noWrap align=left><FONT size=2 face=sans-serif>Investment Company Act file number: (811- 05498 )</FONT></TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Exact name of registrant as specified in charter:</FONT></TD>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Putnam Master Intermediate Income Trust</FONT></TD></TR>
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     <TD noWrap align=left>&nbsp;</TD>
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     <TD colSpan=3 noWrap align=left><FONT size=2 face=sans-serif>Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109</FONT></TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Name and address of agent for service:</FONT></TD>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Beth S. Mazor, Vice President</FONT></TD></TR>
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     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>One Post Office Square</FONT></TD></TR>
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     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Boston, Massachusetts 02109</FONT></TD></TR>
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     <TD noWrap align=center><FONT size=2 face=sans-serif>Copy to:</FONT></TD>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>John W. Gerstmayr, Esq.</FONT></TD></TR>
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     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Ropes &amp; Gray LLP</FONT></TD></TR>
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     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>One International Place</FONT></TD></TR>
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     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Boston, Massachusetts 02110</FONT></TD></TR>
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     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=left></TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Registrant&#146;s telephone number, including area code:</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(617) 292-1000</FONT></TD>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Date of fiscal year end: September 30, 2010</FONT></TD>
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     <TD width="100%" colSpan=3 noWrap align=left><FONT size=2 face=sans-serif>Date of reporting period October 1, 2009 &#150; March 31, 2010</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><U><FONT size=2 face=sans-serif>Item 1. Report to Stockholders:</FONT></U></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>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 style="text-align: left;"> <B><FONT size=2 face="sans-serif">A BALANCED APPROACH</FONT></B></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">Since 1937, when George Putnam created a diverse mix of stocks and bonds in a single, professionally managed portfolio, Putnam has championed the balanced approach.</FONT></P>
<P style="text-align: left;"> <B><FONT size=2 face="sans-serif">A WORLD OF INVESTING</FONT></B></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">Today, we offer investors a world of equity, fixed-income, multi-asset, and absolute-return portfolios to suit a range of financial goals.</FONT></P>
<P style="text-align: left;"> <B><FONT size=2 face="sans-serif">A COMMITMENT TO EXCELLENCE</FONT></B></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">Our portfolio managers seek superior results over time, backed by original, fundamental research on a global scale. We believe in the value of experienced financial advice, in providing exemplary service, and in putting clients first in all we do.</FONT></P>
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<P style="TEXT-ALIGN: left"><B><FONT size=6 face=sans-serif>Putnam Master</FONT></B><BR>
<B><FONT size=6 face=sans-serif>Intermediate</FONT></B><BR>
<B><FONT size=6 face=sans-serif>Income Trust</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT size=4 face=sans-serif>Semiannual report</FONT></B><BR>
<B><FONT size=4 face=sans-serif>3 </FONT></B><B><FONT size=5 face=sans-serif>| </FONT></B><B><FONT size=4 face=sans-serif>31 </FONT></B><B><FONT size=5 face=sans-serif>| </FONT></B><B><FONT size=4 face=sans-serif>10</FONT></B></P>
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     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Message from the Trustees</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>2</FONT></B>&nbsp;</TD></TR>
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     <TD noWrap align=left><B><FONT size=2 face=sans-serif>About the fund</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>4</FONT></B>&nbsp;</TD></TR>
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     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Performance snapshot</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>6</FONT></B>&nbsp;</TD></TR>
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     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Interview with your fund&#146;s portfolio manager</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>7</FONT></B>&nbsp;</TD></TR>
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     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Your fund&#146;s performance</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>12</FONT></B>&nbsp;</TD></TR>
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     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Terms and definitions</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>14</FONT></B>&nbsp;</TD></TR>
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     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Trustee approval of management contract</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>15</FONT></B>&nbsp;</TD></TR>
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     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Other information for shareholders</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>20</FONT></B>&nbsp;</TD></TR>
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     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Financial statements</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>21</FONT></B>&nbsp;</TD></TR>
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     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Shareholder meeting results</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>81</FONT></B>&nbsp;</TD></TR>
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<P style="TEXT-ALIGN: left"><B><FONT size=5 face=sans-serif>Message from the Trustees</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Dear Fellow Shareholder:</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Global equity markets have continued to rebound from last year&#146;s lows, bolstered by strengthening economic growth and robust earnings results. Major stock indexes have hit highs not seen since the fall of 2008. And although opportunities in fixed income are somewhat diminished following the bond market&#146;s historic rally last year, pockets of attractive valuations and opportunity remain.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Last year, investors who deployed cash in the markets were generally rewarded across a range of asset categories. This year, success is requiring more analysis, insight, and expertise. Active money management &#151; Putnam&#146;s core strength &#151; is very important during times like these.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>One lesson that can be drawn from the painful downturn of 2008 and early 2009 is the importance of diversification and asset allocation, which mutual funds offer. Although diversification does not guarantee a profit or protect against loss, it remains an important investment principle and one we believe is worth pursuing in all market environments.</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Lastly, we would like to thank all shareholders who took the time to vote by proxy on a number of issues, including shareholder-friendly management fee changes, which went into effect earlier this year. We also would like to welcome new shareholders to the fund and thank all of our investors for your continued confidence in Putnam.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Respectfully yours,</FONT></P>
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<P style="TEXT-ALIGN: left"><B><FONT size=5 face=sans-serif>About the fund</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Seeking broad diversification across bond markets</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>When Putnam Master Intermediate Income Trust was launched in 1988, its three-pronged focus on U.S. investment-grade bonds, high-yield corporate bonds, and non-U.S. bonds was considered innovative. Lower-rated, higher-yielding 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 style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The bond investment landscape has undergone a transformation in the two decades since. New sectors such as 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 market of European government bonds. There are also growing opportunities to invest in the debt of emerging-market countries.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>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 style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The fund&#146;s multi-strategy approach is well suited to the expanding opportunities in today&#146;s global bond marketplace. As different factors drive the performance of the various fixed-income sectors, the fund&#146;s diversified strategy seeks to take advantage of changing market leadership in pursuit of high current income and the relative stability of net asset value.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Consider these risks before investing:</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Additional risks may be associated with emerging-market securities, including illiquidity and volatility. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk. Funds that invest in bonds are subject to certain risks, including interest-rate risk, credit risk, and inflation risk. As interest rates rise, the prices of bonds fall. Long-term bonds are more exposed to interest-rate risk than short-term bonds. Unlike bonds, bond funds have ongoing fees and expenses. The use of derivatives involves special risks and may result in losses. The fund&#146;s shares trade on a stock exchange at market prices, which may be lower than the fund&#146;s net asset value.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>How do closed-end funds</FONT></B><BR>
<B><FONT size=2 face=sans-serif>differ from open-end funds?</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>More assets at work </FONT></B><FONT size=1 face=sans-serif>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 style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>Traded like stocks </FONT></B><FONT size=1 face=sans-serif>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 style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>Net asset value vs. market price </FONT></B><FONT size=1 face=sans-serif>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>
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<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Putnam Master Intermediate Income Trust</FONT></B><BR>
<B><FONT size=2 face=sans-serif>balances risk and return across multiple sectors</FONT></B></P>
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<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Putnam believes that building a diversified</FONT></B><BR>
<B><FONT size=2 face=sans-serif>portfolio with multiple income-generating</FONT></B><BR>
<B><FONT size=2 face=sans-serif>strategies is the best way to pursue your</FONT></B><BR>
<B><FONT size=2 face=sans-serif>fund&#146;s objectives. The fund&#146;s portfolio</FONT></B><BR>
<B><FONT size=2 face=sans-serif>is composed of a broad spectrum of</FONT></B><BR>
<B><FONT size=2 face=sans-serif>government, credit, and securitized</FONT></B><BR>
<B><FONT size=2 face=sans-serif>debt instruments.</FONT></B></P>
<P style="TEXT-ALIGN: left"><I><FONT size=1 face=sans-serif>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;67.</FONT></I></P>
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<P style="TEXT-ALIGN: left"><B><FONT size=5 face=sans-serif>Performance</FONT></B><BR>
<B><FONT size=5 face=sans-serif>snapshot</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Annualized total return (%) comparison as of 3/31/10</FONT></B></P>
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<P style="TEXT-ALIGN: left"><B><I><FONT size=1 face=sans-serif>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></B><B><I><FONT size=1 face=sans-serif>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></B></P>
<P style="TEXT-ALIGN: left"><B><I><FONT size=1 face=sans-serif>* Returns for the six-month period are not annualized, but&nbsp;cumulative.</FONT></I></B></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>6</FONT></P>
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<P style="TEXT-ALIGN: left"><B><FONT size=5 face=sans-serif>Interview with your</FONT></B><BR>
<B><FONT size=5 face=sans-serif>fund&#146;s portfolio manager</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>D. William Kohli</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Bill, how did Putnam Master Intermediate</FONT></B><BR>
<B><FONT size=2 face=sans-serif>Income Trust perform for the six months</FONT></B><BR>
<B><FONT size=2 face=sans-serif>ended March 31, 2010?</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The fund performed exceptionally well, beating both its benchmark and its Lipper peer group average by substantial margins. Specifically, the fund returned 10.87% at net asset value versus 1.34% for the Barclays Capital Government/Credit Bond Index, and 6.35% for Lipper Flexible Income Funds&nbsp;[closed-end].</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>How would you characterize the bond <BR>
market environment during this period?</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>As the U.S. economy continued to emerge from recession, fixed-income market </FONT><FONT size=2 face=sans-serif>sectors that carry greater perceived credit risk &#151; such as high-yield bonds, floating-rate bank loans, and emerging-market bonds &#151; performed the best, while less-risky government securities achieved more muted returns. Global bonds actually notched modestly negative results, due to adverse fiscal developments in several weaker European economies, most notably Greece. As investors gravitated toward riskier bonds, all domestic sectors that offered a yield advantage over U.S. Treasuries outperformed Treasuries.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>At the end of March, the Federal Reserve Board [the Fed] concluded its purchases of government-agency mortgage-backed</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Broad market index and fund performance</FONT></B></P>
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>This comparison shows your fund&#146;s performance in the context of broad market indexes for the six&nbsp;months ended 3/31/10. See pages 6 and 12&#150;13 for additional fund performance information. Index descriptions can be found on page 14.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>7</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>securities [agency MBSs]. The Fed&#146;s exit caused yield spreads on agency MBSs to widen moderately as investors wondered how the sector would perform with the central bank&#146;s purchasing power removed. The Fed launched this program after the 2008 collapse of investment bank Lehman Brothers, which sent mortgage rates soaring as credit markets froze. The central bank had been the dominant, and at times sole, buyer of agency MBSs. Over the near term, it appears the MBS market likely will take its cue from the Treasury market where, at period-end, rates continued to rise amid concern about the onslaught of supply to help finance increased government&nbsp;spending.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>What accounted for the fund&#146;s strong</FONT></B><BR>
<B><FONT size=2 face=sans-serif>relative performance?</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Successful prepayment strategies, particularly our focus on interest cash flows from agency MBSs, were the greatest contributor to results during the period. Interest-only [IO] securities were priced as if mortgage prepayments would occur at a faster-than-normal pace. In actuality, prepayments were relatively slow, primarily due to declining home prices, which left approximately one in four U.S. mortgage holders with negative equity, making it impossible for them to refinance their mortgages. As investors re-entered the market and liquidity improved, IO securities benefited from both price appreciation and the attractive cash flows resulting from slow mortgage prepayments.</FONT></P>
<IMG border=0 src="intermedeincx9x1.jpg">
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Credit qualities are shown as a percentage of net assets as of 3/31/10. A bond rated Baa or higher (Prime-3 or higher, for short-term debt) is considered investment grade. The chart reflects Moody&#146;s ratings; percentages may include bonds or derivatives not rated by Moody&#146;s but rated by Standard&nbsp;&amp; Poor&#146;s or, if unrated by S&amp;P, by Fitch, and then included in the closest equivalent Moody&#146;s rating. Ratings will vary over time.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Credit quality includes cash bonds and cash, and represents only the fixed-income portion of the portfolio. Derivative instruments, including currency forwards, are only included to the extent of any unrealized gain or loss on such instruments. Rated derivatives are shown in the applicable Moody&#146;s category. Unrated derivatives are shown in the not-rated category. If the aggregate market value of unrated cash bonds plus unrealized losses on unrated derivatives is negative, the sum will be expressed as 0.0% for the not-rated category.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>8</FONT></P>
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<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>&#147; Despite uncertainty over near-</FONT></B><BR>
<B><FONT size=2 face=sans-serif>term growth prospects, we believe</FONT></B><BR>
<B><FONT size=2 face=sans-serif>compelling fixed-income investment</FONT></B><BR>
<B><FONT size=2 face=sans-serif>opportunities are still available.</FONT></B><B><FONT size=2 face=sans-serif>&#148;</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>D. William Kohli</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Two key strategies involving non-government-agency MBSs also drove returns. The first focused on Aaa-rated commercial MBSs [CMBSs], whose prices dropped to levels unjustified by fundamentals in the massive deleveraging of 2008 and subsequently rose as supply-and-demand dynamics improved during 2009. The second strategy emphasized non-agency residential MBSs, where dislocations between price and fundamental value began to normalize.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The fund&#146;s yield-curve positioning was another positive. [The yield curve is a graphical depiction of the difference in yields between shorter- and longer-term bonds.]</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>We positioned the portfolio to benefit from a steeper yield curve, believing that short-term rates would remain anchored by the historically low federal funds rate and longer-term rates would rise due to increased supply and inflation concerns. The yield spread between 2-year and 10-year Treasuries widened to an all-time record during the period.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Consequently, our strategy of overweighting the short end and underweighting the longer end of the yield curve bolstered the fund&#146;s relative results. The fund also benefited from tactical duration adjustments as the yield curve changed during the period. [Duration is a key measure of a bond portfolio&#146;s price sensitivity to interest-rate changes.]</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Lastly, our stake in higher-quality, Ba-rated high-yield corporate bonds, and security selection among emerging-market debt&nbsp;&#151; particularly in Russia, Argentina, and Venezuela &#151; provided a further boost to&nbsp;performance.</FONT></P>
<IMG border=0 src="intermedeincx10x1.jpg">
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>This chart shows how the fund&#146;s top weightings have changed over the past six months. Weightings are shown as a percentage of net assets. Holdings will vary over time.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>9</FONT></P>
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<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>IN THE NEWS</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>The Federal Reserve Board (the Fed) has started to tap the brakes on its unprecedented stimulus efforts.</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The central bank recently ended its 15-month $1.25 trillion mortgage-bond purchase program, which helped financial institutions find a market for their mortgage-backed assets, and kept mortgage rates low in an effort to buoy the battered real estate market. The program was part of the government&#146;s &#147;quantitative easing&#148; campaign designed to inject liquidity into the frozen credit markets in the wake of the 2008 Lehman Brothers collapse. Despite the Fed&#146;s exit, mortgage rates and mortgage-bond prices are expected to remain stable over the near term. The Fed has said it will keep its benchmark federal funds rate near zero &#151; where it has been since December 2008 &#151; for an &#147;extended period.&#148;</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>What changes did you make to the portfolio</FONT></B><BR>
<B><FONT size=2 face=sans-serif>during the period?</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>As the CMBS sector rallied considerably, we reduced our exposure to CMBSs in favor of non-agency residential MBSs and interest-only collateralized mortgage obligations [CMOs]. In prepayment-sensitive areas, yield spreads on agency MBSs tightened to the point where we concluded that they were too richly priced, and we decreased the fund&#146;s holdings in this area. By way of background, CMOs are structured </FONT><FONT size=2 face=sans-serif>mortgage-backed securities that use pools of mortgage pass-through bonds, or mortgage loans themselves, as collateral and carve the cash flows into different classes to meet the needs of various investors.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>What is your outlook for the economy,</FONT></B><BR>
<B><FONT size=2 face=sans-serif>the credit markets, and the fund over the</FONT></B><BR>
<B><FONT size=2 face=sans-serif>coming months?</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>We agree with Fed Chairman Ben Bernanke&#146;s statement that the U.S. economy should continue to recover at a moderate pace during 2010, but it will take time to restore all the jobs lost during the recession. Although recent reports have shown some pickup in the jobs market, the economy continues to be hampered by high unemployment and a weak housing sector. In our view, the pace of economic recovery will depend on whether consumers spend and companies invest enough to make up for fading government support.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Despite uncertainty over near-term growth prospects, we believe compelling fixed-income investment opportunities are still available. While yield spreads in certain sectors &#151; especially those that have benefited from overt government support &#151;have tightened to unattractive levels, many other sectors still offer attractive values on a historical basis. Specifically, we remain focused on opportunities among interest-only collateralized mortgage obligations, and the most liquid segments of the non-agency residential mortgage-backed, commercial mortgage-backed, and asset-backed securities markets. We are, however, proceeding cautiously and recognize the potential for short-term price volatility.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The outlook for interest rates is clouded by two countervailing trends that complicate our inflation forecast. Prices of raw materials are moving upward as the global economy recovers. Yet, reported core</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>10</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>inflation [which excludes food and energy prices] is, in our view, likely to fall to zero, dragged down by depressed home prices. The Fed has indicated that it is poised to raise interest rates as soon as the data call for it. At this point, however, it is unclear which set of numbers will cause the central bank to act. Consequently, at period-end, the fund&#146;s interest-rate positioning was relatively neutral.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Thanks for updating us, Bill.</FONT></B></P>
<P style="TEXT-ALIGN: left"><I><FONT size=2 face=sans-serif>The views expressed in this report are exclusively those of Putnam Management. They are not meant as investment advice.</FONT></I></P>
<P style="TEXT-ALIGN: left"><I><FONT size=2 face=sans-serif>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>
<IMG border=0 src="intermedeincx12x1.jpg">
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Portfolio Manager </FONT><B><FONT size=2 face=sans-serif>D. William Kohli </FONT></B><FONT size=2 face=sans-serif>is Team Leader of Portfolio Construction and Global Strategies at Putnam. He has an M.B.A. from the </FONT><FONT size=2 face=sans-serif>Haas School of Business at the University of California, Berkeley, and a B.A. from the University of California, San Diego. Bill joined Putnam in 1994 and has been in the investment industry since 1987.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>In addition to Bill, your fund&#146;s portfolio managers are Michael Atkin, Rob Bloemker, Kevin Murphy, and Paul Scanlon.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>11</FONT></P>
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<P style="TEXT-ALIGN: left"><B><FONT size=4 face=sans-serif>Your fund&#146;s performance</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>This section shows your fund&#146;s performance, price, and distribution information for periods ended March 31, 2010, 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 style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Fund performance </FONT></B><FONT size=2 face=sans-serif>Total return for periods ended 3/31/10</FONT></P>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="33%"></TD>
     <TD width="33%" align=center></TD>
     <TD width="33%" align=center></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT size=1 face=sans-serif>NAV</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT size=1 face=sans-serif>Market price</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3 align=center>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Annual average</FONT>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Life of fund (since 4/29/88)</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>7.37%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>7.36%</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3 align=center>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>10 years</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>88.32</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>156.38</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Annual average</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>6.53</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>9.87</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3 align=center>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>5 years</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>29.89</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>55.18</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Annual average</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>5.37</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>9.19</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3 align=center>
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</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3 years</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>14.89</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>34.46</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Annual average</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>4.74</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>10.37</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3 align=center>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1 year</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>60.42</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>73.63</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3 align=center>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>6 months</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>10.87</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>17.89</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3 align=center>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Performance assumes reinvestment of distributions and does not account for taxes.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Comparative index returns </FONT></B><FONT size=2 face=sans-serif>For periods ended 3/31/10</FONT></P>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="20%"></TD>
     <TD width="20%" align=center></TD>
     <TD width="20%" align=center></TD>
     <TD width="20%" align=center></TD>
     <TD width="20%" align=center></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=center><B><FONT size=1 face=sans-serif>Lipper Flexible</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT size=1 face=sans-serif>Barclays Capital</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT size=1 face=sans-serif>Citigroup Non-U.S.</FONT></B>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=center><B><FONT size=1 face=sans-serif>Income Funds</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT size=1 face=sans-serif>Government/Credit</FONT></B></TD>
     <TD noWrap align=center><B><FONT size=1 face=sans-serif>World Government </FONT></B></TD>
     <TD noWrap align=center><B><FONT size=1 face=sans-serif>JPMorgan Global</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT size=1 face=sans-serif>(closed-end)</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT size=1 face=sans-serif>Bond Index</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT size=1 face=sans-serif>Bond Index</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT size=1 face=sans-serif>High Yield Index</FONT></B>&nbsp;</TD>
     <TD noWrap align=center><B><FONT size=1 face=sans-serif>category average*</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5 align=center>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Annual average (life of fund)</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>7.30%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>6.71%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>&#151;&#134;</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>6.91%</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5 align=center>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>10 years</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>82.94</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>87.61</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>111.24%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>67.75</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Annual average</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>6.23</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>6.49</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>7.76</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>5.24</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5 align=center>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>5 years</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>28.67</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>25.67</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>45.58</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>27.07</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Annual average</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>5.17</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>4.68</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>7.80</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>4.89</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5 align=center>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3 years</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>18.56</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>24.07</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>21.58</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>13.96</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Annual average</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>5.84</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>7.45</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>6.73</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>4.42</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5 align=center>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1 year</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>7.51</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>8.41</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>56.88</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>39.30</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5 align=center>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>6 months</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>1.34</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>&#150;4.20</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>11.31</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>6.35</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5 align=center>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Index and Lipper results should be compared to fund performance at net asset value. Lipper calculates performance differently than the closed-end funds it ranks, due to varying methods for determining a fund&#146;s monthly reinvestment NAV.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>* Over the 6-month, 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 3/31/10, there were 6, 5, 5, 5, 4, and 2 funds, respectively, in this Lipper category.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>&#134; The inception date of the JPMorgan Global High Yield Index was 12/31/93.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>12</FONT></P>
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<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Fund price and distribution information </FONT></B><FONT size=2 face=sans-serif>For the six-month period ended 3/31/10</FONT></P>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="69%" align=left></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Distributions</FONT></B>&nbsp;</TD>
     <TD colSpan=2 noWrap align=center></TD></TR>
<TR>
     <TD colSpan=3 align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Number</FONT>&nbsp;</TD>
     <TD colSpan=2 noWrap align=center><FONT size=1 face=sans-serif>6</FONT></TD></TR>
<TR>
     <TD colSpan=3 align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Income</FONT>&nbsp;</TD>
     <TD colSpan=2 noWrap align=center><FONT size=1 face=sans-serif>$0.759</FONT></TD></TR>
<TR>
     <TD colSpan=3 align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Capital gains</FONT>&nbsp;</TD>
     <TD colSpan=2 noWrap align=center><FONT size=1 face=sans-serif>&#151;</FONT></TD></TR>
<TR>
     <TD colSpan=3 align=left>
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     <TD noWrap align=left><FONT size=1 face=sans-serif>Total</FONT>&nbsp;</TD>
     <TD colSpan=2 noWrap align=center><FONT size=1 face=sans-serif>$0.759</FONT></TD></TR>
<TR>
     <TD colSpan=3 align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Share value</FONT></B></TD>
     <TD noWrap align=center><B><FONT size=1 face=sans-serif>NAV</FONT></B></TD>
     <TD noWrap align=center><B><FONT size=1 face=sans-serif>Market price</FONT></B></TD></TR>
<TR>
     <TD colSpan=3 align=left>
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</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>9/30/09</FONT></TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>$5.94</FONT></TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>$5.99</FONT></TD></TR>
<TR>
     <TD colSpan=3 align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3/31/10</FONT></TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>5.81</FONT></TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>6.23</FONT></TD></TR>
<TR>
     <TD colSpan=3 align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Current yield (end of period)</FONT></B></TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=center></TD></TR>
<TR>
     <TD colSpan=3 align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Current dividend rate*</FONT></TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>10.95%</FONT></TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>10.21%</FONT></TD></TR>
<TR>
     <TD colSpan=3 align=left>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The classification of distributions, if any, is an estimate. Final distribution information will appear on your year-end tax forms.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>* Most recent distribution, excluding capital gains, annualized and divided by NAV or market price at end of period.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>13</FONT></P>
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<P style="TEXT-ALIGN: left"><B><FONT size=4 face=sans-serif>Terms and definitions</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Important terms</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Total return </FONT></B><FONT size=2 face=sans-serif>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 style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Net asset value (NAV) </FONT></B><FONT size=2 face=sans-serif>is the value of all your fund&#146;s assets, minus any liabilities, divided by the number of outstanding shares.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Market price </FONT></B><FONT size=2 face=sans-serif>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&nbsp;Exchange.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Current yield </FONT></B><FONT size=2 face=sans-serif>is the annual rate of return earned&nbsp; from dividends or interest of an investment. Current yield is expressed as a percentage of the price of a security, fund share, or principal&nbsp;investment.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Comparative indexes</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Barclays Capital Aggregate Bond Index </FONT></B><FONT size=2 face=sans-serif>is an unmanaged index of U.S. investment-grade fixed-income securities.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Barclays Capital Government/Credit Bond Index </FONT></B><FONT size=2 face=sans-serif>is an unmanaged index of U.S. Treasuries, agency securities, and investment-grade corporate bonds.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>BofA (Bank of America) Merrill Lynch U.S. 3-Month Treasury Bill Index </FONT></B><FONT size=2 face=sans-serif>is an unmanaged index that seeks to measure the performance of&nbsp;U.S. Treasury bills available in the marketplace.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>S&amp;P 500 Index </FONT></B><FONT size=2 face=sans-serif>is an unmanaged index of common stock performance.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>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 style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Lipper </FONT></B><FONT size=2 face=sans-serif>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 style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>14</FONT></P>
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<P style="TEXT-ALIGN: left"><B><FONT size=4 face=sans-serif>Trustee approval of management contract</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>General conclusions</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>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, with respect to your fund, between Putnam Management and its affiliate, Putnam Investments Limited (&#147;PIL&#148;).</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>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 2009, the Contract Committee met several times to consider the information provided by Putnam Management and 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. At the Trustees&#146; June 12, 2009 meeting, the Contract Committee recommended, and the Independent Trustees approved, the continuance of your fund&#146;s management and sub-management contrac
ts, effective July 1, 2009. (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 style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The Independent Trustees&#146; approval was based on the following conclusions:</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; </FONT><FONT size=2 face=sans-serif>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 style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; </FONT><FONT size=2 face=sans-serif>That such fee schedule represented an appropriate sharing between fund shareholders and Putnam Management of such economies of scale as may exist in the management of the fund at current asset&nbsp;levels.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>These conclusions were based on a comprehensive consideration of all information provided to the Trustees and were not the result of any single factor. Some of the factors that figured particularly in the Trustees&#146; deliberations and how the Trustees considered these factors are described below, although individual Trustees may have evaluated the information presented differently, giving different weights to various factors. It is also important to recognize that the fee arrangements for your fund and the other Putnam funds are the result of many years of review and discussion between the Independent Trustees and Putnam Management, that certain aspects of the 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 style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Management fee schedules and</FONT></B><BR>
<B><FONT size=2 face=sans-serif>categories; total expenses</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>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</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>15</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>categories. The general fee structure has been carefully developed over the years and re-examined on many occasions and adjusted where appropriate. In this regard, the Trustees noted that shareholders of all funds voted by overwhelming majorities in 2007 to approve new management contracts containing identical fee schedules.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>In reviewing fees and expenses, the Trustees generally focused their attention on material changes in circumstances &#151; for example, changes in a fund&#146;s size or investment style, changes in Putnam Management&#146;s operating costs, or changes in competitive practices in the mutual fund industry &#151; that suggest that consideration of fee changes might be warranted. The Trustees concluded that the circumstances did not warrant changes to the management fee structure of your fund. The Trustees focused on two areas of particular interest, as discussed further below:</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; </FONT><B><FONT size=2 face=sans-serif>Competitiveness. </FONT></B><FONT size=2 face=sans-serif>The Trustees reviewed comparative fee and expense information for competitive funds, which indicated that, in a custom peer group of competitive funds selected by Lipper Inc., your fund ranked in the 67th percentile in management fees and in the 33rd percentile in total expenses as of December 31, 2008 (the first percentile being the least expensive funds and the 100th percentile being the most expensive funds).</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The Trustees noted that expense ratios for a number of Putnam funds, which show the percentage of fund assets used to pay for management and administrative services, distribution (12b-1) fees (as applicable) and other expenses, had been increasing recently as a result of declining net assets and the natural operation of fee breakpoints. The Trustees expressed their intention to monitor the funds&#146; percentile rankings in management fees and in total expenses to ensure that fees and expenses of the funds continue to meet evolving competitive standards.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; </FONT><B><FONT size=2 face=sans-serif>Economies of scale. </FONT></B><FONT size=2 face=sans-serif>Your fund currently has the benefit of breakpoints in its management fee that provide shareholders with significant economies of scale, which means that the effective management fee rate of the fund (as a percentage of fund assets) declines as the fund grows in size and crosses specified asset thresholds. Conversely, as the fund shrinks in size &#151; as has been the case for many Putnam funds in recent years &#151; these breakpoints result in increasing fee levels. In recent years, the Trustees have examined the operation of the existing breakpoint structure during periods of both growth and decline in asset levels. The Trustees concluded that the fee schedule in effect for your fund represented an appropriate sharing of economies of scale at that time.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>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 provided and profits realized by Putnam Management and its affiliates from their contractual relationships 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 style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Investment performance</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The quality of the investment process provided by Putnam Management represented a major factor in the Trustees&#146; evaluation of the quality of services provided by Putnam Management under your fund&#146;s management contract. The Trustees were assisted in their review of the Putnam funds&#146; investment process and performance by the work of the Investment Oversight Coordinating Committee of the</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>16</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>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&nbsp; &#151; as measured by the experience and skills of the individuals assigned to the management of fund portfolios, the resources made available to such personnel, and in general the ability of Putnam Management to attract and retain high-quality personnel &#151; but also recognized that this does not guarantee favorable investment results for every fund in every time period. The Trustees considered the investment performance of each fund over multiple time periods and considered information comparing each fund&#146;s performance with various benchmarks and with the performance of competitive funds.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The Trustees noted the disappointing investment performance of many of the funds for periods ended March 31, 2009. They discussed with senior management of Putnam Management the factors contributing to such underperformance and the 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 Putnam Management&#146;s continuing efforts to strengthen the equity research function, recent changes in portfolio managers including increased accountability of individual managers rather than teams, recent changes in Putnam Management&#146;s approach to incentive compensation, including emphasis on top quartile performance over a rolling three-year period, and the recent arrival of a new chief investment officer. The Trustees also recognized the substantial improvement in performance of many funds si
nce the implementation of those changes. The Trustees indicated their intention to continue </FONT><FONT size=2 face=sans-serif>to monitor performance trends to assess the effectiveness of these efforts and to evaluate whether additional changes to address areas of&nbsp;underperformance are warranted.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>In the case of your fund, the Trustees considered that your fund&#146;s common share cumulative total return performance at net asset value was in the following percentiles of its Lipper Inc. peer group (Lipper Flexible Income Funds (closed-end)) for the one-year, three-year and five-year periods ended March&nbsp; 31, 2009 (the first percentile being the best-performing funds and the 100th percentile being the worst-performing funds):</FONT></P>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>One-year period</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>86th</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
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     <TD colSpan=2 align=right>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Three-year period</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>86th</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Five-year period</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>86th</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Over the one-year, three-year and five-year periods ended March 31, 2009, there were 6, 6 and 6 funds, respectively, in your fund&#146;s Lipper peer group. Past performance is no guarantee of future results.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The Trustees noted the disappointing performance for certain funds, as well as certain circumstances that may have contributed to that performance and the actions taken by Putnam Management to address these funds&#146; performance. The Trustees also considered the four broad initiatives that Putnam Management has implemented to improve its investment approach, to reduce the likelihood of fourth quartile results, and to deliver on its long-term investment goals. Specifically, Putnam Management has:</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>1. Increased accountability and reduced complexity in the portfolio management process for the Putnam equity funds by replacing a team management structure with a decision-making process that vests full authority and responsibility with individual portfolio managers;</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>2. Clarified Putnam Management&#146;s investment process by affirming a fundamental-driven</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>17</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>approach to investing, with quantitative analysis providing additional input for investment decisions;</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>3. Strengthened Putnam Management&#146;s large-cap equity research capability by adding multiple new investment personnel to the team and by bringing U.S. and international research under common leadership; and</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>4. Realigned compensation structure for portfolio managers and research analysts so that only those who achieve top-quartile returns over a rolling three-year basis are eligible for full bonuses.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The Trustees noted the disappointing performance for your fund for the one-year, three-year and five-year periods ended March&nbsp; 31, 2009. The Trustees considered Putnam Management&#146;s belief that significant volatility and illiquidity in the markets contributed to the fund&#146;s relative underperformance during these periods. In addition, the Trustees considered Putnam Management&#146;s decision to implement initiative 4 described above. The Trustees also considered Putnam Management&#146;s continued belief that the fund&#146;s investment strategy and process are designed to produce attractive relative performance over longer periods, and noted improvements in the fund&#146;s recent year-to-date performance as of March 31, 2009 as the markets began to show signs of stabilizing.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>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</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>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 style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Brokerage and soft-dollar allocations;</FONT></B><BR>
<B><FONT size=2 face=sans-serif>other benefits</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The Trustees considered various potential benefits that Putnam Management may receive in connection with the services it provides under the management contract with your fund. These include benefits related to brokerage and soft-dollar allocations, whereby a portion of the commissions paid by a fund for brokerage may be used to acquire research services that may be useful to Putnam Management in managing the assets of the fund and of other clients. The Trustees considered a change made, at Putnam Management&#146;s request, to the Putnam funds&#146; brokerage allocation policy commencing in 2009, which increased the permitted soft dollar allocation to third-party services over what had been authorized in previous years. The Trustees noted that a portion of available soft dollars continue to be allocated to the payment of fund expenses, although the amount allocated for this purpose has declined in recent years. The Trustees indicated their continued int
ent to monitor regulatory developments in this area with the assistance of their Brokerage Committee and also 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 best price and execution remains paramount in the portfolio trading process.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The Trustees&#146; annual review of your fund&#146;s management contract also included the review of the investor servicing agreement with Putnam Fiduciary Trust Company, which</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>agreement provides benefits to an affiliate of Putnam Management.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Comparison of retail and institutional fee schedules</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>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 </FONT><FONT size=2 face=sans-serif>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 classe
s 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 style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>19</FONT></P>
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<P style="TEXT-ALIGN: left"><B><FONT size=4 face=sans-serif>Other information for shareholders</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Important notice regarding share</FONT></B><BR>
<B><FONT size=2 face=sans-serif>repurchase program</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>In September 2009, the Trustees of your fund approved the renewal of a share repurchase program that had been in effect since 2005. Under certain conditions, this renewal will allow your fund to repurchase, in the 12 months beginning October 8, 2009, up to 10% of the fund&#146;s common shares outstanding as of October 7, 2009.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Important notice regarding delivery</FONT></B><BR>
<B><FONT size=2 face=sans-serif>of shareholder documents</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>In accordance with SEC regulations, Putnam sends a single copy of annual and semiannual shareholder reports, prospectuses, and proxy statements to Putnam shareholders who share the same address, unless a shareholder requests otherwise. If you prefer to receive your own copy of these documents, please call Putnam at 1-800-225-1581, and Putnam will begin sending individual copies within&nbsp;30&nbsp;days.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Proxy voting</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds&#146; proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2009, 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 </FONT><FONT size=2 face=sans-serif>by calling Putnam&#146;s Shareholder Services at 1-800-225-1581.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Fund portfolio holdings</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Shareholders may obtain the fund&#146;s Forms N-Q on the SEC&#146;s Web site at www.sec.gov. In addition, the fund&#146;s Forms N-Q may be reviewed and copied at the SEC&#146;s Public Reference Room in Washington, D.C. You may call the SEC at 1-800-SEC-0330 for information about the SEC&#146;s Web site or the operation of the Public Reference Room.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Trustee and employee</FONT></B><BR>
<B><FONT size=2 face=sans-serif>fund ownership</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam mutual funds. As of March 31, 2010, Putnam employees had approximately $340,000,000 and the Trustees had approximately $48,000,000 invested in Putnam mutual funds. These amounts include investments by the Trustees&#146; and employees&#146; immediate family members as well as investments through retirement and deferred compensation plans.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Exclusion under Commodity</FONT></B><BR>
<B><FONT size=2 face=sans-serif>Exchange Act</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>This fund has claimed an exclusion from the definition of the term &#147;commodity pool operator&#148; under the Commodity Exchange Act (&#147;CEA&#148;), and therefore is not subject to registration or regulation as a pool operator under the CEA.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>20</FONT></P>
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<P style="TEXT-ALIGN: left"><B><FONT size=4 face=sans-serif>Financial statements</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>A guide to financial statements</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>These sections of the report, as well as the accompanying Notes, constitute the fund&#146;s financial statements.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>The fund&#146;s portfolio </FONT></B><FONT size=2 face=sans-serif>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 style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Statement of assets and liabilities </FONT></B><FONT size=2 face=sans-serif>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 style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Statement of operations </FONT></B><FONT size=2 face=sans-serif>shows the fund&#146;s net investment gain or loss. This is done by first adding up all the fund&#146;s earnings &#151; from dividends and interest income &#151; and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings &#151; as well as any unrealized gains or losses over the </FONT><FONT size=2 face=sans-serif>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 style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Statement of changes in net assets </FONT></B><FONT size=2 face=sans-serif>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 style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Financial highlights </FONT></B><FONT size=2 face=sans-serif>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 highlights table also includes the current reporting period.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>21</FONT></P>
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     <TD noWrap align=left><B><FONT size=2 face=sans-serif>The fund&#146;s portfolio </FONT></B><FONT size=2 face=sans-serif>3/31/10 (Unaudited)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
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     <TD noWrap align=left><B><FONT size=1 face=sans-serif>MORTGAGE-BACKED SECURITIES (50.3%)*</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
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     <TD colSpan=3 noWrap align=left>
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     <TD noWrap align=left><FONT size=1 face=sans-serif>Banc of America Alternative Loan Trust Ser. 06-7,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Class A2, 5.707s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$4,010,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$3,018,728</FONT>&nbsp;</TD></TR>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Banc of America Commercial Mortgage, 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 size=1 face=sans-serif>FRB Ser. 07-3, Class A3, 5.658s, 2049</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>168,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>174,677</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 07-2, Class A2, 5.634s, 2049</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>513,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>524,394</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 07-5, Class XW, IO, 0.434s, 2051</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>111,874,329</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,468,686</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Banc of America Commercial Mortgage, 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 size=1 face=sans-serif>Ser. 01-1, Class J, 6 1/8s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>163,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>125,510</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 01-1, Class K, 6 1/8s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>367,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>228,633</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Banc of America Funding Corp. FRB Ser. 06-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 size=1 face=sans-serif>Class 6A1, 5.757s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,584,070</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,447,079</FONT>&nbsp;</TD></TR>
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     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Banc of America Large Loan 144A FRB Ser. 05-MIB1,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Class K, 2.23s, 2022</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>645,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>300,431</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Bayview Commercial Asset Trust 144A</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 07-5A, IO, 3.047s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>936,852</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>95,184</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 07-1, Class S, IO, 2.47s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,507,512</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>283,407</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Bear Stearns Alternate 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 size=1 face=sans-serif>FRB Ser. 06-5, Class 2A2, 6 1/4s, 2036 </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,963,085</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,177,851</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-10, Class 25A1, 5.807s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,279,937</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>748,763</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-1, Class 21A1, 5.516s, 2047</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,344,204</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>893,896</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Bear Stearns Alternate Trust 144A FRB Ser. 06-7,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Class 1AE4, 5.984s, 2046</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5,193,585</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,375,830</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Bear Stearns Alternate Trust II FRB Ser. 07-1,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Class 1A1, 5.905s, 2047</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>6,043,184</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,678,552</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Bear Stearns Asset Backed 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 size=1 face=sans-serif>Ser. 07-AC4, Class A1, 0.546s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,494,711</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>732,409</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Bear Stearns Commercial Mortgage 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 size=1 face=sans-serif>FRB Ser. 00-WF2, Class F, 8.196s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>410,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>341,492</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Bear Stearns Commercial Mortgage 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 size=1 face=sans-serif>144A Ser. 07-PW18, Class X1, IO, 0.128s, 2050</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>62,012,921</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>468,142</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Citigroup Mortgage Loan Trust, 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 size=1 face=sans-serif>FRB Ser. 06-AR5, Class 2A5A, 5.787s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,223,302</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>699,882</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-10, Class 1A5A, 5.72s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>328,995</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>222,072</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-10, Class 1A4A, 5.576s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,245,196</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>778,248</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-AR7, Class 2A2A, 5.532s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>717,774</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>423,487</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Citigroup/Deutsche Bank Commercial Mortgage Trust</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>144A Ser. 07-CD5, Class XS, IO, 0.10s, 2044</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>36,387,107</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>219,358</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Commercial Mortgage Pass-Through Certificates 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 size=1 face=sans-serif>FRB Ser. 05-F10A, Class A1, 0.33s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>163,254</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>158,357</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Countrywide 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 size=1 face=sans-serif>Ser. 06-45T1, Class 2A2, 6s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,686,345</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,743,942</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 06-45T1, Class 2A5, 6s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>535,781</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>369,689</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 06-J8, Class A4, 6s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,019,056</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,181,147</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 06-41CB, Class 1A7, 6s, 2037 </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>579,345</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>388,161</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 05-80CB, Class 2A1, 6s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,694,440</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,216,820</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-HY4, Class 3A1, 5.714s, 2047</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>819,639</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>536,863</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 07-HY5R, Class 2A1A, 5.544s, 2047</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,381,388</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,208,822</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 07-8CB, Class A1, 5 1/2s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>864,130</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>624,874</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-23CBC, Class 2A5, 0.646s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,793,860</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,368,991</FONT>&nbsp;</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>22</FONT></P>
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     <TD width="10%" align=right></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>MORTGAGE-BACKED SECURITIES (50.3%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=4 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Countrywide Alternative Loan Trust</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-18CB, Class A7, 0.596s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$1,627,977</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$960,506</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-24CB, Class A13, 0.596s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>686,688</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>428,966</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-OC10, Class 2A2A, 0.426s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,885,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>928,054</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Countrywide Home Loans</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-HYB7, Class 6A1, 5.573s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>41,060</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>29,153</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-HYB4, Class 2A1, 4.675s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,940,906</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,674,890</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Countrywide Home Loans 144A</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 05-R1, Class 1AS, IO, 5.664s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,615,306</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>296,387</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 06-R1, Class AS, IO, 5.643s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,599,010</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>172,893</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 05-R3, Class AS, IO, 5.576s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>526,332</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>57,239</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-R2, Class AS, IO, 5.501s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,341,174</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>235,581</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Credit Suisse Mortgage Capital Certificates</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 07-1, Class 1A1A, 5.942s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>433,011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>255,477</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 07-3, Class 1A1A, 5.837s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>911,779</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>547,068</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-C3, Class A3, 5.826s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,589,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,487,940</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 07-C5, Class A3, 5.694s, 2040</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5,670,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5,684,962</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 06-C4, Class A3, 5.467s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,316,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,267,925</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>CRESI Finance Limited Partnership 144A FRB</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 06-A, Class C, 0.846s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>251,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>133,030</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>CS First Boston Mortgage Securities Corp. 144A</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 98-C1, Class F, 6s, 2040</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>966,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>978,681</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 02-CP5, Class M, 5 1/4s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>354,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>35,230</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-TFLA, Class L, 2.08s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>699,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>524,250</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>CWCapital Cobalt Ser. 07-C2, Class A2, 5.334s, 2047</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>626,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>643,485</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Deutsche Alternative Securities, Inc. FRB</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 06-AR3, Class A1, 0.436s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,386,332</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>639,121</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Deutsche Mortgage &amp; Asset Receiving Corp.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 98-C1, Class X, IO, 0.349s, 2031</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,476,244</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>51,535</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>DLJ Commercial Mortgage Corp. Ser. 98-CF2, Class B4,</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>6.04s, 2031</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>286,492</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>200,544</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>European Loan Conduit 144A FRB Ser. 22A, Class D,</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1.497s, 2014 (United Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>507,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>153,915</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>European Prime Real Estate PLC 144A FRB Ser. 1-A,</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Class D, 1.466s, 2014 (United Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>270,567</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>61,604</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Fannie Mae</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-62, Class PS, 38.424s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$529,877</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>874,668</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 05-99, Class SA, 23.664s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>419,416</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>568,296</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 05-74, Class DM, 23.481s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>369,573</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>522,445</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 05-95, Class OP, 19.595s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>292,889</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>370,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 05-83, Class QP, 16.754s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>151,961</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>189,481</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 03-44, Class SI, IO, 7.754s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,428,097</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>210,320</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-90, Class SE, IO, 7.554s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,837,415</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>269,343</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 03-W6, Class 4S, IO, 7.354s, 2042</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,623,467</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>446,357</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 08-7, Class SA, IO, 7.304s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,773,872</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>562,647</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-46, Class SB, IO, 7.054s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>175,996</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>10,965</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-46, Class SC, IO, 7.054s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>172,007</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>10,339</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-24, Class QS, IO, 6.954s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,794,564</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>672,169</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-79, Class DI, IO, 6.904s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,470,519</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>219,414</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 04-24, Class CS, IO, 6.904s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>297,742</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>50,079</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 03-130, Class BS, IO, 6.804s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,815,686</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>203,738</FONT>&nbsp;</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>23</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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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><B><FONT size=1 face=sans-serif>MORTGAGE-BACKED SECURITIES (50.3%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=3 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>IFB Ser. 08-10, Class WI, IO, 6.754s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$154,018</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$9,893</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 03-34, Class WS, IO, 6.754s, 2029</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,434,183</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>284,593</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 05-48, Class SM, IO, 6.554s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>740,476</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>99,639</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-50, Class SK, IO, 6.514s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,023,647</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>416,689</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-54, Class CI, IO, 6.514s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>889,994</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>98,022</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 08-34, Class SM, IO, 6.504s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,576,289</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>193,363</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-28, Class SE, IO, 6.504s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>180,778</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>19,915</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-24, Class SD, IO, 6.504s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>708,186</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>97,475</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-79, Class SI, IO, 6.504s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>478,318</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>59,708</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 05-90, Class GS, IO, 6.504s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>121,890</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>17,011</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 05-90, Class SP, IO, 6.504s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>486,363</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>57,908</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 05-12, Class SC, IO, 6.504s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>597,996</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>74,589</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 05-18, Class SK, IO, 6.504s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>115,337</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>10,906</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-30, Class IE, IO, 6.494s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,339,893</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>383,906</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-123, Class CI, IO, 6.494s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,756,724</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>250,316</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-61, Class SA, IO, 6.474s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>7,786,135</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>944,069</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 05-45, Class EW, IO, 6.474s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>11,607,468</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,554,820</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-31, Class SX, IO, 6.454s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,831,584</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>221,816</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-33, Class JS, IO, 6.454s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>532,458</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>71,195</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-36, Class SP, IO, 6.454s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>811,456</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>93,411</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-22, Class QM, IO, 6.454s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>114,636</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>16,424</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-23, Class SP, IO, 6.454s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>872,301</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>129,615</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-16, Class SM, IO, 6.454s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,718,770</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>209,154</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 05-95, Class CI, IO, 6.454s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,017,093</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>148,079</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 05-84, Class SG, IO, 6.454s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,606,428</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>222,962</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-3, Class SB, IO, 6.454s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,656,818</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>712,866</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 05-29, Class SX, IO, 6.454s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>659,150</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>99,532</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 05-57, Class DI, IO, 6.454s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>706,846</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>83,888</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 05-7, Class SC, IO, 6.454s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>271,857</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>25,710</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 04-92, Class S, IO, 6.454s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,233,322</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>297,099</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-104, Class EI, IO, 6.444s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>908,910</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>122,076</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 05-83, Class QI, IO, 6.444s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>284,727</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>47,925</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-128, Class GS, IO, 6.434s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>976,235</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>105,988</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 05-73, Class SD, IO, 6.434s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>129,285</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>17,806</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-17, Class NS, IO, 6.404s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,094,779</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>137,018</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-68, Class SA, IO, 6.404s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,972,454</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>200,068</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 08-10, Class PI, IO, 6.404s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>281,925</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>33,295</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-51, Class SP, IO, 6.404s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,138,862</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>603,446</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 04-92, Class SQ, IO, 6.404s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>979,994</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>154,419</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-115, Class IE, IO, 6.394s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>674,999</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>83,415</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-109, Class SH, IO, 6.374s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>866,717</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>108,962</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-111, Class SA, IO, 6.374s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5,650,466</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>813,724</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-111, Class SB, IO, 6.374s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>794,610</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>109,156</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-103, Class SB, IO, 6.354s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>306,464</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>31,245</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-48, Class QB, IO, 6.354s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,159,848</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>154,074</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-50, Class IP, IO, 6.354s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,974,417</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>746,516</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-8, Class HJ, IO, 6.354s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>676,836</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>90,669</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-8, Class JH, IO, 6.354s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,438,397</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>497,880</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 05-122, Class SG, IO, 6.354s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>788,081</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>104,815</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 05-122, Class SW, IO, 6.354s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>947,166</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>127,526</FONT>&nbsp;</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>24</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>MORTGAGE-BACKED SECURITIES (50.3%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>IFB Ser. 06-20, Class IB, IO, 6.344s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$7,481,029</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$786,646</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-17, Class SI, IO, 6.334s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>807,762</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>106,617</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-60, Class YI, IO, 6.324s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,606,267</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>411,973</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-86, Class SB, IO, 6.304s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>548,361</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>79,282</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-42, Class EI, IO, 6.304s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,274,134</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>280,003</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-91, Class SA, IO, 6.264s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,563,417</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>201,915</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-62, Class SB, IO, 6.254s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>759,580</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>106,911</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-2, Class TS, IO, 6.254s, 2027</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,921,426</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>371,493</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-15, Class NI, IO, 6.254s, 2022</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,475,977</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>162,066</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-70, Class SI, IO, 6.204s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>7,922,519</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>800,412</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-79, Class SH, IO, 6.204s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,656,835</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>243,704</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-30, Class LI, IO, 6.194s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,906,813</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>246,360</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-30, Class OI, IO, 6.194s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5,858,305</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>818,639</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-86, Class SE, IO, 6.184s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,042,096</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>129,678</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-89, Class SA, IO, 6.184s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,774,684</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>218,464</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-82, Class SI, IO, 6.184s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,923,024</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>349,360</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-54, Class GI, IO, 6.164s, 2037 </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5,459,058</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>673,761</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-54, Class IA, IO, 6.164s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>975,865</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>99,175</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-54, Class IB, IO, 6.164s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>975,865</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>99,175</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-54, Class IC, IO, 6.164s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>975,865</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>99,175</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-54, Class ID, IO, 6.164s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>975,865</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>99,175</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-54, Class IF, IO, 6.164s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,556,754</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>200,572</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-54, Class UI, IO, 6.164s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,463,295</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>198,335</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-102, Class SA, IO, 6.154s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>162,087</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>11,972</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-99, Class SD, IO, 6.154s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>827,732</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>119,763</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-116, Class TS, IO, 6.154s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>501,209</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>66,245</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-15, Class CI, IO, 6.134s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,282,981</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>423,603</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-115, Class JI, IO, 6.134s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,334,348</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>310,982</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-10, Class SA, IO, 6.104s, 2040</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5,908,226</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>645,178</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-43, Class SB, IO, 6.084s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>146,351</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>16,684</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-123, Class LI, IO, 6.074s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,581,565</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>201,966</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-2, Class SD, IO, 6.054s, 2040</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,269,431</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>266,258</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-81, Class IS, IO, 6.054s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,317,133</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>161,546</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-116, Class BS, IO, 6.034s, 2040</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>7,337,865</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>738,373</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 08-11, Class SC, IO, 6.034s, 2038 </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>144,909</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>18,836</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-2, Class MS, IO, 6.004s, 2050</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,269,083</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>355,997</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-4, Class SH, IO, 6.004s, 2040</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>7,348,174</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>815,794</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-5, Class SA, IO, 6.004s, 2040</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>9,646,456</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>921,150</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-111, Class SE, IO, 6.004s, 2040</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,775,022</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>152,474</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-26, Class S, IO, 5.984s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,329,063</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>253,635</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-104, Class KS, IO, 5.954s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>12,654,216</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,153,786</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-88, Class SA, IO, 5.954s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>808,219</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>93,511</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 08-62, Class SN, IO, 5.954s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>184,882</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>11,757</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-87, Class HS, IO, 5.904s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>91,658</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>9,253</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-91, Class S, IO, 5.904s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,106,428</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>289,286</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-39, Class AI, IO, 5.874s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,786,878</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>207,993</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-32, Class SD, IO, 5.864s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,185,341</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>136,123</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-62, Class PS, IO, 5.854s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,323,342</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>126,504</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-47, Class SA, IO, 5.854s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,059,901</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>105,722</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 08-61, Class S, IO, 5.854s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,935,110</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>443,278</FONT>&nbsp;</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>25</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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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><B><FONT size=1 face=sans-serif>MORTGAGE-BACKED SECURITIES (50.3%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=3 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>IFB Ser. 07-42, Class S, IO, 5.854s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$5,415,955</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$564,153</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-30, Class UI, IO, 5.854s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>966,306</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>113,610</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-32, Class SC, IO, 5.854s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,680,645</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>160,789</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-32, Class SG, IO, 5.854s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>141,699</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>12,755</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-1, Class CI, IO, 5.854s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,087,493</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>106,634</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-3, Class SH, IO, 5.824s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>857,785</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>87,357</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-54, Class SA, IO, 5.804s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,767,126</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>539,257</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 08-46, Class MI, IO, 5.804s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,366,188</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>121,604</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-37, Class KI, IO, 5.754s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>400,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>44,054</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 08-33, Class SA, IO, 5.754s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>8,817,675</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>964,654</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 08-57, Class SE, IO, 5.754s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,863,949</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>312,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 04-46, Class PJ, IO, 5.754s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>883,858</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>111,145</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-75, Class ID, IO, 5.624s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,138,398</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>101,780</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 09-86, Class XI, IO, 5 1/2s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>848,222</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>141,280</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 383, Class 18, IO, 5 1/2s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>537,491</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>93,767</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 383, Class 19, IO, 5 1/2s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>488,813</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>85,274</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 383, Class 6, IO, 5 1/2s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>410,846</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>68,562</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 383, Class 7, IO, 5 1/2s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>406,201</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>70,094</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 383, Class 20, IO, 5 1/2s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>313,290</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>54,897</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 364, Class 12, IO, 5 1/2s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>246,396</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>46,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-3, Class SE, IO, 5.254s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,263,818</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>128,720</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 10-21, Class IP, IO, 5s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,389,179</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>529,986</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 359, Class 7, IO, 5s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>72,421</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>12,908</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 378, Class 19, IO, 5s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,910,848</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,029,623</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 356, Class 5, IO, 5s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>72,716</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>13,651</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 03-W17, Class 12, IO, 1.14s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,727,056</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>75,559</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 06-26, Class NB, 1s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>199,043</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>177,580</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 03-W10, Class 3A, IO, 0.601s, 2043</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,754,016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>62,980</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 02-T18, IO, 0.511s, 2042</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,675,902</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>91,405</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 03-W10, Class 1A, IO, 0.495s, 2043</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,325,765</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>37,794</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 06-56, Class XF, zero %, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>70,388</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>54,484</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 05-117, Class MO, PO, zero %, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>18,315</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>17,783</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 05-63, PO, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,348</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,345</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 99-51, Class N, PO, zero %, 2029</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>44,138</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>39,144</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-14, Class DF, zero %, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>27,791</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>26,658</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-91, Class EF, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>21,606</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>20,472</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-54, Class CF, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>39,709</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>39,109</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-51, Class FV, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>49,857</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>46,082</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-48, Class FG, zero %, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>99,990</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>91,367</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Federal Home Loan Mortgage Corp. Structured</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>IFB Ser. T-56, Class 2ASI, IO, 7.854s, 2043</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>586,892</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>98,602</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. T-57, Class 1AX, IO, 0.433s, 2043</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,589,067</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>22,479</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FFCA Secured Lending Corp. 144A Ser. 00-1, Class X,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IO, 1.22s, 2020 </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,647,059</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>151,453</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>IFB Ser. 3182, Class SP, 27.68s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>360,818</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>458,229</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3211, Class SI, IO, 26.698s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>268,758</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>169,591</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3408, Class EK, 24.868s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>279,851</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>379,986</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3077, Class ST, IO, 23.723s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>343,004</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>202,426</FONT>&nbsp;</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>26</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>MORTGAGE-BACKED SECURITIES (50.3%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=3 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>IFB Ser. 2979, Class AS, 23.43s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$155,778</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$206,342</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3105, Class SI, IO, 19.03s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>210,129</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>101,934</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3489, Class SD, IO, 7.57s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>778,146</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>132,160</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 2684, Class SP, IO, 7.27s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,215,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>233,401</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3184, Class SP, IO, 7.12s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,313,437</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>134,006</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3110, Class SP, IO, 7.07s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,498,632</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>261,301</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3156, Class PS, IO, 7.02s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,529,959</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>260,491</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3149, Class LS, IO, 6.97s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>7,676,782</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,379,594</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3119, Class PI, IO, 6.97s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,128,727</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>381,489</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 2882, Class NS, IO, 6.97s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,200,545</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>166,588</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3149, Class SE, IO, 6.92s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>821,946</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>146,528</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3203, Class SH, IO, 6.91s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>769,768</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>95,922</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3208, Class PS, IO, 6.87s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>10,533,326</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,793,532</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 2594, Class SE, IO, 6.82s, 2030</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>230,570</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>22,322</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 2828, Class TI, IO, 6.82s, 2030</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>466,149</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>61,287</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3550, Class GS, IO, 6.52s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>6,406,170</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>809,996</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3249, Class SI, IO, 6.52s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>521,641</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>73,595</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3028, Class ES, IO, 6.52s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,574,573</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>221,821</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3042, Class SP, IO, 6.52s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>784,711</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>112,894</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 2981, Class AS, IO, 6.49s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>879,858</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>118,412</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3287, Class SE, IO, 6.47s, 2037 </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,025,464</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>303,495</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3122, Class DS, IO, 6.47s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>953,059</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>114,894</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3123, Class LI, IO, 6.47s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>597,160</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>94,913</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3108, Class SV, IO, 6.47s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>393,599</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>54,104</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3117, Class SC, IO, 6.47s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>249,321</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>33,461</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3139, Class SE, IO, 6.47s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>357,737</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>44,427</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3107, Class DC, IO, 6.47s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>652,044</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>96,120</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3001, Class IH, IO, 6.47s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,673,443</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>252,874</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 2906, Class SW, IO, 6.47s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,719,300</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>531,252</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 2950, Class SM, IO, 6.47s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>391,934</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>49,599</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3256, Class S, IO, 6.46s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,416,845</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>191,549</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3031, Class BI, IO, 6.46s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>540,380</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>91,154</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3249, Class SM, IO, 6.42s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>342,426</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>50,302</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3240, Class SM, IO, 6.42s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>336,097</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>46,432</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3147, Class SD, IO, 6.42s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,393,354</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>299,782</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3398, Class SI, IO, 6.42s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,603,171</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>341,614</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3067, Class SI, IO, 6.42s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>8,341,903</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,290,743</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3128, Class JI, IO, 6.4s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>276,080</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>38,077</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3240, Class S, IO, 6.39s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,483,782</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>354,063</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3229, Class BI, IO, 6.39s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>87,428</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>10,213</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3065, Class DI, IO, 6.39s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>414,711</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>63,049</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3231, Class SA, IO, 6.37s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>340,386</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>48,665</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3210, Class SA, IO, 6.37s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>51,131</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>6,053</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3145, Class GI, IO, 6.37s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>239,379</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>34,305</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3114, Class IP, IO, 6.37s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,469,163</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>343,954</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3510, Class IB, IO, 6.37s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,016,337</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>165,826</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3153, Class UI, IO, 6.34s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>910,893</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>128,378</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3424, Class XI, IO, 6.34s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,478,573</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>212,160</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3339, Class AI, IO, 6.32s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>717,218</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>78,514</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3485, Class SI, IO, 6.32s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>571,625</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>87,064</FONT>&nbsp;</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>27</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>MORTGAGE-BACKED SECURITIES (50.3%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=3 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>IFB Ser. 3346, Class SC, IO, 6.32s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$15,468,364</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$2,222,649</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3346, Class SB, IO, 6.32s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>7,785,563</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,118,085</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3238, Class LI, IO, 6.26s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>697,323</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>95,478</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3171, Class PS, IO, 6.255s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,065,156</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>133,027</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3171, Class ST, IO, 6.255s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,027,417</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>130,379</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3449, Class SL, IO, 6 1/4s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>91,649</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>10,691</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3152, Class SY, IO, 6 1/4s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,657,080</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>694,836</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3510, Class DI, IO, 6 1/4s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,573,844</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>223,753</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3181, Class PS, IO, 6.24s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>725,871</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>103,763</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3361, Class SI, IO, 6.22s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>103,491</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>14,232</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3199, Class S, IO, 6.22s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,036,650</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>283,115</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3200, Class PI, IO, 6.22s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>303,915</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>42,378</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3284, Class LI, IO, 6.21s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,377,383</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>324,180</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3303, Class SH, IO, 6.2s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,679,243</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>428,705</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3281, Class AI, IO, 6.2s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>446,520</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>60,834</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3261, Class SA, IO, 6.2s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>707,265</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>96,025</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3311, Class IA, IO, 6.18s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,404,312</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>190,607</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3311, Class IB, IO, 6.18s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,404,312</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>190,607</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3311, Class IC, IO, 6.18s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,404,312</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>190,607</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3311, Class ID, IO, 6.18s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,404,312</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>190,607</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3311, Class IE, IO, 6.18s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,119,603</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>287,694</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3311, Class PI, IO, 6.18s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,039,759</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>144,321</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3318, Class KS, IO, 6.18s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>685,191</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>78,345</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3265, Class SC, IO, 6.18s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>494,900</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>64,471</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3382, Class SI, IO, 6.17s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>8,669,840</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,056,593</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3240, Class GS, IO, 6.15s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,568,840</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>208,813</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3598, Class SA, IO, 6.12s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>8,080,347</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,083,575</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3621, Class CS, IO, 6.12s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,198,746</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>349,281</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3257, Class SI, IO, 6.09s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>677,394</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>81,517</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3242, Class SC, IO, 6.06s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>8,824,361</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,038,627</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3242, Class SD, IO, 6.06s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>98,600</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>11,390</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3225, Class EY, IO, 6.06s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>17,382,964</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,208,506</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3225, Class JY, IO, 6.06s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,923,585</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>384,539</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3608, Class SC, IO, 6.02s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>805,007</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>86,087</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3201, Class IN, IO, 6.02s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>436,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>62,182</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3621, Class SB, IO, 6s, 2040</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>9,041,218</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,054,896</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3628, Class SA, IO, 6s, 2040</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,757,721</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>305,073</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3617, Class BS, IO, 5.99s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,856,593</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>402,532</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3502, Class DS, IO, 5.92s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>580,748</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>65,803</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3339, Class TI, IO, 5.91s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,637,709</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>203,977</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3284, Class CI, IO, 5.89s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,045,481</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>506,939</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3476, Class S, IO, 5.87s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>122,496</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>11,433</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3303, Class SD, IO, 5.86s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,126,458</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>130,317</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3309, Class SG, IO, 5.84s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,633,451</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>182,457</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3530, Class CS, IO, 5.82s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>13,929,273</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,550,885</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 2965, Class SA, IO, 5.82s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>904,829</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>111,737</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3530, Class SC, IO, 5.77s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>979,481</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>107,988</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3536, Class SM, IO, 5.77s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>548,377</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>62,137</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3549, Class SA, IO, 5.57s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,798,573</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>268,943</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3424, Class UI, IO, 5.53s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,036,001</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>111,143</FONT>&nbsp;</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>28</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<A name="page_30"></A><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>MORTGAGE-BACKED SECURITIES (50.3%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=3 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>IFB Ser. 3607, Class SA, IO, 5.021s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$661,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$91,370</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3607, Class SB, IO, 5.021s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,433,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>186,190</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 3645, Class ID, IO, 5s, 2040</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,668,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>297,121</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 3632, Class CI, IO, 5s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,222,382</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>417,719</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 3626, Class DI, IO, 5s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,743,613</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>268,569</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 3623, Class CI, IO, 5s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,562,136</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>231,616</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 3006, Class FA, 0.63s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>46,165</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>46,117</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 3331, Class GO, PO, zero %, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>39,753</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>38,021</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 3289, Class SI, IO, zero %, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>188,148</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>45,726</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 3142, PO, zero %, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,391</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,385</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 3124, Class DO, PO, zero %, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>39,316</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>35,911</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 3106, PO, zero %, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>15,647</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>15,508</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 3084, Class ON, PO, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>19,398</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>18,937</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 2989, Class WO, PO, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>17,122</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>16,837</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 2975, Class QO, PO, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>11,720</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>10,845</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 2981, Class CO, PO, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>25,583</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>25,424</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 2951, Class JO, PO, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>16,544</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>12,363</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 2985, Class CO, PO, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>30,425</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>26,599</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 3345, Class TY, zero %, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>82,476</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>77,436</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 3299, Class FD, zero %, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>105,594</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>101,675</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 3304, Class UF, zero %, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>107,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>86,535</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 3326, Class XF, zero %, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>9,523</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>9,199</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 3273, Class HF, zero %, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>24,214</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>23,419</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 3235, Class TP, zero %, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>12,665</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>12,516</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 3283, Class KF, zero %, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>7,472</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>7,396</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 3332, Class UA, zero %, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5,963</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5,913</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 3251, Class TC, zero %, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>94,102</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>89,384</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 3140, Class KF, zero %, 2036 </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,181</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,175</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 3130, Class JF, zero %, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>11,077</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>10,983</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 3072, Class TJ, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>41,124</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>27,539</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 3047, Class BD, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>53,149</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>42,392</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 3052, Class TJ, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>25,027</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>21,268</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 3326, Class WF, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>72,224</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>67,458</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 3030, Class EF, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>48,834</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>44,505</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 3033, Class YF, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>67,414</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>60,558</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 3251, Class TP, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>54,756</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>45,616</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 3263, Class AE, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>71,141</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>69,038</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 3412, Class UF, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>75,426</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>62,838</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 2958, Class TP, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>20,188</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>19,099</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 2963, Class TW, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>26,718</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>26,111</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 2958, Class FB, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>27,293</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>26,278</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 2947, Class GF, zero %, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>50,895</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>45,440</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 3006, Class TE, zero %, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>14,092</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>13,789</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>GMAC Commercial Mortgage Securities, 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 size=1 face=sans-serif>Ser. 99-C3, Class G, 6.974s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>212,211</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>163,403</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>IFB Ser. 10-14, Class SA, IO, 7.76s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>17,664</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 07-17, Class CI, IO, 7 1/2s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>434,155</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>114,068</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 08-47, Class S, IO, 7.47s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,395,187</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>184,583</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 05-68, Class PU, IO, 7.06s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>706,888</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>108,246</FONT>&nbsp;</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>29</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<TR>
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<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>MORTGAGE-BACKED SECURITIES (50.3%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=3 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>IFB Ser. 04-26, Class IS, IO, 6.97s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$376,015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$28,291</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 05-68, Class SN, IO, 6.97s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>202,715</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>25,483</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 04-11, Class SB, IO, 6.96s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>317,537</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>50,765</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-47, Class SA, IO, 6.87s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>943,959</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>142,491</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 04-58, Class AS, IO, 6.87s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>347,223</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>38,177</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-49, Class NY, IO, 6.86s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,948,818</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>226,794</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 04-96, Class KS, IO, 6.76s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>100,505</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>15,428</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-16, Class GS, IO, 6 3/4s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>70,490</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>9,276</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 04-5, Class PS, IO, 6.71s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,293,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>208,367</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-35, Class NY, IO, 6.67s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,514,245</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>156,074</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-88, Class MS, IO, 6.66s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,710,568</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>451,794</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-76, Class MS, IO, 6.66s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>434,548</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>59,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-76, Class SJ, IO, 6.62s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,402,184</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>183,325</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-26, Class SG, IO, 6.61s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>917,927</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>101,917</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-87, Class IW, IO, 6.61s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,668,128</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>409,398</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 05-45, Class HI, IO, 6.59s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>364,311</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>54,137</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-18, Class S, IO, 6.57s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>7,490,309</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,096,806</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-106, Class XI, IO, 6.56s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,729,782</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>571,074</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-22, Class S, IO, 6.56s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>845,817</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>94,012</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-14, Class SB, IO, 6.56s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>98,619</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>13,904</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 08-79, Class ID, IO, 6.56s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,568,282</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>242,468</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 05-13, Class SD, IO, 6.56s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,825,770</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>571,035</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 04-106, Class SI, IO, 6.52s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>98,588</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>15,023</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-61, Class ES, IO, 6.51s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>171,193</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>17,713</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-106, Class XL, IO, 6.51s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,768,012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>203,162</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 04-104, Class IS, IO, 6.51s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>115,889</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>14,366</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-87, Class IG, IO, 6 1/2s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>331,862</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>47,021</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-53, Class SY, IO, 6.495s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,464,696</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>154,766</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-61, Class SA, IO, 6.46s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>12,121,624</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,539,931</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-41, Class SM, IO, 6.46s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>241,127</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>27,046</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-41, Class SN, IO, 6.46s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>245,694</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>27,558</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-37, Class SU, IO, 6.46s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>171,599</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>23,080</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-37, Class SN, IO, 6.45s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5,072,766</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>546,844</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-37, Class YS, IO, 6.44s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>144,615</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>18,410</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-59, Class PS, IO, 6.43s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>543,519</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>48,548</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-16, Class KU, IO, 6.41s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>8,692,244</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,147,289</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-16, Class PU, IO, 6.41s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>68,870</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>8,843</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-106, Class LP, IO, 6.37s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>490,965</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>58,228</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-106, Class CM, IO, 6.37s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>383,930</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>50,134</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 08-6, Class TI, IO, 6.37s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>190,293</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>18,797</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-17, Class AS, IO, 6.36s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,700,863</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>246,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 03-110, Class S, IO, 6.36s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>126,210</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>17,187</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-87, Class SK, IO, 6.36s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,887,515</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>203,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-34, Class PS, IO, 6.35s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>57,616</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>6,728</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 08-1, Class SE, IO, 6.33s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>635,809</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>66,277</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-17, Class AI, IO, 6.32s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,237,272</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>448,751</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-18, Class MS, IO, 6.31s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>556,785</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>52,683</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 08-6, Class SA, IO, 6.27s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,971,912</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>201,293</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-2, Class SA, IO, 6.26s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>6,124,418</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>822,969</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-24, Class SA, IO, 6.26s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>7,709,822</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>774,837</FONT>&nbsp;</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>30</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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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><B><FONT size=1 face=sans-serif>MORTGAGE-BACKED SECURITIES (50.3%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=3 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>IFB Ser. 06-26, Class S, IO, 6.26s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$3,523,463</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$360,746</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 08-6, Class SB, IO, 6.24s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,816,436</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>283,136</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 08-9, Class SK, IO, 6.24s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,835,002</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>213,466</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-37, Class SM, IO, 6.24s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>928,970</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>114,741</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-2, Class S, IO, 6.22s, 2040</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>587,691</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>70,890</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-35, Class KY, IO, 6.22s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,227,088</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>431,459</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-102, Class SM, IO, 6.17s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>7,239,325</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>762,391</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-35, Class SP, IO, 6.17s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,493,745</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>311,344</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-110, Class CS, IO, 6.16s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,139,947</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>206,385</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-106, Class MS, IO, 6.16s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,420,572</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>136,389</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-103, Class SW, IO, 6.16s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,043,518</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>397,560</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 08-27, Class QI, IO, 6.145s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,522,603</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>236,166</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 05-71, Class SA, IO, 6.13s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,712,723</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>368,320</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-106, Class SC, IO, 6.11s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,615,426</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>339,299</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 05-65, Class SI, IO, 6.11s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>927,321</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>106,197</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-102, Class SA, IO, 6.1s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>396,832</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>43,218</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-7, Class SB, IO, 6.08s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>194,600</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>18,707</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-87, Class DS, IO, 6.07s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,504,552</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>239,135</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-92, Class SL, IO, 6.07s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,085,787</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>110,262</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-110, Class NS, IO, 6.06s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>708,886</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>68,371</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-16, Class SX, IO, 6.05s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,114,383</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>127,753</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-88, Class SK, IO, 6.02s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>993,570</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>88,345</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-72, Class SM, IO, 6.02s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,318,810</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>373,885</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-92, Class SA, IO, 6.02s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5,280,119</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>612,731</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 05-84, Class SH, IO, 6.02s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>618,766</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>82,376</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-17, Class IB, IO, 6.01s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>630,069</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>82,690</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-106, Class SD, IO, 6.01s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,629,917</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>182,877</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-87, Class SN, IO, 6.01s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,478,706</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>140,285</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-76, Class XS, IO, 5.97s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5,259,082</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>651,589</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-25, Class KS, IO, 5.97s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,712,571</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>160,708</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-26, Class SW, IO, 5.96s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>7,979,708</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>755,918</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-106, Class SU, IO, 5.96s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,844,459</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>277,477</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-7, Class JI, IO, 5.96s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,594,514</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>176,513</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 05-35, Class SA, IO, 5.96s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>956,193</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>107,916</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 05-35, Class SB, IO, 5.96s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>734,803</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>84,128</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-31, Class AI, IO, 5.95s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>938,913</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>117,580</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-122, Class WS, IO, 5.91s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,628,449</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>493,948</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-43, Class SC, IO, 5.87s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>888,968</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>101,930</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-64, Class SY, IO, 5.86s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>6,526,392</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>577,178</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-106, Class SL, IO, 5.86s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,599,147</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>412,138</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-87, Class TS, IO, 5.86s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5,043,335</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>611,101</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 04-83, Class CS, IO, 5.84s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>276,228</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>32,437</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-50, Class SW, IO, 5.76s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>930,785</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>83,664</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-106, Class ST, IO, 5.76s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>913,266</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>97,683</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 04-41, Class SG, IO, 5.76s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,328,052</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>69,311</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-1, Class SD, IO, 5.55s, 2040</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,252,919</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>206,635</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-1, Class S, IO, 5.51s, 2040</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,115,001</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>99,479</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 09-55, Class LI, IO, 5 1/2s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,459,786</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>233,566</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-87, Class WT, IO, 0.186s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,080,094</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>11,704</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 09-106, Class WT, IO, 0.149s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>770,267</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,858</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 06-36, Class OD, PO, zero %, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>23,519</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>20,642</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-16, Class WF, zero %, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>130,853</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>126,327</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>31</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>MORTGAGE-BACKED SECURITIES (50.3%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=3 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Greenwich Capital Commercial Funding Corp. FRB</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 06-GG7, Class A2, 5.886s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$1,145,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$1,185,122</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>GS Mortgage Securities Corp. II FRB Ser. 07-GG10,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Class A3, 5.805s, 2045</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>334,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>343,763</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>GS Mortgage Securities Corp. II 144A Ser. 05-GG4,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Class XC, IO, 0.286s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>73,724,617</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,305,264</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>GSMPS Mortgage Loan Trust 144A</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 05-RP1, Class 1AS, IO, 5.984s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,530,269</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>189,381</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 05-RP3, Class 1AS, IO, 5.615s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>880,551</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>103,991</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 06-RP2, Class 1AS1, IO, 5.564s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>6,440,566</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>722,683</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>HASCO NIM Trust 144A Ser. 05-OP1A, Class A, 6 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 size=1 face=sans-serif>2035 (In default) &#134;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>84,852</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>8</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>HSI Asset Loan Obligation FRB Ser. 07-AR1,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Class 2A1, 5.984s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,866,623</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,734,307</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IMPAC Secured Assets Corp. FRB Ser. 07-2,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Class 1A1A, 0.356s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,344,604</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>726,086</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>FRB Ser. 06-AR25, Class 5A1, 5.832s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>694,926</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>399,922</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-AR15, Class 1A1, 5.781s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>870,505</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>552,771</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-AR9, Class 2A1, 5.779s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>890,530</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>601,108</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-AR31, Class 3A1, 5.48s, 2036 </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,333,617</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,330,162</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-AR23, Class 6A1, 5.415s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>611,818</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>446,627</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-AR11, Class 1A1, 5.041s, 2037 </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,103,803</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>607,092</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>FRB Ser. 06-A1, Class 5A1, 5.908s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>607,633</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>473,954</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-A6, Class 1A1, 0.406s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>989,750</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>504,128</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>JPMorgan Chase Commercial Mortgage</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>FRB Ser. 07-LD12, Class A3, 5.99s, 2051</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>357,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>360,999</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 08-C2, Class X, IO, 0.478s, 2051</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>29,955,758</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>707,687</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>144A Ser. 07-CB20, Class X1, IO, 0.136s, 2051</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>63,432,357</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>759,165</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LB Commercial Conduit Mortgage Trust 144A</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 99-C1, Class G, 6.41s, 2031</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>253,101</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>149,733</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Mach One Commercial Mortgage Trust 144A</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 04-1A, Class J, 5.45s, 2040</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>594,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>38,610</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 04-1A, Class K, 5.45s, 2040</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>212,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>11,660</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 04-1A, Class L, 5.45s, 2040</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>96,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,320</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Merrill Lynch Capital Funding Corp. Ser. 06-4,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Class XC, IO, 0.174s, 2049</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>56,232,493</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>664,696</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Class JS, IO, 2.273s, 2028 </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,137,752</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>39,786</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Merrill Lynch Mortgage Trust FRB Ser. 07-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 size=1 face=sans-serif>Class A3, 5.827s, 2050</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>222,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>223,383</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Merrill Lynch/Countrywide Commercial Mortgage Trust</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-8, Class A2, 5.92s, 2049</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>270,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>287,049</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Mezz Cap Commercial Mortgage Trust Ser. 07-C5,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Class X, IO, 3.818s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,429,954</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>170,097</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Mezz Cap Commercial Mortgage Trust 144A Ser. 04-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 size=1 face=sans-serif>Class X, IO, 7.411s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>827,130</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>80,645</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>32</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="59%"></TD>
     <TD width="10%" align=right></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>MORTGAGE-BACKED SECURITIES (50.3%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=4 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Morgan Stanley Capital I</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 98-CF1, Class E, 7.35s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$1,252,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$816,152</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 08-T29, Class A3, 6.28s, 2043 </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>712,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>748,727</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 07-HQ13, Class A2, 5.649s, 2044</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,144,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,210,580</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Morgan Stanley Capital I 144A FRB Ser. 04-RR,</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Class F7, 6s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,730,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>95,150</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Morgan Stanley Mortgage Loan Trust</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-11AR, Class 2A1, 5.911s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,632,895</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,316,448</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-3AR, Class 3A1, 5.881s, 2036 </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>607,551</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>385,795</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-14AR, Class 6A1, 5 7/8s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,930,879</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,437,145</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 06-6AR, Class 2A, 5.411s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,314,745</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,435,142</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 05-5AR, Class 2A1, 3.736s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>941,658</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>576,766</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-5AR, Class A, 0.496s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,530,928</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>750,155</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Mortgage Capital Funding, Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 98-MC2, Class E, 7.092s, 2030</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>327,112</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>346,739</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 97-MC2, Class X, IO, 1.233s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,096</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Nomura Asset Acceptance Corp. 144A IFB Ser. 04-R3,</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Class AS, IO, 6.804s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>134,857</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>20,169</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>PNC Mortgage Acceptance Corp. 144A Ser. 00-C1,</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Class J, 6 5/8s, 2010</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>123,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>30,750</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Residential Asset Securitization Trust</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 07-A5, Class 2A3, 6s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>699,166</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>503,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-A2, Class A1, 0.746s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,096,166</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>786,637</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>STRIPS 144A</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 03-1A, Class M, 5s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>162,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>105,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 03-1A, Class N, 5s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>193,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>115,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 04-1A, Class M, 5s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>174,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>95,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 04-1A, Class N, 5s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>167,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>83,500</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Structured Adjustable Rate Mortgage Loan Trust</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-9, Class 1A1, 6.488s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>819,236</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>445,366</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-10, Class 1A1, 6s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>384,186</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>219,001</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-12, Class 1A1, 0.406s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,833,882</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,166,143</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Structured Asset Securities Corp.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-4, Class 1A3, IO, 6.003s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,908,531</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>359,564</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 07-4, Class 1A4, IO, 1s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,174,090</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>111,028</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Structured Asset Securities Corp. 144A</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 06-RF1, IO, 5.795s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>22,195,747</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,567,270</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 05-RF6, Class A, IO, 5.64s, 2043</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>573,023</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>63,864</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 07-RF1, Class 1A, IO, 5.398s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,002,467</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>405,972</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Titan Europe PLC 144A</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-CT2A, Class E, 1.998s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>(United Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>226,682</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>240,856</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-CT1A, Class D, 1.964s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>(United Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>444,023</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>235,894</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ursus EPC 144A FRB Ser. 1-A, Class D, 6.938s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>(Ireland)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>238,863</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>25,380</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Wachovia Bank Commercial Mortgage Trust</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 07-C31, Class A3, 5.483s, 2047</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$396,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>401,312</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 07-C31, Class A2, 5.421s, 2047</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,261,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,297,378</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 07-C30, Class A3, 5.246s, 2043</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,254,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,243,656</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 07-C34, IO, 0.353s, 2046</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>16,861,395</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>317,163</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>33</FONT></P>
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<TR>
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     <TD width="10%" align=right></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>MORTGAGE-BACKED SECURITIES (50.3%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=4 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Wachovia Bank Commercial Mortgage Trust 144A FRB</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 05-WL5A, Class L, 3.53s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$477,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$238,500</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Wells Fargo Alternative Loan Trust FRB Ser. 07-PA6,</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Class A1, 6.462s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>6,500,730</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,070,320</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total mortgage-backed securities (cost $169,382,117)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$190,755,879</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (21.4%)*</FONT></B>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=4 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Basic materials (1.7%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Builders FirstSource, Inc. 144A company</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. notes FRN 13s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$164,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$169,740</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Clondalkin Acquisition BV 144A company</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. notes FRN 2.257s, 2013 (Netherlands)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>215,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>201,831</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Cognis GmbH company guaranty sr. bonds FRB</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. REGS, 2.65s, 2013 (Netherlands)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>156,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>203,343</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Freeport-McMoRan Copper &amp; Gold, Inc. sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>notes 8 3/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$1,046,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,161,060</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Georgia-Pacific, LLC sr. unsec. unsub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>8 1/8s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>55,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>57,750</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>HeidelbergCement AG company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>unsub. bonds 7 1/2s, 2020 (Germany)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>96,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>127,761</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>HeidelbergCement AG company guaranty unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>unsub. notes 8 1/2s, 2019 (Germany)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>299,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>421,468</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Hexion U.S. Finance Corp./Hexion Nova Scotia</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Finance, ULC company guaranty 9 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$64,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>65,280</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>International Paper Co. sr. unsec. notes 9 3/8s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>124,750</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Nalco Co. 144A sr. notes 8 1/4s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>28,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>29,750</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>NewPage Holding Corp. sr. unsec. unsub. notes FRN</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>7.564s, 2013 &#135;&#135;</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>90,993</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>15,469</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Novelis, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>notes 11 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>75,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>80,719</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Novelis, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>notes 7 1/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>113,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>109,045</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>PE Paper Escrow GmbH sr. notes Ser. REGS, 11 3/4s,</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2014 (Austria)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>405,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>599,921</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Rhodia SA sr. unsec. notes FRN Ser. REGS, 3.434s,</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2013 (France)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>522,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>676,426</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Rockwood Specialties Group, Inc. company</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. sub. notes 7 5/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>68,548</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>SGL Carbon SE company guaranty sr. sub. notes FRN</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. EMTN, 1.912s, 2015 (Germany)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>152,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>186,829</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Smurfit Kappa Funding PLC sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>sub. notes 7 3/4s, 2015 (Ireland)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$280,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>274,400</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Smurfit-Stone Container Corp. sr. notes unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>unsub. notes 8 3/8s, 2012 (In default) &#134;</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>240,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>213,000</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Steel Dynamics, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>unsub. notes 7 3/8s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>135,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>140,400</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Steel Dynamics, Inc. sr. unsec. unsub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>7 3/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>269,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>277,070</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Teck Resources, Ltd. sr. notes 10 3/4s, 2019 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>168,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>205,800</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Teck Resources, Ltd. sr. notes 10 1/4s, 2016 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>291,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>346,290</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>34</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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     <TD width="10%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (21.4%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=4 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Basic materials </FONT></B><I><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>Teck Resources, Ltd. sr. notes 9 3/4s, 2014 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$358,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$424,230</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Verso Paper Holdings, LLC/Verso Paper, 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 size=1 face=sans-serif>sr. notes 11 1/2s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>238,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>257,040</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</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><B><FONT size=1 face=sans-serif>6,437,920</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Capital goods (0.8%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Alliant Techsystems, Inc. sr. sub. notes 6 3/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>104,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>104,520</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ball Corp. 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 size=1 face=sans-serif>7 3/8s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>26,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>27,398</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ball Corp. 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 size=1 face=sans-serif>7 1/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>39,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>41,438</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>BBC Holding Corp. sr. notes 8 7/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>350,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>341,688</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Bombardier, Inc. 144A sr. unsec. notes FRN 3.787s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2013 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>133,888</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Crown Americas, LLC/Crown Americas Capital 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 size=1 face=sans-serif>sr. notes 7 5/8s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$206,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>212,180</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>General Cable 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 size=1 face=sans-serif>unsub. notes FRN 2.666s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>22,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>19,773</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Impress Holdings BV company guaranty sr. disc.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>bonds FRB Ser. REGS, 4.121s, 2013 (Netherlands)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>136,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>179,562</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>L-3 Communications 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 size=1 face=sans-serif>sub. notes 6 1/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$607,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>617,623</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>L-3 Communications 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 size=1 face=sans-serif>sub. notes 5 7/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>574,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>584,045</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Prysmian SpA sr. unsec. unsub. notes 5 1/4s,</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 size=1 face=sans-serif>2015 (Italy)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>115,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>156,107</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ryerson Tull, Inc. company guaranty sr. sec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>notes 12s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$334,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>350,700</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>TD Funding Corp. 144A company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. sub. notes 7 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>70,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>71,750</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Transdigm, Inc. 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 size=1 face=sans-serif>sub. notes 7 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>310,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>316,975</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</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><B><FONT size=1 face=sans-serif>3,157,647</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Communication services (2.6%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>CCH II, LLC sr. notes 13 1/2s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>452,462</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>544,086</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Cincinnati Bell, Inc. 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 size=1 face=sans-serif>notes 7s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>88,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>85,580</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Cincinnati Bell, Inc. 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 size=1 face=sans-serif>sub. notes 8 3/4s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>75,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>75,750</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Cricket Communications, Inc. company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty 9 3/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>248,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>252,340</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Cricket Communications, Inc. company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. unsub. notes 10s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>354,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>368,160</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>CSC Holdings, Inc. sr. notes 6 3/4s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>81,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>84,746</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Digicel Group, Ltd. 144A sr. unsec. notes 8 7/8s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2015 (Jamaica)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>245,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>240,713</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Frontier Communications Corp. sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>notes 8 1/8s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>343,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>342,143</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Global Crossing UK Finance PLC company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty 11 3/4s, 2014 (United Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>152,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>237,642</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Global Crossing, Ltd. 144A sr. sec. notes 12s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>(United Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$25,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>27,750</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>35</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<TR>
     <TD width="59%"></TD>
     <TD width="10%" align=right></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (21.4%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=4 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Communication services </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Inmarsat Finance PLC 144A company</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. notes 7 3/8s, 2017 (United Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$150,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$156,000</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Intelsat Subsidiary Holding Co., Ltd. company</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. notes Ser. *, 8 7/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>(Bermuda)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>128,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>132,160</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Level 3 Financing, Inc. company guaranty 9 1/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>340,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>331,500</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Magyar Telecom BV 144A company</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. notes 9 1/2s, 2016 (Hungary)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>246,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>342,274</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Mediacom LLC/Mediacom Capital Corp. 144A</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>sr. notes 9 1/8s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$103,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>106,219</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>MetroPCS Wireless, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>notes 9 1/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>90,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>92,025</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>NII Capital Corp. 144A company</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. notes 10s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>70,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>76,650</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Nordic Telephone Co. Holdings ApS sec.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>notes Ser. REGS, 8 1/4s, 2016 (Denmark)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>214,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>312,174</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>PAETEC Holding Corp. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>unsub. notes 9 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$150,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>151,875</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Qwest Communications International, Inc. company</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty 7 1/2s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>353,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>359,178</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Qwest Corp. sr. unsec. notes 7 1/2s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>75,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>81,938</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Qwest Corp. sr. unsec. unsub. notes 8 7/8s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,501,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,643,595</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>SBA Telecommunications, Inc. 144A company</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. notes 8 1/4s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>105,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>111,825</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>SBA Telecommunications, Inc. 144A company</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. notes 8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>180,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>189,450</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Sprint Nextel Corp. sr. notes 8 3/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,105,500</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>UPC Germany GmbH sr. notes Ser. REGS, 9 5/8s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>(Germany)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>293,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>415,761</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>UPC Germany GmbH 144A sr. bonds 8 1/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>(Germany)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>218,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>305,757</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>UPC Holdings BV sr. notes 9 3/4s, 2018 (Netherlands)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>259,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>367,323</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>UPC Holdings BV sr. notes Ser. REGS, 8 5/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>(Netherlands)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>57,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>78,922</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>West Corp. company guaranty 9 1/2s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$184,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>189,060</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Wind Acquisition Holding company</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. notes Ser. REGS, 12 1/4s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>(Luxembourg) &#135;&#135;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>195,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>255,485</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Windstream Corp. company guaranty 8 5/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$590,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>603,275</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>9,666,856</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Conglomerates (&#151;%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>SPX Corp. sr. unsec. notes 7 5/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>115,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>120,319</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>120,319</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Consumer cyclicals (3.7%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Affinia Group, Inc. 144A sr. notes 10 3/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>25,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>27,250</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Affinion Group, Inc. company guaranty 11 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>250,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>256,250</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Affinion Group, Inc. company guaranty 10 1/8s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>285,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>292,125</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Affinity Group, Inc. sr. sub. notes 9s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>482,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>337,400</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Allison Transmission, Inc. 144A company</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. notes 11 1/4s, 2015 &#135;&#135;</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>224,720</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>239,889</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>36</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<TR>
     <TD width="59%"></TD>
     <TD width="10%" align=right></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (21.4%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=4 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Consumer cyclicals </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>AMC Entertainment, Inc. company guaranty 11s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$251,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$269,511</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>AMC Entertainment, Inc. sr. sub. notes 8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>205,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>206,281</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>American Casino &amp; Entertainment Properties LLC</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>sr. notes 11s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>190,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>178,125</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Bon-Ton Stores, Inc. (The) company guaranty</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>10 1/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>160,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>156,000</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Boyd Gaming Corp. sr. sub. notes 6 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>134,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>116,915</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Cenveo Corp. 144A company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>notes 10 1/2s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>120,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>122,250</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Cirsa Capital Luxembourg SA company</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty Ser. REGS, 7 7/8s, 2012 (Luxembourg)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>77,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>106,604</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Clear Channel Communications, Inc. company</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty unsec. unsub. notes 10 3/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$200,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>156,500</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Clear Channel Communications, Inc. sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>notes 7.65s, 2010</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>86,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>85,678</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Clear Channel Worldwide Holdings, Inc. 144A company</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. unsub. notes Ser. B, 9 1/4s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>24,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>25,080</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Codere Finance Luxembourg SA sr. sec.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>notes Ser. REGS, 8 1/4s, 2015 (Luxembourg)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>227,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>299,710</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>D.R. Horton, Inc. sr. notes 7 7/8s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$30,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>31,688</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>DIRECTV Holdings, LLC company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>notes 7 5/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>117,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>131,040</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Echostar DBS Corp. company guaranty 6 5/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,369,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,379,268</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Europcar Groupe SA company guaranty sr. sub. bond</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. REGS, 4.162s, 2013 (France)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>127,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>155,545</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ford Motor Credit Co., LLC sr. notes 9 7/8s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$661,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>699,008</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Goodman Global Group, Inc. 144A sr. disc.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>notes zero %, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>250,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>146,250</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Goodman Global, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>sub. notes 13 1/2s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>270,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>301,725</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Goodyear Tire &amp; Rubber Co. (The) sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>notes 10 1/2s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>311,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>335,880</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Grupo Televisa SA sr. unsec. notes 6s, 2018 (Mexico)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>460,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>475,369</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Hanesbrands, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>notes FRN Ser. B, 3.831s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>70,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>66,850</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Harrah&#146;s Operating Co., Inc. sr. notes 11 1/4s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>185,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>199,338</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Interpublic Group of Companies, Inc. (The)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>sr. unsec. notes 10s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>170,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>192,313</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>ISS Holdings A/S sr. sub. notes Ser. REGS, 8 7/8s,</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2016 (Denmark)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>296,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>409,802</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Jarden Corp. company guaranty sr. sub. notes Ser. 1,</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>7 1/2s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>68,915</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Jarden Corp. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>sub. notes 7 1/2s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$165,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>167,269</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Lamar Media Corp. company guaranty 7 1/4s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>190,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>191,425</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Lamar Media Corp. company guaranty sr. notes</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>9 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>109,250</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Lender Processing Services, Inc. company</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. unsub. notes 8 1/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>795,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>852,638</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Levi Strauss &amp; Co. sr. unsec. notes 8 7/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>70,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>73,150</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>37</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<TR>
     <TD width="59%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (21.4%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=4 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Consumer cyclicals </FONT></B><I><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>Liberty Media, LLC sr. notes 5.7s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$138,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$138,000</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Mashantucket Western Pequot Tribe 144A bonds 8 1/2s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2015 (In default) &#134;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>340,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>85,000</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>MGM Mirage, Inc. company guaranty 8 1/2s, 2010</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>49,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>49,306</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Navistar International Corp. sr. notes 8 1/4s, 2021</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>180,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>184,500</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Nielsen Finance LLC/Nielsen Finance Co. company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty 10s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>168,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>175,980</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Nielsen Finance LLC/Nielsen Finance Co. company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. sub. disc. notes 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 size=1 face=sans-serif>zero % (12 1/2s, 8/1/11), 2016 &#134;&#134;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>383,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>363,850</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Owens Corning, Inc. company guaranty 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 size=1 face=sans-serif>unsub. notes 9s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>497,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>582,733</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Penn National Gaming, Inc. 144A sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>sub. notes 8 3/4s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>50,750</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Pinnacle Entertainment, Inc. company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. sub. notes 7 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>320,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>276,800</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>337,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>334,473</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Pinnacle Entertainment, Inc. 144A sr. notes 8 5/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>55,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>53,763</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>75,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>75,000</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Sirius XM Radio, Inc. 144A sr. notes 9 3/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>264,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>285,120</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Standard Pacific 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 size=1 face=sans-serif>unsub. notes 7s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>124,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>114,700</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Station Casinos, Inc. sr. notes 6s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2012 (In default) &#134;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>318,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>21,465</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>THL Buildco, Inc. (Nortek Holdings, Inc.)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>sr. notes 11s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>115,511</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>123,886</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Travelport LLC company guaranty 11 7/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>159,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>174,304</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Travelport LLC company guaranty 9 7/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>155,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>161,975</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Trump Entertainment Resorts, Inc. sec. notes 8 1/2s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2015 (In default) &#134;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>220,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,750</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>TRW Automotive, Inc. 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 size=1 face=sans-serif>unsub. notes Ser. REGS, 6 3/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>110,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>141,148</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>TVN Finance Corp. PLC 144A company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. notes 10 3/4s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>(United Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>152,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>227,865</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Umbrella Acquisition, Inc. 144A company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. unsub. notes 9 3/4s, 2015 &#135;&#135;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$371,097</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>320,071</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Vertis, Inc. company guaranty sr. notes 13 1/2s, 2014 &#135;&#135;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>246,703</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>103,615</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Virgin Media Finance PLC 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 size=1 face=sans-serif>bond 8 7/8s, 2019 (United Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>79,802</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Virgin Media Finance PLC 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 size=1 face=sans-serif>unsub. notes 9 1/2s, 2016 (United Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>135,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>203,314</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Visant 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 size=1 face=sans-serif>sub. notes 7 5/8s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$600,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>601,500</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>34,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>36,720</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Young Broadcasting, Inc. company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. sub. notes 8 3/4s, 2014 (In default) &#134;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>83,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>104</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Young Broadcasting, Inc. 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 size=1 face=sans-serif>sub. notes 10s, 2011 (In default) &#134;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>239,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,673</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</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><B><FONT size=1 face=sans-serif>13,832,458</FONT></B>&nbsp;</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>38</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<!--$$/page=-->
<A name="page_40"></A><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="59%"></TD>
     <TD width="10%" align=right></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (21.4%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=4 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Consumer staples (0.3%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Archibald Candy Corp. company guaranty 10s,</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2010 (In default) </FONT><B><SUP><FONT size=1 face=sans-serif>F </FONT></SUP></B><FONT size=1 face=sans-serif>&#134;</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$88,274</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$1,363</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Avis Budget Car Rental, LLC company</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. unsub. notes 7 3/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>285,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>279,300</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Avis Budget Car Rental, LLC 144A company</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. notes 9 5/8s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>45,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>47,025</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Constellation Brands, Inc. company</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. notes 7 1/4s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>23,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>23,575</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Constellation Brands, Inc. company</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. unsub. notes 7 1/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>111,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>114,053</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Great Atlantic &amp; Pacific Tea Co. 144A</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>sr. notes 11 3/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>131,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>129,035</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Prestige Brands, Inc. 144A company</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. notes 8 1/4s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>125,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>128,125</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Rite Aid Corp. company guaranty sr. notes</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>7 1/2s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>315,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>292,163</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Rite Aid Corp. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>unsub. notes 9 1/2s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>277,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>232,680</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>1,247,319</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Energy (4.5%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Arch Western Finance, LLC company</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. notes 6 3/4s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,347,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,352,051</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Chaparral Energy, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>notes 8 7/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>320,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>292,800</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Chesapeake Energy Corp. sr. notes 7 1/2s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,031,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,043,888</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Complete Production Services, Inc. company</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty 8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>388,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>384,120</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Comstock Resources, Inc. sr. notes 6 7/8s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>510,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>508,725</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Connacher Oil and Gas, Ltd. 144A sec. notes 10 1/4s,</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2015 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>210,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>213,675</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Connacher Oil and Gas, Ltd. 144A sr. sec.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>notes 11 3/4s, 2014 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>15,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>16,575</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Denbury Resources, Inc. sr. sub. notes 7 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>345,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>351,900</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Empresa Nacional del Petroleo 144A sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>notes 6 1/4s, 2019 (Chile)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>600,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>607,366</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Expro Finance Luxemburg 144A sr. notes 8 1/2s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>(Luxembourg)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>215,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>217,150</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ferrellgas LP/Finance sr. notes 6 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>520,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>514,800</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Forest Oil Corp. sr. notes 8s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>540,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>569,700</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Gaz Capital SA 144A company guaranty sr. unsec. bond</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>8.146s, 2018 (Russia)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>176,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>199,984</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Gaz Capital SA 144A sr. sec. bond 9 1/4s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>(Russia)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,055,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,465,671</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Helix Energy Solutions Group, Inc. 144A sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>notes 9 1/2s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>455,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>468,650</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Hornbeck Offshore Services, Inc. sr. notes Ser. B,</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>6 1/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>517,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>496,320</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Infinis PLC sr. notes Ser. REGS, 9 1/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>(United Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>98,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>154,053</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Key Energy Services, Inc. company</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. unsub. notes 8 3/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$180,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>182,025</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>39</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<TR>
     <TD width="59%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (21.4%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=4 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Energy </FONT></B><I><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>Lukoil International Finance BV 144A company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. unsub. notes 7 1/4s, 2019 (Russia)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$200,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$211,988</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Newfield Exploration Co. 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 size=1 face=sans-serif>sub. notes 6 5/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>348,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>357,570</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Oslo Seismic Services, Inc. 1st mtge. 8.28s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>189,298</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>190,042</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Peabody Energy Corp. company guaranty 7 3/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>455,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>481,163</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Petrobras International Finance Co. company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. notes 7 7/8s, 2019 (Brazil)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>440,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>512,600</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>PetroHawk Energy Corp. company guaranty 9 1/8s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>169,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>176,394</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Petroleos de Venezuela SA company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. notes 5 1/4s, 2017 (Venezuela)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,065,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,269,975</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Petroleos de Venezuela SA sr. unsec. bonds zero %,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2011 (Venezuela)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>585,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>511,875</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Petroleos de Venezuela SA sr. unsec. sub. bond 5s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2015 (Venezuela)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>580,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>357,512</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Petroleum Co. of Trinidad &amp; Tobago 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 size=1 face=sans-serif>sr. unsec. notes 9 3/4s, 2019 (Trinidad)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>545,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>619,938</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Petroleum Development Corp. company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. notes 12s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>240,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>254,400</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Plains Exploration &amp; Production Co. company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty 7 3/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>70,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>70,963</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Plains Exploration &amp; Production Co. company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty 7s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>80,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>78,800</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Plains Exploration &amp; Production Co. company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. notes 10s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>270,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>298,350</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Power Sector Assets &amp; Liabilites Management 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 size=1 face=sans-serif>144A govt. guaranty sr. unsec. notes 7 1/4s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>(Philippines)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>425,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>460,063</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Pride International, Inc. sr. unsec. notes 7 3/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>451,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>464,530</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Range Resources 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 size=1 face=sans-serif>sub. notes 7 1/2s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>232,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>238,960</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>SandRidge Energy, Inc. 144A company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. unsub. notes 8s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>365,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>346,750</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>White Nights Finance BV for Gazprom notes 10 1/2s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2014 (Russia)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>230,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>276,064</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</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><B><FONT size=1 face=sans-serif>17,217,390</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Financials (4.4%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Banco Do Brasil 144A sr. unsec. 5.418s, 2017 (Brazil)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>BRL</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>436,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>249,891</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Beverage Packaging Holdings Luxembourg II SA company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. notes Ser. REGS, 8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>90,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>121,563</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Bosphorus Financial Services, 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 size=1 face=sans-serif>sr. notes FRN 2.05s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$722,500</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>705,501</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>CIT Group, Inc. sr. bond 7s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>129,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>119,003</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>CIT Group, Inc. sr. bond 7s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>195,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>189,638</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>GMAC, LLC company guaranty sr. unsec. notes 7s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>25,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>25,438</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>GMAC, LLC company guaranty sr. unsec. notes 6 7/8s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>403,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>408,541</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>GMAC, LLC company guaranty sr. unsec. notes 6 5/8s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>512,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>517,120</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>GMAC, LLC 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 size=1 face=sans-serif>unsub. notes 6 7/8s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>53,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>53,861</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>40</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<!--$$/page=-->
<A name="page_42"></A><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="59%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (21.4%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=4 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Financials </FONT></B><I><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>GMAC, LLC 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 size=1 face=sans-serif>unsub. notes FRN 2.452s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$39,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$34,340</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>HUB International Holdings, 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 size=1 face=sans-serif>sr. sub. notes 10 1/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>95,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>90,963</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>HUB International Holdings, Inc. 144A sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>unsub. notes 9s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>63,050</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Icahn Enterprises LP/Ichan Enterprises Finance Corp.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>144A sr. notes 8s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>385,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>371,044</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>JPMorgan Chase &amp; Co. 144A 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 size=1 face=sans-serif>zero %, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,000,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>965,800</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>JPMorgan Chase &amp; Co. 144A sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>unsub. notes FRN 4.56s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>RUB</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>22,000,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>740,124</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>JPMorgan Chase &amp; Co. 144A unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>unsub. notes 0.174s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>INR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>19,000,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>458,185</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Leucadia National Corp. sr. unsec. notes 8 1/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>103,625</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Leucadia National Corp. sr. unsec. notes 7 1/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>252,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>249,480</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Reynolds Group DL Escrow, Inc./Reynolds Group</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Escrow, LLC 144A sr. sec. notes 7 3/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>(Luxembourg)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>377,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>533,402</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>RSHB Capital SA for OJSC Russian Agricultural Bank</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>sub. bonds FRB 6.97s, 2016 (Russia)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$3,585,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,680,038</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>RSHB Capital SA for OJSC Russian Agricultural Bank</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>144A notes 9s, 2014 (Russia)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,425,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,643,880</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Shinhan Bank 144A sr. unsec. bond 6s, 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 size=1 face=sans-serif>(South Korea)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>137,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>146,335</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>USI Holdings Corp. 144A 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 size=1 face=sans-serif>notes FRN 4 1/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>60,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>51,150</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>VTB Capital SA 144A bonds 6 1/4s, 2035 (Russia)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>130,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>130,650</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>VTB Capital SA 144A notes 7 1/2s, 2011 (Russia)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,925,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,040,500</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>VTB Capital SA 144A notes 6 7/8s, 2018 (Russia)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,385,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,442,131</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>VTB Capital SA 144A sec. notes 6.609s, 2012 (Russia)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,390,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,455,135</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</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><B><FONT size=1 face=sans-serif>16,590,388</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Health care (1.3%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Community Health Systems, Inc. company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty 8 7/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>142,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>146,970</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>DaVita, Inc. company guaranty 6 5/8s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>153,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>153,956</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>HCA, Inc. company guaranty sr. notes 9 5/8s, 2016 &#135;&#135;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>299,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>320,304</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>HCA, Inc. sr. sec. notes 9 1/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>346,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>367,841</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>HCA, Inc. sr. sec. notes 9 1/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>282,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>297,863</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Omnicare, Inc. company guaranty 6 3/4s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>195,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>195,975</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Omnicare, Inc. sr. sub. notes 6 1/8s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>545,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>549,088</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Select Medical Corp. company guaranty 7 5/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>345,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>328,613</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Stewart Enterprises, Inc. sr. notes 6 1/4s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>724,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>715,855</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Sun Healthcare Group, Inc. company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. unsub. notes 9 1/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>57,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>58,568</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Surgical Care Affiliates, 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 size=1 face=sans-serif>sr. sub. notes 10s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>310,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>308,450</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Surgical Care Affiliates, Inc. 144A sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>notes 8 7/8s, 2015 &#135;&#135;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>120,841</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>120,841</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>41</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<A name="page_43"></A><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="59%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (21.4%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=4 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Health care </FONT></B><I><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>Tenet Healthcare Corp. 144A company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. sec. notes 10s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$119,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$133,280</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Tenet Healthcare Corp. 144A company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. sec. notes 9s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>483,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>520,433</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ventas Realty LP/Capital Corp. 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 size=1 face=sans-serif>9s, 2012 </FONT><B><SUP><FONT size=1 face=sans-serif>R</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>305,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>325,492</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ventas Realty LP/Capital Corp. company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. notes 7 1/8s, 2015 </FONT><B><SUP><FONT size=1 face=sans-serif>R</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>51,887</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ventas Realty LP/Capital Corp. sr. notes 6 5/8s, 2014 </FONT><B><SUP><FONT size=1 face=sans-serif>R</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>173,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>176,814</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</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><B><FONT size=1 face=sans-serif>4,772,230</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Technology (0.8%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Brocade Communications Systems, 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 size=1 face=sans-serif>sr. notes 6 7/8s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>20,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>20,400</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Brocade Communications Systems, 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 size=1 face=sans-serif>sr. notes 6 5/8s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>20,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>20,300</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ceridian 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 size=1 face=sans-serif>notes 12 1/4s, 2015 &#135;&#135;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>64,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>61,440</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ceridian Corp. sr. unsec. notes 11 1/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>241,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>230,758</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Compucom Systems, Inc. 144A 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 size=1 face=sans-serif>12 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>155,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>164,300</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>First Data 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 size=1 face=sans-serif>notes 10.55s, 2015 &#135;&#135;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>170,545</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>144,111</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>First Data 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 size=1 face=sans-serif>notes 9 7/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>97,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>83,663</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>First Data 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 size=1 face=sans-serif>sub. notes 11 1/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>161,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>128,800</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Freescale Semiconductor, Inc. company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. notes 9 1/8s, 2014 &#135;&#135;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>152,160</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>146,074</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Freescale Semiconductor, Inc. company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. notes 8 7/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>279,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>266,445</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Freescale Semiconductor, Inc. company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. sub. notes 10 1/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>14,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>12,390</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Iron Mountain, Inc. 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 size=1 face=sans-serif>sub. notes 8s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>470,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>484,100</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>(Cayman Islands) (In default) </FONT><B><SUP><FONT size=1 face=sans-serif>F </FONT></SUP></B><FONT size=1 face=sans-serif>&#134;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>13,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,132</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Sanmina Corp. sr. unsec. sub. notes 8 1/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>136,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>136,850</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>SunGard Data Systems, 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 size=1 face=sans-serif>10 1/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>310,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>325,888</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>SunGard Data Systems, 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 size=1 face=sans-serif>9 1/8s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>326,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>334,150</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Unisys Corp. 144A company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. sub. notes 14 1/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>320,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>382,400</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</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><B><FONT size=1 face=sans-serif>2,943,201</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Transportation (0.2%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>British Airways PLC sr. unsec. 8 3/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>(United Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>157,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>234,259</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Offshore Logistics, Inc. company guaranty 6 1/8s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$295,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>294,263</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>RailAmerica, Inc. 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 size=1 face=sans-serif>9 1/4s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>153,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>163,136</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</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><B><FONT size=1 face=sans-serif>691,658</FONT></B>&nbsp;</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>42</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (21.4%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=3 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Utilities and power (1.2%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>AES Corp. (The) sr. unsec. unsub. notes 8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$130,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$131,950</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>AES Corp. (The) 144A sec. notes 8 3/4s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>380,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>385,700</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Edison Mission Energy sr. unsec. notes 7 3/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>151,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>110,230</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Edison Mission Energy sr. unsec. notes 7 1/2s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>69,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>59,858</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Edison Mission Energy sr. unsec. notes 7.2s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>147,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>101,430</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Edison Mission Energy sr. unsec. notes 7s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>23,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>16,043</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>El Paso Corp. sr. unsec. notes 12s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>516,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>602,430</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ipalco Enterprises, Inc. 144A sr. sec. 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 size=1 face=sans-serif>7 1/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>115,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>119,313</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Majapahit Holding BV 144A company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. notes 8s, 2019 (Indonesia)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>400,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>439,500</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Majapahit Holding BV 144A company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. notes 7 3/4s, 2020 (Indonesia)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,085,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,177,366</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Mirant Americas Generation, Inc. sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>notes 8.3s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>102,750</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>NRG Energy, Inc. sr. notes 7 3/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>235,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>233,238</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Orion Power Holdings, Inc. sr. unsec. notes 12s, 2010</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>655,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>657,456</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Sierra Pacific Resources 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 size=1 face=sans-serif>8 5/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>257,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>263,425</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Sierra Pacific Resources 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 size=1 face=sans-serif>unsub. notes 6 3/4s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>40,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>40,590</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Utilicorp United, Inc. sr. unsec. notes 7.95s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>18,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>18,919</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>4,460,198</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total corporate bonds and notes (cost $79,222,169)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$81,137,584</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>ASSET-BACKED SECURITIES (12.1%)*</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=3 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>FRB Ser. 05-1, Class M2, 0.936s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$74,142</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$25,928</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-4, Class A2C, 0.456s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>20,896</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>20,096</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>FRB Ser. 06-OP2, Class A2C, 0.396s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>107,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>31,618</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-HE3, Class A2C, 0.396s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>115,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>40,962</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ameriquest Mortgage Securities, Inc. FRB Ser. 03-8,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Class M2, 1.996s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>199,684</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>58,926</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>Ser. 03-1A, Class E, 7.11s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>383,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>61,280</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 04-1A, Class E, 6.42s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>361,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>50,540</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>FRB Ser. 03-W3, Class M3, 2.516s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>24,453</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>7,196</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-W4, Class A2C, 0.406s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>198,410</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>66,001</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>FRB Ser. 04-OPT2, Class M2, 1.246s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>127,495</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>94,566</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-WMC1, Class M1, 0.686s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>31,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>24,800</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>FRB Ser. 06-HE2, Class A3, 0.436s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>27,265</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>15,302</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-HE4, Class A5, 0.406s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>100,808</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>60,136</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>FRB Ser. 04-FR3, Class M6, 5.121s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>51,733</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>7,012</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-HE1, Class M3, 1 1/4s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>223,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>60,411</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>43</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="59%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>ASSET-BACKED SECURITIES (12.1%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=4 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Bombardier Capital Mortgage Securitization 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 size=1 face=sans-serif>Ser. 00-A, Class A4, 8.29s, 2030</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$466,068</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$326,247</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 00-A, Class A2, 7.575s, 2030</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,239,304</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>842,726</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 99-B, Class A4, 7.3s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>607,042</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>412,789</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 99-B, Class A3, 7.18s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,021,593</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>684,467</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 00-A, Class A1, 0.39s, 2030</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>134,063</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>22,021</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Citigroup Mortgage Loan Trust, Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-OPT1, Class M1, 0.666s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>47,073</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>37,057</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-OPX1, Class A1A, 0.316s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>556,972</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>334,183</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>Ser. 00-2, Class A5, 8.85s, 2030</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,232,823</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>998,586</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 00-4, Class A6, 8.31s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,961,453</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,324,740</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 00-5, Class A7, 8.2s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>459,836</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>402,356</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 00-1, Class A5, 8.06s, 2031</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>838,782</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>658,444</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 00-4, Class A5, 7.97s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>167,965</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>124,294</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 00-5, Class A6, 7.96s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>540,978</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>470,651</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 02-1, Class M1F, 7.954s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>44,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>38,649</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 01-3, Class M2, 7.44s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>7,682</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>67</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 01-4, Class A4, 7.36s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>161,271</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>166,109</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 01-1, Class A5, 6.99s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,611,314</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,575,201</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 01-3, Class A4, 6.91s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,368,145</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,433,269</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 02-1, Class A, 6.681s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>580,689</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>593,755</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 02-1, Class M1A, 2.279s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,249,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,665,482</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 01-4, Class M1, 1.979s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>295,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>149,235</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>FRB Ser. 05-BC3, Class M1, 0.766s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>44,703</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>40,253</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-14, Class 3A2, 0.486s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>18,402</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>15,986</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-4, Class 2A2, 0.426s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>942,515</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>754,012</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Credit-Based Asset Servicing and Securitization 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 size=1 face=sans-serif>Ser. 07-CB1, Class AF1A, 0.316s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>715,446</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>375,609</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>431,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>107,750</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Equifirst Mortgage Loan Trust FRB Ser. 05-1,</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 size=1 face=sans-serif>Class M5, 0.916s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>73,605</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>14,389</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>First Franklin Mortgage Loan Asset Backed</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Certificates FRB Ser. 06-FF7, Class 2A3, 0.396s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>173,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>95,601</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>FRB Ser. 05-E, Class 2A4, 0.576s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>244,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>118,289</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-2, Class 2A3, 0.416s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>353,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>257,270</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>FRB Ser. 03-2, Class 2C1, 2.227s, 2043 </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,430,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>797,360</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 03-2, Class 3C, 2.166s, 2043 </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>688,016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>383,634</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>Ser. 94-6, Class B2, 9s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$747,752</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>658,022</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 94-4, Class B2, 8.6s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>346,375</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>176,562</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 93-1, Class B, 8.45s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>242,774</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>208,262</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 99-5, Class A5, 7.86s, 2030</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,506,447</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,910,351</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 96-8, Class M1, 7.85s, 2027</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>387,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>335,992</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 95-8, Class B1, 7.3s, 2026</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>362,579</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>299,332</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 95-4, Class B1, 7.3s, 2025</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>371,800</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>331,543</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 96-10, Class M1, 7.24s, 2028</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>41,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>39,770</FONT>&nbsp;</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>44</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<TR>
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     <TD width="15%"></TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>ASSET-BACKED SECURITIES (12.1%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=3 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Green Tree Financial Corp.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 97-6, Class M1, 7.21s, 2029</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$1,087,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$858,836</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 98-2, Class A6, 6.81s, 2027</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>320,019</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>303,024</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 99-3, Class A7, 6.74s, 2031</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>546,758</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>545,391</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRN Ser. 98-4, Class A6, 6.53s, 2030</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>152,257</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>145,082</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 99-2, Class A7, 6.44s, 2030</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>38,774</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>33,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 99-1, Class A6, 6.37s, 2025</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>17,189</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>17,189</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 98-4, Class A5, 6.18s, 2030</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>384,189</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>366,459</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Greenpoint Manufactured Housing</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 00-3, Class IA, 8.45s, 2031</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,465,825</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,348,559</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 99-5, Class M1A, 8.3s, 2026</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>157,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>142,368</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 99-5, Class A4, 7.59s, 2028</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>23,216</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>23,065</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>GSAA Home Equity Trust FRB Ser. 06-19, 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 size=1 face=sans-serif>0.336s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,848,339</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,035,070</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>GSAMP 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 size=1 face=sans-serif>FRB Ser. 06-HE5, Class A2C, 0.396s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>526,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>149,524</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-HE2, Class A2A, 0.349s, 2047</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>876,879</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>790,287</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Guggenheim Structured Real Estate Funding, Ltd. 144A</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-2A, Class E, 2.246s, 2030</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>385,527</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>19,276</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-1A, Class E, 2.046s, 2030</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>83,828</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,191</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Home Equity Asset Trust FRB Ser. 06-1, Class 2A4,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>0.576s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>122,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>87,175</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>JPMorgan Mortgage Acquisition Corp. FRB</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 06-FRE1, Class A4, 0.536s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>103,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>57,284</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Lehman ABS Manufactured Housing Contract Ser. 01-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 size=1 face=sans-serif>Class A4, 5.27s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>942,852</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>837,973</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Lehman XS Trust Ser. 07-6, Class 3A6, 6 1/2s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>992,642</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>645,217</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LNR CDO, Ltd. 144A FRB Ser. 02-1A, Class FFL,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2.997s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,260,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>163,800</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Local Insight Media Finance, LLC Ser. 07-1W,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Class A1, 5.53s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,323,848</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>767,832</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>FRB Ser. 05-2, Class M4, 0.866s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>255,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>148,381</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-4, Class 2A4, 0.506s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>117,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>41,505</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-1, Class 2A3, 0.436s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>108,094</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>55,707</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Madison Avenue Manufactured Housing Contract 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 size=1 face=sans-serif>Ser. 02-A, Class B1, 3.496s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,046,356</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>911,376</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>MASTR Asset Backed 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 size=1 face=sans-serif>Ser. 06-FRE2, Class A4, 0.396s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>61,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>28,882</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Mid-State Trust Ser. 11, Class B, 8.221s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>103,862</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>95,931</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>FRB Ser. 04-HE8, Class B3, 3.446s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>55,100</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5,261</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-HE2, Class M5, 0.926s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>108,502</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>61,355</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-HE1, Class M3, 0.766s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>160,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>119,608</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-NC4, Class M2, 0.546s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>223,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,897</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>New Century Home Equity Loan Trust FRB Ser. 03-4,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Class M3, 3.321s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>11,564</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>6,802</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>FRB Ser. 06-1, Class A2C, 0.406s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>146,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>77,878</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-2, Class A2C, 0.396s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>146,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>82,634</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>45</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<A name="page_47"></A><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>ASSET-BACKED SECURITIES (12.1%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=3 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>Ser. 96-C, Class B1, 7.96s, 2027</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$954,630</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$706,426</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 99-D, Class A1, 7.84s, 2029</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>771,943</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>696,678</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 00-A, Class A2, 7.765s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>113,204</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>75,781</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 95-B, Class B1, 7.55s, 2021</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>250,146</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>176,959</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 00-D, Class A4, 7.4s, 2030</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,022,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>643,860</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 02-B, Class A4, 7.09s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>323,192</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>283,205</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 99-B, Class A4, 6.99s, 2026</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>778,369</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>694,694</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 00-D, Class A3, 6.99s, 2022</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>83,763</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>83,763</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 02-A, Class A4, 6.97s, 2032 </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>47,170</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>36,579</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 01-D, Class A4, 6.93s, 2031</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>612,592</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>462,507</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 01-E, Class A4, 6.81s, 2031</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>816,506</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>620,545</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 99-B, Class A3, 6.45s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>185,432</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>163,180</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 01-C, Class A2, 5.92s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>842,103</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>414,736</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 02-C, Class A1, 5.41s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>982,791</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>855,029</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 01-D, Class A2, 5.26s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>122,449</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>83,266</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 01-E, Class A2, 5.05s, 2031</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>866,702</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>624,025</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 02-A, Class A2, 5.01s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>207,301</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>168,281</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>Ser. 01-B, Class A4, 7.21s, 2030</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>142,953</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>135,805</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 01-B, Class A2, 0.608s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>38,594</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>28,735</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Park Place Securities, Inc. FRB Ser. 05-WCH1,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Class M4, 1.076s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>104,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>17,498</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>People&#146;s Financial Realty Mortgage Securities 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 size=1 face=sans-serif>FRB Ser. 06-1, Class 1A2, 0.376s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>188,082</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>69,825</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>FRB Ser. 06-NC3, Class A2, 0.436s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>103,926</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>78,469</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-RZ1, Class A2, 0.406s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>176,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>85,900</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>FRB Ser. 05-EMX1, Class M2, 0.976s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>281,746</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>197,501</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 01-KS3, Class AII, 0.689s, 2031</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,186,122</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>833,175</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>FRB Ser. 05-HE1, Class M2, 0.896s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>136,801</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>608</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-NC2, Class A2B, 0.386s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>165,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>67,090</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-BR5, Class A2A, 0.376s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>327,456</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>225,945</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-BR4, Class A2A, 0.336s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>296,887</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>192,977</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-BR3, Class A2A, 0.316s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,097,371</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,300,370</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>SG Mortgage Securities Trust FRB Ser. 06-OPT2,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Class A3D, PO, 0.456s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>246,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>73,536</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>FRB Ser. 06-OPT3, Class 2A3, 0.416s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>117,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>87,535</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-3, Class A3, 0.406s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>529,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>312,373</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>South Coast Funding 144A FRB Ser. 3A, Class A2,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1.45s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>140,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,400</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Structured Asset Investment Loan Trust FRB</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ser. 06-BNC2, Class A6, 0.506s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>117,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>10,489</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 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 size=1 face=sans-serif>2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>467,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>46,700</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>TIAA Real Estate CDO, Ltd. 144A Ser. 02-1A,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Class IV, 6.84s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>390,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>40,950</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>46</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="59%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>ASSET-BACKED SECURITIES (12.1%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=4 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>WAMU Asset-Backed Certificates FRB Ser. 07-HE2,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Class 2A1, 0.356s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$544,705</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$337,717</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Whinstone Capital Management, Ltd. 144A FRB Ser. 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 size=1 face=sans-serif>Class B3, 1.149s, 2044 (United Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>256,909</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>59,077</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total asset-backed securities (cost $55,765,735)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$45,776,297</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (8.3%)*</FONT></B>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=4 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>U.S. Government Guaranteed Mortgage Obligations (0.4%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Government National Mortgage Association</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Pass-Through Certificates 6 1/2s, November 20, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$1,570,056</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$1,696,212</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</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><B><FONT size=1 face=sans-serif>1,696,212</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>U.S. Government Agency Mortgage Obligations (7.9%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Federal National Mortgage Association</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>6s, TBA, May 1, 2040</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>14,000,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>14,925,859</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>6s, TBA, April 1, 2040</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>14,000,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>14,868,437</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</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><B><FONT size=1 face=sans-serif>29,794,296</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>Total U.S. government and agency mortgage obligations (cost $31,566,025)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$31,490,508</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>FOREIGN GOVERNMENT BONDS AND NOTES (7.2%)*</FONT></B>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=4 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Argentina (Republic of) bonds Ser. VII, 7s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$47,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$42,065</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Argentina (Republic of) sr. unsec. bonds FRB</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>0.578s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,431,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>630,356</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Argentina (Republic of) sr. unsec. unsub. 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 size=1 face=sans-serif>7s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,411,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,009,569</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Argentina (Republic of) sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>unsub. bonds Ser. $V, 10 1/2s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>ARS</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,039,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>443,483</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Argentina (Republic of) sr. unsec. unsub. bonds FRB</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>0.389s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$14,586,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,915,482</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Banco Nacional de Desenvolvimento Economico e Social</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>144A notes 6 1/2s, 2019 (Brazil)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>535,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>571,113</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Banco Nacional de Desenvolvimento Economico e Social</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>144A notes 5 1/2s, 2020 (Brazil)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>99,000</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Brazil (Federal Republic of) notes zero %, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>BRL</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,500</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>777,661</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Brazil (Federal Republic of) sr. notes 5 7/8s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$795,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>854,625</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Indonesia (Republic of) 144A sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>unsub. bonds 6 7/8s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>550,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>611,875</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Indonesia (Republic of) 144A sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>unsub. bonds 6 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,590,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,753,150</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Industrial Bank Of Korea 144A sr. notes 7 1/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>325,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>364,400</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Philippines (Republic of) sr. unsec. unsub. bond</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>6 1/2s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,350,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,454,625</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Russia (Federation of) 144A unsec. unsub. 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 size=1 face=sans-serif>5s, 2030</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,293,600</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,656,218</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>South Africa (Republic of) sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>unsub. notes 6 7/8s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>430,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>479,988</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Spain (Government of) bonds Ser. REGS, 5.4s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,000,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,428,852</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Sri Lanka (Republic of) 144A notes 7.4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$200,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>209,214</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Turkey (Republic of) bonds 16s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>TRY</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>175,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>129,457</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Turkey (Republic of) sr. unsec. notes 7 1/2s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$810,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>921,950</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>47</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<!--$$/page=-->
<A name="page_49"></A><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>FOREIGN GOVERNMENT BONDS AND NOTES (7.2%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=3 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Turkey (Republic of) sr. unsec. notes 7 1/2s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$1,505,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$1,724,670</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ukraine (Government of) 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 size=1 face=sans-serif>unsub. bonds Ser. REGS, 6 7/8s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>400,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>400,000</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ukraine (Government of) 144A sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>bonds 6 7/8s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>100,000</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ukraine (Government of) 144A sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>unsub. notes 7.65s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>300,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>305,250</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Venezuela (Republic of) bonds 8 1/2s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>450,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>392,445</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Venezuela (Republic of) unsec. note FRN Ser. REGS,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1.249s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>770,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>720,528</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Venezuela (Republic of) unsec. notes 10 3/4s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,985,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,924,656</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Venezuela (Republic of) 144A unsec. bonds 13 5/8s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2018</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,285,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,294,098</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total foreign government bonds and notes (cost $24,688,539)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$27,214,730</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>SENIOR LOANS (4.5%)* </FONT></B><B><SUP><FONT size=1 face=sans-serif>c</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=3 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Basic materials (0.1%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Georgia-Pacific 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 size=1 face=sans-serif>3.503s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$83,687</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$83,970</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Georgia-Pacific, LLC 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 size=1 face=sans-serif>2.252s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>130,525</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>129,188</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>Ser. H, 6s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>70,457</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>70,527</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Smurfit-Stone Container Enterprises, Inc. bank term</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>loan FRN 6 3/4s, 2016 </FONT><B><SUP><FONT size=1 face=sans-serif>U</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>140,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>139,975</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>423,660</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Capital goods (0.3%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Graham Packaging Co., LP 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 size=1 face=sans-serif>2 1/2s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>92,593</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>91,944</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Hawker Beechcraft Acquisition Co., LLC bank term</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>loan FRN 2.251s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>32,611</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>27,358</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Hawker Beechcraft Acquisition Co., LLC bank term</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>loan FRN Ser. B, 2.235s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>639,028</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>536,099</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Manitowoc Co., Inc. (The) 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 size=1 face=sans-serif>4.813s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>47,069</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>46,157</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Mueller Water Products, 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 size=1 face=sans-serif>Ser. B, 5.247s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>117,904</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>117,845</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Polypore, Inc. bank term loan FRN Ser. B, 2.48s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>301,175</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>289,881</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>1,109,284</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Communication services (0.8%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Cebridge Connections, 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 size=1 face=sans-serif>4.749s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>160,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>157,600</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Charter Communications Operating, LLC 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 size=1 face=sans-serif>FRN 9 1/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>225,975</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>229,161</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Charter Communications, 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 size=1 face=sans-serif>2.756s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>200,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>182,429</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Charter Communications, 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 size=1 face=sans-serif>2.23s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>925,011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>892,400</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Insight Midwest, LP 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 size=1 face=sans-serif>2 1/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>130,326</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>126,355</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Intelsat 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 size=1 face=sans-serif>2.728s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>208,340</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>202,523</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>48</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<!--$$/page=-->
<A name="page_50"></A><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>SENIOR LOANS (4.5%)* </FONT></B><B><SUP><FONT size=1 face=sans-serif>c </FONT></SUP></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=3 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Communication services </FONT></B><I><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>Intelsat Corp. bank term loan FRN Ser. B2-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 size=1 face=sans-serif>2.728s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$208,404</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$202,586</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Intelsat Corp. bank term loan FRN Ser. B2-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 size=1 face=sans-serif>2.728s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>208,340</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>202,523</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Intelsat, Ltd. bank term loan FRN 3.228s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>(Luxembourg)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>460,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>427,570</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Level 3 Communications, 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 size=1 face=sans-serif>2.501s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>108,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>100,665</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Level 3 Financing, 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 size=1 face=sans-serif>11 1/2s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>95,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>103,550</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>MetroPCS Wireless, Inc. bank term loan FRN 2 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 size=1 face=sans-serif>2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>218,075</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>213,531</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>West Corp. bank term loan FRN Ser. B2, 2.624s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>112,344</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>109,062</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>3,149,955</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Consumer cyclicals (1.6%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Building Materials Holdings 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 size=1 face=sans-serif>3.005s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>152,848</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>150,300</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>CCM Merger, Inc. bank term loan FRN Ser. B, 8 1/2s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>241,702</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>237,472</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Cenveo, Inc. bank term loan FRN Ser. C, 4.771s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>128,425</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>128,544</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Cenveo, Inc. bank term loan FRN Ser. DD, 4.771s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,279</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,283</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Clear Channel Communications, Inc. bank term loan</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRN Ser. B, 3.879s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>177,851</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>144,003</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Cooper-Standard Automotive, 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 size=1 face=sans-serif>5s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>109,410</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>108,589</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Cooper-Standard Automotive, 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 size=1 face=sans-serif>5s, 2010</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>60,379</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>59,927</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Cooper-Standard Automotive, 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 size=1 face=sans-serif>5s, 2010</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>33,066</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>32,818</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Cooper-Standard Automotive, 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 size=1 face=sans-serif>5s, 2010</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>30,466</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>30,238</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Cooper-Standard Automotive, 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 size=1 face=sans-serif>5s, 2010</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>26,038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>25,843</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Cooper-Standard Automotive, 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 size=1 face=sans-serif>Ser. B, 5s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>79,395</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>78,800</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Cooper-Standard Automotive, 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 size=1 face=sans-serif>Ser. C, 5s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>198,325</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>196,838</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Cooper-Standard Automotive, 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 size=1 face=sans-serif>Ser. D, 5s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>220,459</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>218,805</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Dex Media West, LLC 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 size=1 face=sans-serif>7 1/2s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>180,877</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>172,230</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>GateHouse Media, Inc. bank term loan FRN 2.49s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>219,537</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>105,312</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>GateHouse Media, 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 size=1 face=sans-serif>2.23s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>512,344</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>245,771</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>GateHouse Media, 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 size=1 face=sans-serif>2.239s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>191,173</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>91,706</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Golden Nugget, 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 size=1 face=sans-serif>3.23s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>101,334</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>76,592</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Golden Nugget, 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 size=1 face=sans-serif>3.233s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>57,647</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>43,571</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Goodman Global Holdings, 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 size=1 face=sans-serif>Ser. B, 6 1/4s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>306,936</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>308,085</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>49</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<!--$$/page=-->
<A name="page_51"></A><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>SENIOR LOANS (4.5%)* </FONT></B><B><SUP><FONT size=1 face=sans-serif>c </FONT></SUP></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=3 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Consumer cyclicals </FONT></B><I><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>Harrah&#146;s Operating Co., 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 size=1 face=sans-serif>Ser. B2, 3.249s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$169,439</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$146,009</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Jarden Corp. bank term loan FRN Ser. B1, 2.001s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>65,466</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>65,384</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Jarden Corp. bank term loan FRN Ser. B2, 2.001s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>29,762</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>29,604</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Jarden Corp. bank term loan FRN Ser. B4, 3.501s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>165,683</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>165,474</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Michaels Stores, 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 size=1 face=sans-serif>2.519s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>122,443</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>116,340</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>National Bedding Co. bank term loan FRN 2.317s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>89,162</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>86,545</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>QVC, Inc. bank term loan FRN 5.745s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>51,382</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>51,382</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>R.H. Donnelley, 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 size=1 face=sans-serif>9 1/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>644,869</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>628,143</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Realogy Corp. bank term loan FRN 0.081s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>164,381</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>144,894</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Realogy Corp. bank term loan FRN Ser. B, 3.251s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>610,559</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>538,177</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Six Flags Theme Parks bank term loan FRN 2.48s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>375,114</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>373,317</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Six Flags Theme Parks 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 size=1 face=sans-serif>5 3/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>370,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>366,300</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Thomas Learning bank term loan FRN Ser. B, 2 3/4s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>99,237</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>87,328</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Tribune Co. bank term loan FRN Ser. B, 5 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 size=1 face=sans-serif>2014 (In default) &#134;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>463,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>294,198</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>2.249s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>388,444</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>372,907</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Univision Communications, 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 size=1 face=sans-serif>Ser. B, 2.501s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>175,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>155,589</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Yankee Candle Co., 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 size=1 face=sans-serif>2 1/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>96,106</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>93,919</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>6,175,237</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Consumer staples (0.4%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Claire&#146;s Stores, Inc. bank term loan FRN 3.001s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>79,388</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>69,663</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Pinnacle Foods Holding 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 size=1 face=sans-serif>Ser. B, 2.979s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>490,079</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>473,199</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Revlon Consumer Products bank term loan FRN 6s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>390,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>385,369</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Rite-Aid Corp. bank term loan FRN Ser. B, 1.983s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>98,250</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>88,998</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Spectrum Brands, Inc. bank term loan FRN 1 1/2s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>30,543</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>30,436</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Spectrum Brands, Inc. bank term loan FRN Ser. B1,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>8.002s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>526,206</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>524,370</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>1,572,035</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Energy (0.2%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>EPCO Holding, 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 size=1 face=sans-serif>1.246s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>220,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>204,600</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Hercules Offshore, 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 size=1 face=sans-serif>6s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>131,849</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>128,263</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>MEG Energy Corp. bank term loan FRN 6s, 2016 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>412,801</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>407,331</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>740,194</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Financials (&#151;%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>HUB International Holdings, 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 size=1 face=sans-serif>6 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>72,818</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>72,126</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>72,126</FONT></B>&nbsp;</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>50</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<!--$$/page=-->
<A name="page_52"></A><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="59%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>SENIOR LOANS (4.5%)* </FONT></B><B><SUP><FONT size=1 face=sans-serif>c </FONT></SUP></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=4 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Health care (0.6%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Community Health Systems, Inc. bank term loan 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 size=1 face=sans-serif>Ser. B, 2.502s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$292,170</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$284,502</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Community Health Systems, Inc. bank term loan 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 size=1 face=sans-serif>Ser. DD, 2.502s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>15,367</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>14,964</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Health Management Associates, Inc. bank term loan</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRN 2.001s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,286,022</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,244,226</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IASIS Healthcare Corp. bank term loan FRN Ser. DD,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2.229s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>119,752</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>115,062</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IASIS Healthcare, LLC/IASIS Capital Corp. bank term</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>loan FRN 7.62s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>32,503</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>31,230</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IASIS Healthcare, LLC/IASIS Capital Corp. bank term</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>loan FRN 5.499s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>406,669</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>379,219</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IASIS Healthcare, LLC/IASIS Capital Corp. bank term</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>loan FRN Ser. B, 2.229s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>346,016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>332,463</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Select Medical Corp. bank term loan FRN 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 size=1 face=sans-serif>2.251s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>10,682</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>10,297</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</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><B><FONT size=1 face=sans-serif>2,411,963</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Technology (0.2%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>Compucom Systems, Inc. bank term loan FRN 3.73s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>123,412</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>116,625</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>First Data Corp. bank term loan FRN Ser. B1,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2.998s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>384,661</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>340,687</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Freescale Semiconductor, Inc. bank term loan 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 size=1 face=sans-serif>12 1/2s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>110,107</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>113,114</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</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><B><FONT size=1 face=sans-serif>570,426</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Utilities and power (0.3%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Dynegy Holdings, Inc. bank term loan FRN 3.98s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>194,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>190,484</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>NRG Energy, Inc. bank term loan FRN 1.998s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>260,870</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>254,934</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>NRG Energy, Inc. bank term loan FRN 0.151s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>171,715</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>167,807</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>TXU Energy Corp. bank term loan FRN Ser. B2,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3.729s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>267,316</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>219,087</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>TXU Energy Corp. bank term loan FRN Ser. B3,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3.729s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>194,445</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>157,607</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</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><B><FONT size=1 face=sans-serif>989,919</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total senior loans (cost $18,399,932)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$17,214,799</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>PURCHASED OPTIONS</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Expiration date/</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Contract</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>OUTSTANDING (1.5%)*</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>strike price</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=4 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclays</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Bank PLC for the right to receive a fixed rate</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>of 3.95% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>maturing May 13, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>May-10/3.95</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$7,920,100</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$117,611</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclays</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Bank PLC for the right to pay a fixed rate</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>of 3.95% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>maturing May 13, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>May-10/3.95</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>7,920,100</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>63,915</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclays</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Bank PLC for the right to receive a fixed rate</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>of 3.7375% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>maturing March 9, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Mar-11/3.7375</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>40,294,600</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>592,734</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>51</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<!--$$/page=-->
<A name="page_53"></A><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="59%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>PURCHASED OPTIONS</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Expiration date/</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Contract</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>OUTSTANDING (1.5%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>strike price</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>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 size=1 face=sans-serif>fixed rate of 3.665% 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 size=1 face=sans-serif>USD-LIBOR-BBA maturing March 8, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Mar-11/3.665</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$40,294,600</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$518,592</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclays</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Bank PLC for the right to pay a fixed rate</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>of 3.95% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>maturing September 21, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Sep-10/3.95</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>10,469,300</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>296,177</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclays</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Bank PLC for the right to receive a fixed rate</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>of 3.95% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>maturing September 21, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Sep-10/3.95</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>10,469,300</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>195,671</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>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 size=1 face=sans-serif>rate of 3.995% 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 size=1 face=sans-serif>USD-LIBOR-BBA maturing September 20, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Sep-10/3.995</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>25,699,300</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>676,406</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>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 size=1 face=sans-serif>fixed rate of 3.995% 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 size=1 face=sans-serif>USD-LIBOR-BBA maturing September 20, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Sep-10/3.995</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>25,699,300</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>526,579</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>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 size=1 face=sans-serif>rate of 3.965% 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 size=1 face=sans-serif>USD-LIBOR-BBA maturing September 20, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Sep-10/3.965</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>17,132,800</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>472,523</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>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 size=1 face=sans-serif>fixed rate of 3.965% 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 size=1 face=sans-serif>USD-LIBOR-BBA maturing September 20, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Sep-10/3.965</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>17,132,800</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>329,464</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>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 size=1 face=sans-serif>rate of 3.885% 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 size=1 face=sans-serif>USD-LIBOR-BBA maturing May 26, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>May-10/3.885</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,805,600</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>61,800</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>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 size=1 face=sans-serif>fixed rate of 3.885% 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 size=1 face=sans-serif>USD-LIBOR-BBA maturing May 26, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>May-10/3.885</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,805,600</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>59,926</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>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 size=1 face=sans-serif>fixed rate of 3.885% 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 size=1 face=sans-serif>USD-LIBOR-BBA maturing May 19, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>May-10/3.885</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,805,600</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>57,907</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>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 size=1 face=sans-serif>rate of 3.885% 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 size=1 face=sans-serif>USD-LIBOR-BBA maturing May 19, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>May-10/3.885</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,805,600</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>55,505</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>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 size=1 face=sans-serif>fixed rate of 3.885% 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 size=1 face=sans-serif>USD-LIBOR-BBA maturing May 12, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>May-10/3.885</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>19,222,600</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>222,598</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>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 size=1 face=sans-serif>rate of 3.885% 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 size=1 face=sans-serif>USD-LIBOR-BBA maturing May 12, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>May-10/3.885</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>19,222,600</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>195,878</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<FONT size=1 face=sans-serif>52</FONT>&nbsp;<BR>
<HR align=center SIZE=2 width="100%" noShade>
<!--$$/page=-->
<A name="page_54"></A><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="59%"></TD>
     <TD width="10%"></TD>
     <TD width="5%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>PURCHASED OPTIONS</FONT></B>&nbsp;</TD>
     <TD colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Expiration date/</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Contract</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>OUTSTANDING (1.5%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>strike price</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=5 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR height=20>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 4.235% versus the three month</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing June 11, 2020.</FONT>&nbsp;</TD>
     <TD colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>Jun-10/4.235</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$19,098,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$622,977</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 4.23% versus the three month</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing June 9, 2020.</FONT>&nbsp;</TD>
     <TD colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>Jun-10/4.23</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>19,098,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>617,247</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Total purchased options outstanding (cost $6,625,371)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$5,683,510</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>CONVERTIBLE BONDS AND NOTES (0.4%)*</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=5 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Advanced Micro Devices, Inc. cv. sr. unsec.</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 size=1 face=sans-serif>notes 6s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$500,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$479,375</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ford Motor Co. cv. sr. unsec. notes 4 1/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>157,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>235,060</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>General Growth Properties, Inc.</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 size=1 face=sans-serif>144A cv. sr. notes 3.98s, 2027 (In default) &#134; </FONT><B><SUP><FONT size=1 face=sans-serif>R</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>395,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>408,825</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Steel Dynamics, Inc. cv. sr. notes 5 1/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>195,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>239,119</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total convertible bonds and notes (cost $1,135,440)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$1,362,379</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>COMMON STOCKS (0.1%)*</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Shares</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=5 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>AboveNet, Inc. &#134;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>614</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$31,148</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Bohai Bay Litigation, LLC (Escrow) </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>991</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,091</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Nortek, Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5,718</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>228,720</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Vertis Holdings, Inc. </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>11,336</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>11</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total common stocks (cost $200,130)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$262,970</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>PREFERRED STOCKS (&#151;%)*</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Shares</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=5 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>GMAC, Inc. 144A Ser. G, 7.00% pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>228</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$173,793</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total preferred stocks (cost $76,202)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$173,793</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>WARRANTS (&#151;%)* &#134;</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Expiration</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Strike</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Price</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Warrants</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=5 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>AboveNet, Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>9/08/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$24.00</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>118</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$9,204</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Charter Communication Class A</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>11/30/14</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>46.86</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>20</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>105</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>New ASAT (Finance), Ltd. (Cayman Islands) </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2/01/11</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>0.01</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,380</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Smurfit Kappa Group PLC 144A (Ireland)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>10/01/13</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR .001</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>508</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>21,745</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Vertis Holdings, Inc. </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>10/18/15</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$0.01</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>752</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total warrants (cost $19,381)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$31,054</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>CONVERTIBLE PREFERRED STOCKS (&#151;%)*</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Shares</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=5 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Lehman Brothers Holdings, Inc. Ser. P,</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 size=1 face=sans-serif>7.25% cv. pfd. (In default) &#134;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>667</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$1,661</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total convertible preferred stocks (cost $628,699)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$1,661</FONT></B>&nbsp;</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>53</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<A name="page_55"></A><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>SHORT-TERM INVESTMENTS (15.4%)*</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount/shares</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=3 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Putnam Money Market Liquidity Fund </FONT><B><SUP><FONT size=1 face=sans-serif>e</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>12,246,946</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$12,246,946</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>U.S. Treasury Bills for an effective yield of 0.27%,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>December 16, 2010</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$112,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>111,784</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>U.S. Treasury Bills with effective yields ranging</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>from 0.23% to 0.27%, November 18, 2010 # ##</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>18,771,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>18,723,190</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>U.S. Treasury Bills with effective yields ranging</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>from 0.21% to 0.26%, August 26, 2010 # ##</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>15,820,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>15,807,375</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>U.S. Treasury Cash Management Bills with effective</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>yields ranging from 0.21% to 0.24%, July 15, 2010 #</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,305,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,301,678</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>U.S. Treasury Cash Management Bills for an</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>effective yield of 0.40%, June 10, 2010 #</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,060,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,059,212</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>U.S. Treasury Bills with effective yields ranging</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>from 0.30% to 0.47%, April 1, 2010 #</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>7,260,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>7,260,000</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total short-term investments (cost $58,526,480)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$58,510,185</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3></TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>TOTAL INVESTMENTS</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=3 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total investments (cost $446,236,220)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$459,615,349</FONT></B>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="7%"></TD>
     <TD width="93%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>Key to holding&#146;s currency abbreviations</FONT>&nbsp;</TD></TR>
<TR height=20>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 0px" noWrap align=left><FONT size=1 face=sans-serif>ARS</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Argentine Peso</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>AUD</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Australian Dollar</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>BRL</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Brazilian Real</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>CAD</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Canadian Dollar</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Euro</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>British Pound</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>INR</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Indian Rupee</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Japanese Yen</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>PLN</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Polish Zloty</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>RUB</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Russian Ruble</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>SEK</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Swedish Krona</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>TRY</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Turkish Lira</FONT>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=2 noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>Key to holding&#146;s abbreviations</FONT>&nbsp;</TD></TR>
<TR height=20>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>EMTN</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Euro Medium Term Notes</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRB</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Floating Rate Bonds</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FRN</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Floating Rate Notes</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IFB</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Inverse Floating Rate Bonds</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>IO</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Interest Only</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>PO</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Principal Only</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>TBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>To Be Announced Commitments</FONT>&nbsp;</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>* Percentages indicated are based on net assets of $378,863,265. </FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>&#134; Non-income-producing security.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif><FONT size=1 face=sans-serif>&#134;</FONT><FONT size=1 face=sans-serif>&#134; </FONT>The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>&#135;&#135; Income may be received in cash or additional securities at the discretion of the issuer.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif># These securities, in part or in entirety, were pledged and segregated with the broker to cover margin requirements for futures contracts at March 31, 2010.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>## These securities, in part or in entirety, were pledged and segregated with the custodian for collateral on certain derivative contracts at March 31, 2010. </FONT></P>
<P style="TEXT-ALIGN: left"><B><SUP><FONT size=1 face=sans-serif>c </FONT></SUP></B><FONT size=1 face=sans-serif>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</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>54</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<A name="page_56"></A><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>interest rates shown for senior loans are the current interest rates at March 31, 2010. 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 7). </FONT><B><SUP><FONT size=1 face=sans-serif><BR>
<BR>
e </FONT></SUP></B><FONT size=1 face=sans-serif>See Note 6 to the financial statements regarding investments in Putnam Money Market Liquidity Fund.</FONT></P>
<P style="TEXT-ALIGN: left"><B><SUP><FONT size=1 face=sans-serif>F </FONT></SUP></B><FONT size=1 face=sans-serif>Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures (&#147;ASC 820&#148;) based on the securities valuation inputs.</FONT></P>
<P style="TEXT-ALIGN: left"><B><SUP><FONT size=1 face=sans-serif>R </FONT></SUP></B><FONT size=1 face=sans-serif>Real Estate Investment Trust.</FONT></P>
<P style="TEXT-ALIGN: left"><B><SUP><FONT size=1 face=sans-serif>U </FONT></SUP></B><FONT size=1 face=sans-serif>This security, in part or in entirety, represents unfunded loan commitments (Note 8).</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>At March 31, 2010, liquid assets totaling $250,547,942 have been segregated to cover certain derivative contracts. Debt obligations are considered secured unless otherwise indicated.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>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 style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>See Note 1 to the financial statements regarding TBA&#146;s.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The rates shown on FRB and FRN are the current interest rates at March 31, 2010. </FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The dates shown on debt obligations are the original maturity dates.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>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&nbsp;31, 2010.</FONT></P>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="23%"></TD>
     <TD width="23%"></TD>
     <TD style="TEXT-INDENT: 0px" width="8%"></TD>
     <TD width="23%"></TD>
     <TD width="23%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>DIVERSIFICATION BY COUNTRY</FONT></B>&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 colSpan=5 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=4 noWrap align=left><FONT size=1 face=sans-serif>Distribution of investments by country of risk at March 31, 2010 (as a percentage of Portfolio Value):</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=5 noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>United States</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>86.2%</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Brazil</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>0.7%</FONT>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=2 noWrap align=left>
<HR SIZE=1 noShade>
</TD>
     <TD noWrap align=left></TD>
     <TD colSpan=2 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Russia</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3.5</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Turkey</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>0.6</FONT>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=2 noWrap align=left>
<HR SIZE=1 noShade>
</TD>
     <TD noWrap align=left></TD>
     <TD colSpan=2 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Argentina</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1.7</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>United Kingdom</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>0.5</FONT>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=2 noWrap align=left>
<HR SIZE=1 noShade>
</TD>
     <TD noWrap align=left></TD>
     <TD colSpan=2 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Venezuela</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1.4</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Other</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4.5</FONT>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=2 noWrap align=left>
<HR SIZE=1 noShade>
</TD>
     <TD noWrap align=left></TD>
     <TD colSpan=2 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Indonesia</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>0.9</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>100.0%</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD>
     <TD></TD>
     <TD colSpan=2>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="47%"></TD>
     <TD width="16%"></TD>
     <TD width="13%"></TD>
     <TD width="6%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 noWrap align=left><B><FONT size=1 face=sans-serif>FORWARD CURRENCY CONTRACTS TO BUY at 3/31/10 (aggregate face value $63,781,634) (Unaudited)</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Aggregate</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Delivery</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>face value</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=6 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Australian Dollar</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$18,753,566</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$18,387,110</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$366,456</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Brazilian Real</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>58,020</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>57,492</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>528</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>British Pound</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,055,897</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,062,385</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(6,488)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Canadian Dollar</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>6,352,767</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>6,224,962</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>127,805</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Danish Krone</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>244,282</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>246,086</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(1,804)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Euro</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>51,867</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>51,952</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(85)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Hungarian Forint</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,221,691</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,218,364</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,327</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Japanese Yen</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>12,202,337</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>12,795,918</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(593,581)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Malaysian Ringgit</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>172,786</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>166,440</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>6,346</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Mexican Peso</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>285,721</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>276,910</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>8,811</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>New Zealand Dollar</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>6,024</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5,900</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>124</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Norwegian Krone</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>11,113,427</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>11,153,548</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(40,121)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Polish Zloty</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,751,605</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,694,029</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>57,576</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>South African Rand</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,359,811</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,299,272</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>60,539</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Swedish Krona</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,677,994</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,689,279</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(11,285)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Swiss Franc</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,488,306</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,451,987</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>36,319</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$14,467</FONT></B>&nbsp;</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>55</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<!--$$/page=-->
<A name="page_57"></A><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="47%"></TD>
     <TD width="16%"></TD>
     <TD width="13%"></TD>
     <TD width="6%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 noWrap align=left><B><FONT size=1 face=sans-serif>FORWARD CURRENCY CONTRACTS TO SELL at 3/31/10 (aggregate face value $52,247,543) (Unaudited)</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Aggregate</FONT></B>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Delivery</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>face value</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=6 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Australian Dollar</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$913,982</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$894,184</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$(19,798)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Brazilian Real</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,388,833</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,381,275</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(7,558)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>British Pound</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5,450,298</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5,386,629</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(63,669)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Canadian Dollar</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>889,737</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>865,726</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(24,011)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Czech Koruna</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,604,290</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,582,200</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(22,090)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Euro</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>17,456,724</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>17,485,642</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>28,918</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Hungarian Forint</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,126,080</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,121,868</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(4,212)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Japanese Yen</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,577,349</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,654,626</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>77,277</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Norwegian Krone</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,977,424</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,970,615</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(6,809)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Polish Zloty</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,883,627</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,847,927</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(35,700)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>South African Rand</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,321,444</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,265,854</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(55,590)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Swedish Krona</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5,920,281</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5,949,240</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>28,959</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Swiss Franc</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>8,891,013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>8,716,959</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(174,054)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Turkish Lira</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>126,595</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>124,798</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(1,797)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$(280,134)</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD>&nbsp;</TD>
     <TD colSpan=4></TD>
     <TD>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="47%"></TD>
     <TD width="16%"></TD>
     <TD width="13%"></TD>
     <TD width="6%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>FUTURES CONTRACTS OUTSTANDING at 3/31/10 (Unaudited)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>Number of</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Expiration</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>contracts</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=6 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>Bond 10 yr (Long)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$1,295,503</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Jun-10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$(1,314)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Canadian Government Bond 10 yr (Long)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>578,883</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Jun-10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(2,732)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Euro-Bobl 5 yr (Short)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>8</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,265,120</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Jun-10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(3,160)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Euro-Bund 10 yr (Long)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>6</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>999,653</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Jun-10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(2,857)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Euro-Schatz 2 yr (Short)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>214</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>31,426,940</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Jun-10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(19,248)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>Japanese Government Bond 10 yr (Short) 4</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5,916,952</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Jun-10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>15,820</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Japanese Government Bond 10 yr</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 size=1 face=sans-serif>Mini (Long)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>443,354</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Jun-10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(3,609)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>U.K. Gilt 10 yr (Long)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>522,537</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Jun-10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(3,818)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>U.S. Treasury Bond 20 yr (Long)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,132</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>131,453,500</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Jun-10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(24,441)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>U.S. Ultra Treasury Bond 30 yr (Long)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>20</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,399,375</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Jun-10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>13,242</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>U.S. Treasury Note 5 yr (Short)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>91</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>10,450,781</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Jun-10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>48,094</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>U.S. Treasury Note 10 yr (Long)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>182</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>21,157,500</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Jun-10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(178,349)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$(162,372)</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD>&nbsp;</TD>
     <TD colSpan=4></TD>
     <TD>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="59%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>WRITTEN OPTIONS OUTSTANDING at 3/31/10 (premiums received $25,221,502) (Unaudited)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Contract</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Expiration date/</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>strike price</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=5 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Citibank, N.A. for</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>the obligation to pay a fixed rate of 4.49% versus</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 size=1 face=sans-serif>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 size=1 face=sans-serif>August 17, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$11,060,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Aug-11/4.49</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$447,156</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>Bank, N.A. for the obligation to pay 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 size=1 face=sans-serif>4.525% 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 size=1 face=sans-serif>maturing July 26, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>20,362,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Jul-11/4.525</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>861,313</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>56</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<!--$$/page=-->
<A name="page_58"></A><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="59%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>WRITTEN OPTIONS OUTSTANDING at 3/31/10 (premiums received $25,221,502) (Unaudited) </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Contract</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Expiration date/</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>strike price</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=5 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Bank of America,</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 size=1 face=sans-serif>N.A. for the obligation to pay a fixed rate of 4.475%</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 size=1 face=sans-serif>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 size=1 face=sans-serif>August 19, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$7,124,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Aug-11/4.475</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$283,321</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Bank of America,</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 size=1 face=sans-serif>N.A. for the obligation to receive a fixed rate of 4.475%</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 size=1 face=sans-serif>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 size=1 face=sans-serif>August 19, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>7,124,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Aug-11/4.475</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>304,693</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Bank of America,</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 size=1 face=sans-serif>N.A. for the obligation to receive a fixed rate of 4.55%</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 size=1 face=sans-serif>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 size=1 face=sans-serif>August 17, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5,530,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Aug-11/4.55</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>220,039</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Bank of America,</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 size=1 face=sans-serif>N.A. for the obligation to pay a fixed rate of 4.55%</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 size=1 face=sans-serif>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 size=1 face=sans-serif>August 17, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5,530,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Aug-11/4.55</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>237,901</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Citibank, N.A. for</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>the obligation to receive a fixed rate of 4.49% versus the</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 size=1 face=sans-serif>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 size=1 face=sans-serif>August 17, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>11,060,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Aug-11/4.49</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>464,852</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Bank of America,</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 size=1 face=sans-serif>N.A. for the obligation to receive a fixed rate of 4.765%</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 size=1 face=sans-serif>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 size=1 face=sans-serif>August 16, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>10,823,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Aug-11/4.765</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>350,990</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Bank of America,</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 size=1 face=sans-serif>N.A. for the obligation to pay a fixed rate of 4.765%</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 size=1 face=sans-serif>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 size=1 face=sans-serif>August 16, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>10,823,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Aug-11/4.765</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>574,485</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Bank of America,</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 size=1 face=sans-serif>N.A. for the obligation to receive a fixed rate of 4.70%</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 size=1 face=sans-serif>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 size=1 face=sans-serif>August 8, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>11,515,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Aug-11/4.70</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>390,128</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Bank of America,</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 size=1 face=sans-serif>N.A. for the obligation to pay a fixed rate of 4.70%</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 size=1 face=sans-serif>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 size=1 face=sans-serif>August 8, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>11,515,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Aug-11/4.70</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>576,441</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>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 size=1 face=sans-serif>of 4.745% 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 size=1 face=sans-serif>maturing July 27, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>30,543,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Jul-11/4.745</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>965,464</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>Bank, N.A. for the obligation to pay 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 size=1 face=sans-serif>4.745% 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 size=1 face=sans-serif>maturing July 27, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>30,543,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Jul-11/4.745</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,606,867</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Citibank, N.A. for</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>the obligation to receive a fixed rate of 4.5475% versus</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 size=1 face=sans-serif>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 size=1 face=sans-serif>July 26, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>9,548,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Jul-11/4.5475</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>360,437</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Citibank, N.A. for</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>the obligation to pay a fixed rate of 4.5475% versus the</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 size=1 face=sans-serif>three month USD-LIBOR-BBA maturing July 26, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>9,548,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Jul-11/4.5475</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>413,428</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>57</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<!--$$/page=-->
<A name="page_59"></A><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="59%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>WRITTEN OPTIONS OUTSTANDING at 3/31/10 (premiums received $25,221,502) (Unaudited) </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Contract</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Expiration date/</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>strike price</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=5 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Citibank, N.A. for</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>the obligation to receive a fixed rate of 4.52% versus the</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 size=1 face=sans-serif>three month USD-LIBOR-BBA maturing July 26, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$19,096,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Jul-11/4.52</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$739,970</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>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 size=1 face=sans-serif>of 4.525% 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 size=1 face=sans-serif>maturing July 26, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>20,362,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Jul-11/4.525</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>785,159</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Citibank, N.A. for</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>the obligation to pay a fixed rate of 4.52% versus the</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 size=1 face=sans-serif>three month USD-LIBOR-BBA maturing July 26, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>19,096,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Jul-11/4.52</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>803,369</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>Bank, N.A. for the obligation to pay a fixed rate of 4.46%</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 size=1 face=sans-serif>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 size=1 face=sans-serif>July 26, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>20,362,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Jul-11/4.46</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>803,688</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>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 size=1 face=sans-serif>of 4.46% 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 size=1 face=sans-serif>maturing July 26, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>20,362,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Jul-11/4.46</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>834,638</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>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 size=1 face=sans-serif>of 5.235% 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 size=1 face=sans-serif>maturing June 11, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>19,098,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Jun-10/5.235</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,719</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>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 size=1 face=sans-serif>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 size=1 face=sans-serif>September 12, 2018.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,469,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Sep-13/4.82</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>49,755</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>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 size=1 face=sans-serif>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 size=1 face=sans-serif>May 14, 2022.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>25,011,500</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>May-12/5.51</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,111,252</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>Bank, N.A. for the obligation to pay a fixed rate of 4.02%</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 size=1 face=sans-serif>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 size=1 face=sans-serif>October 14, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,157,400</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Oct-10/4.02</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>69,526</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>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 size=1 face=sans-serif>of 4.02% 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 size=1 face=sans-serif>maturing October 14, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,157,400</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Oct-10/4.02</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>90,238</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>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 size=1 face=sans-serif>of 5.23% 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 size=1 face=sans-serif>maturing June 9, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>19,098,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Jun-10/5.23</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,528</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclays Bank PLC</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 size=1 face=sans-serif>for the obligation to pay a fixed rate of 4.02% versus</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 size=1 face=sans-serif>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 size=1 face=sans-serif>September 28, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>518,500</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Sep-10/4.02</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>11,277</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclays Bank PLC</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 size=1 face=sans-serif>for the obligation to receive a fixed rate of 5.36%</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 size=1 face=sans-serif>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 size=1 face=sans-serif>February 13, 2025.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,584,020</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Feb-15/5.36</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>95,532</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>58</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<!--$$/page=-->
<A name="page_60"></A><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="54%"></TD>
     <TD width="5%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=5 noWrap align=left><B><FONT size=1 face=sans-serif>WRITTEN OPTIONS OUTSTANDING at 3/31/10 (premiums received $25,221,502) (Unaudited) </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Contract</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Expiration date/</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>strike price</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=6 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclays Bank PLC</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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>for the obligation to pay a fixed rate of 5.36% versus</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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>the three month USD-LIBOR-BBA maturing</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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>February 13, 2025.</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$1,584,020</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Feb-15/5.36</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$100,300</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the obligation to pay a fixed rate of 5.27%</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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>February 12, 2025.</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5,766,760</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Feb-15/5.27</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>347,217</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the obligation to receive a fixed rate</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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>of 5.27% versus the three month USD-LIBOR-BBA</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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>maturing February 12, 2025.</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5,766,760</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Feb-15/5.27</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>364,863</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclays Bank</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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>PLC for the obligation to receive a fixed rate of 4.7375%</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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>March 9, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>40,294,600</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Mar-11/4.7375</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>832,889</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the obligation to receive a fixed rate</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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>of 4.665% versus the three month USD-LIBOR-BBA</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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>maturing March 8, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>40,294,600</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Mar-11/4.665</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>901,793</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclays Bank PLC</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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>for the obligation to receive a fixed rate of 4.02%</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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>September 28, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>518,500</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Sep-10/4.02</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>13,657</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the obligation to receive a fixed rate of</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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1.79% versus the six month EUR-EURIBOR-Telerate</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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>maturing May 13, 2012.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>37,930,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>May-10/1.79</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>10,246</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the obligation to pay a fixed rate of 1.79%</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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>versus the six month EUR-EURIBOR-Telerate maturing</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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>May 13, 2012.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>37,930,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>May-10/1.79</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>278,190</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the obligation to receive a fixed rate</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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>of 4.82% versus the three month USD-LIBOR-BBA</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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>maturing September 12, 2018.</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$1,469,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Sep-13/4.82</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>51,738</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the obligation to receive a fixed rate</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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>of 5.51% versus the three month USD-LIBOR-BBA</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>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>maturing May 14, 2022.</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>25,011,500</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>May-12/5.51</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>707,014</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$18,063,073</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=5 noWrap align=left><B><FONT size=1 face=sans-serif>TBA SALE COMMITMENTS OUTSTANDING at 3/31/10 (proceeds receivable $29,908,594) (Unaudited)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Principal</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Settlement</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Agency</FONT></B>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=6 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FNMA, 6s, May 1, 2040</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$14,000,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>5/13/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$14,925,859</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>FNMA, 6s, April 1, 2040</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>14,000,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4/13/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>14,868,437</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$29,794,296</FONT></B>&nbsp;</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>59</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<!--$$/page=-->
<A name="page_61"></A><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="5%"></TD>
     <TD width="20%"></TD>
     <TD width="4%" align=left></TD>
     <TD width="10%"></TD>
     <TD width="12%"></TD>
     <TD width="8%"></TD>
     <TD width="15%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=7 noWrap align=left><B><FONT size=1 face=sans-serif>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/10 (Unaudited)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Upfront</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Swap counterparty /</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>premium</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Termination</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>made by</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>received by</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Notional amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>received (paid)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=9 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Bank of America, N.A.</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap 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 size=1 face=sans-serif>$133,477,900</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$60,708</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3/11/25</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=left><FONT size=1 face=sans-serif>4.23%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$(26,181)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>132,276,600</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(376,823)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3/25/20</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3.69%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(1,591,140)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>107,497,100</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>58,368</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3/25/30</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" 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>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4.3%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(1,389,452)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>85,896,400</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(61,921)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2/18/15</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2.67%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(292,768)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>23,910,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>7/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3.5375%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>389,092</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Barclays Bank PLC</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>AUD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,030,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif></FONT><B><SUP><FONT size=1 face=sans-serif>E</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2/4/20</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>BBR-BBSW</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>6.8%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>28,040</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$130,863,700</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>134,691</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3/5/20</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3.68%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(841,706)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>24,982,600</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif></FONT><B><SUP><FONT size=1 face=sans-serif>E</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3/9/21</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4.2375%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>140,652</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>873,400</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3/22/12</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1.1175%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>320</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>51,870,200</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3/31/12</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1.2%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(41,770)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Citibank, N.A.</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap 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 size=1 face=sans-serif>7,135,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>11/6/14</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2.775%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(144,611)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>Credit Suisse International</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>37,890,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2/16/12</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>REUTERS</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1.543%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>167,413</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$147,886,700</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(835,947)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2/22/40</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4.58%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(3,362,807)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>670,791,300</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>16,021</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3/19/11</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>0.5%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(84,280)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>23,791,800</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(3,269)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3/19/12</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1.09%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>13,929</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,871,600</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3/22/12</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1.1075%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" 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>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,045</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>124,287,000</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=right><FONT size=1 face=sans-serif>9/18/10</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2.91916%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,626,008</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,380,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>11/19/14</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=left><FONT size=1 face=sans-serif>2.505%</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(13,946)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>7,135,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>11/6/14</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2.7626%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=right><FONT size=1 face=sans-serif>(140,401)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,760,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>11/10/14</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2.6875%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(74,298)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>SEK</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>79,760,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif></FONT><B><SUP><FONT size=1 face=sans-serif>E</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>6/8/11</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2.11%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3 month SEK-</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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>STIBOR-SIDE</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(93,138)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>60</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<!--$$/page=-->
<A name="page_62"></A><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="5%"></TD>
     <TD width="20%"></TD>
     <TD width="4%" align=left></TD>
     <TD width="10%"></TD>
     <TD width="12%"></TD>
     <TD width="8%"></TD>
     <TD width="15%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=7 noWrap align=left><B><FONT size=1 face=sans-serif>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/10 (Unaudited) </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Upfront</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Swap counterparty /</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>premium</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Termination</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>made by</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>received by</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Notional amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>received (paid)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=9 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>Credit Suisse International </FONT></B><I><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>SEK</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>79,760,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif></FONT><B><SUP><FONT size=1 face=sans-serif>E</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>6/8/12</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3 month SEK-</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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>STIBOR-SIDE</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3.275%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$94,244</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>SEK</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>26,590,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif></FONT><B><SUP><FONT size=1 face=sans-serif>E</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>6/8/11</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2.22%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3 month SEK-</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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>STIBOR-SIDE</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(35,069)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>SEK</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>26,590,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif></FONT><B><SUP><FONT size=1 face=sans-serif>E</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>6/8/12</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3 month SEK-</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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>STIBOR-SIDE</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3.37%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>34,774</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Deutsche Bank AG</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap 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 size=1 face=sans-serif>$200,103,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(81,691)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2/3/11</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>0.55%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>146,779</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>127,189,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(157,194)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2/3/14</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2.25%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(694,015)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>18,945,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2/26/12</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>REUTERS</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1.486%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>47,548</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>18,945,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3/1/12</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>REUTERS</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1.438%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>20,597</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$6,724,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(2,808)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3/10/13</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1.7%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>243</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>13,241,400</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(31,659)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3/10/18</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3.41%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>24,169</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>165,330,400</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(117,153)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3/16/14</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2.25%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(104,455)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>74,997,800</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(46,049)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3/16/15</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2.66%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>13,647</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>128,755,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(343,290)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1/8/15</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2.84%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(2,339,172)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>34,300,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1/8/29</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3.19625%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(5,116,437)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>285,446,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2/6/14</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2.5529%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(4,427,019)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>48,326,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2/6/29</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3.42575%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(5,876,241)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>106,000,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3/4/14</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2.54%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(1,317,479)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>Goldman Sachs International</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>AUD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,922,500</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif></FONT><B><SUP><FONT size=1 face=sans-serif>E</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2/23/20</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>BBR-BBSW</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>6.6925%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>7,331</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>AUD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5,750,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif></FONT><B><SUP><FONT size=1 face=sans-serif>E</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2/23/20</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>BBR-BBSW</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>6.7%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>23,193</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$208,035,900</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3/30/12</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1.225%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(267,947)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>12,845,100</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3/30/40</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4.5375%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>71,419</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,730,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3/31/20</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3.8%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>61</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<!--$$/page=-->
<A name="page_63"></A><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="5%"></TD>
     <TD width="20%"></TD>
     <TD width="4%" align=left></TD>
     <TD width="10%"></TD>
     <TD width="12%"></TD>
     <TD width="8%"></TD>
     <TD width="15%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=7 noWrap align=left><B><FONT size=1 face=sans-serif>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/10 (Unaudited) </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Upfront</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Swap counterparty /</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>premium</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Termination</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>made by</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>received by</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Notional amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>received (paid)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>Goldman Sachs International </FONT></B><I><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>6,750,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3/31/15</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2.85%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>6 month GBP-</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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$&#151;</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>76,510,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1/29/12</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1.739%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>6 month GBP-</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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(790,665)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>AUD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,660,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif></FONT><B><SUP><FONT size=1 face=sans-serif>E</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2/5/20</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>BBR-BBSW</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>6.71%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>15,870</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>JPMorgan Chase Bank, N.A.</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,402,400,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2/19/15</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>0.705%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(51,159)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>511,900,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2/19/20</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1.3975%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(18,392)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>AUD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>8,430,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3/1/15</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>5.6%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>BBR-BBSW</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>64,122</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>AUD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>6,322,500</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3/2/15</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>5.6515%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>BBR-BBSW</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>37,308</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>CAD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>15,180,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3/1/12</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1.43%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>BA-CDOR</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>91,235</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>CAD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,520,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3/1/20</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>BA-CDOR</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3.6425%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(10,186)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$24,982,600&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif></FONT><B><SUP><FONT size=1 face=sans-serif>E</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3/8/21</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4.165%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>286,800</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>112,698,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>264,591</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3/22/20</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3.68%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(824,667)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>78,700,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3/23/12</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1.1475%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(12,248)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>6,423,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>7/16/10</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3.384%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>97,986</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>19,148,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>7/22/10</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3.565%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>314,332</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>AUD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>6,090,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>6/26/19</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>BBR-BBSW</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>6.05%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(10,300)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>358,600,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif></FONT><B><SUP><FONT size=1 face=sans-serif>E</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>7/28/29</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2.67%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(125,917)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>482,100,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif></FONT><B><SUP><FONT size=1 face=sans-serif>E</FONT></SUP></B></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>7/28/39</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2.40%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>106,388</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$9,574,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>17,105</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>12/10/12</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1.73%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(65,507)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>9,240,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>12/10/19</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3.8325%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>6 month GBP-</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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(222,604)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>AUD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,100,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>12/17/19</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>BBR-BBSW</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>6.15%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>10,619</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>AUD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>6,300,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>12/18/19</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>BBR-BBSW</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>6.15%</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>31,523</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>PLN</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>9,400,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1/26/11</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>WIBOR-WIBO</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4.177%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(1,554)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,450,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2/4/20</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3.405%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>6 month EUR-</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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>EURIBOR-</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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>REUTERS</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(55,182)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>62</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<!--$$/page=-->
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<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="5%"></TD>
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     <TD width="12%"></TD>
     <TD width="8%"></TD>
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     <TD width="10%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=7 noWrap align=left><B><FONT size=1 face=sans-serif>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/10 (Unaudited) </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>&nbsp;</TD></TR>
<TR vAlign=bottom>
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     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Upfront</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Swap counterparty /</FONT></B>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>premium</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Termination</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>made by</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>received by</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Notional amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>received (paid)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>JPMorgan Chase Bank, N.A. </FONT></B><I><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>20,450,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2/4/15</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>REUTERS</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2.596%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$377,453</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,236,100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2/5/20</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1.415%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>10,381</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>537,900,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2/5/40</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2.25%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(74,914)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>CAD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>7,690,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3/16/11</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>0.98%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>BA-CDOR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,407</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>CAD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,690,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3/16/19</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>BA-CDOR</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2.7%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(114,545)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>CAD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>7,940,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3/17/13</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1.56%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>BA-CDOR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>180,390</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>CAD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,520,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3/17/24</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>BA-CDOR</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3.46%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(182,074)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$158,590,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4/3/10</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1.168%</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>828,559</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$(25,526,430)</FONT></B>&nbsp;</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><B><SUP><FONT size=1 face=sans-serif>E </FONT></SUP></B><FONT size=1 face=sans-serif>See Note 1 to the financial statements regarding extended effective dates.</FONT></P>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="25%"></TD>
     <TD width="4%"></TD>
     <TD width="10%"></TD>
     <TD width="12%"></TD>
     <TD width="8%"></TD>
     <TD width="15%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 noWrap align=left><B><FONT size=1 face=sans-serif>TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/10 (Unaudited)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Upfront</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Fixed payments</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total return</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Swap counterparty /</FONT></B>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>premium</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Termination</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>received (paid) by</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>received by</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Notional amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>received (paid)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>or paid by fund</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=8 noWrap align=right>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Barclays Bank PLC</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$8,600,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2/23/12</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1.525%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>USA Non Revised</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$9,897</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Consumer Price</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Index - Urban</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>(CPI-U)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT size=1 face=sans-serif>644,636</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>672</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1/12/40</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>(4.00%)1 month</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Synthetic TRS</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(9,151)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Index 4.00% 30</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>year Fannie Mae</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,281,384</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(1,592)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1/12/40</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4.50% (1 month</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Synthetic TRS</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>19,106</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Index 4.50% 30</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>year Fannie Mae</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT size=1 face=sans-serif>629,169</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,899</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1/12/40</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>(5.00%)1 month</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Synthetic TRS</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(12,259)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Index 5.00% 30</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>year Fannie Mae</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Citibank, N.A.</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=right><FONT size=1 face=sans-serif>6,450,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>11/6/14</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2.07%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>USA Non Revised</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>16,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Consumer Price</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Index - Urban</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>(CPI-U)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>63</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<A name="page_65"></A><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="5%"></TD>
     <TD width="20%"></TD>
     <TD width="4%"></TD>
     <TD width="10%"></TD>
     <TD width="12%"></TD>
     <TD width="8%"></TD>
     <TD width="15%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=7 noWrap align=left><B><FONT size=1 face=sans-serif>TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/10 (Unaudited) </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Upfront</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Fixed payments</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total return</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>Swap counterparty /</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>premium</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Termination</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>received (paid) by</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>received by</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>Notional amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>received (paid)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>or paid by fund</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>Credit Suisse International</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>$2,150,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>11/17/14</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2.025%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>USA Non Revised</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$5,134</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Consumer Price</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Index - Urban</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>(CPI-U)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>2,150,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>11/19/14</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2.01%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>USA Non Revised</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,310</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Consumer Price</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Index - Urban</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>(CPI-U)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>6,450,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>11/6/14</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2.0667%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>USA Non Revised</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>32,902</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Consumer Price</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Index - Urban</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>(CPI-U)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>4,300,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>11/10/14</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2.0775%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>USA Non Revised</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>23,061</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Consumer Price</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Index - Urban</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>(CPI-U)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>Deutsche Bank AG</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>644,636</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>134</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1/12/40</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4.00% (1 month</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Synthetic TRS</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>10,027</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Index 4.00% 30</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>year Fannie Mae</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>1,281,384</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>791</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1/12/40</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>(4.50%)1 month</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Synthetic TRS</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(20,065)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Index 4.50% 30</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>year Fannie Mae</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>629,169</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(2,539)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1/12/40</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Synthetic TRS</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>14,705</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Index 5.00% 30</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>year Fannie Mae</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5,760,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3/27/14</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1.785%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Eurostat Eurozone</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>85,580</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>HICP excluding</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>tobacco</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>Goldman Sachs International</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>9,600,000 </FONT></TD>
     <TD noWrap align=left><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4/30/13</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2.375%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>French Consumer</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>552,481</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Price Index</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>excluding tobacco</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>9,600,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4/30/13</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>(2.41%)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Eurostat Eurozone</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(606,972)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>HICP excluding</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>tobacco</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>9,600,000 </FONT></TD>
     <TD noWrap align=left><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5/6/13</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2.34%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>French Consumer</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>530,334</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Price Index</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>excluding tobacco</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>9,600,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5/6/13</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>(2.385%)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Eurostat Eurozone</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(597,636)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>HICP excluding</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>tobacco</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5,320,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4/23/14</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1.67%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Eurostat Eurozone</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(3,880)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>HICP excluding</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>tobacco</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>64</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<!--$$/page=-->
<A name="page_66"></A><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="5%"></TD>
     <TD width="20%"></TD>
     <TD width="4%"></TD>
     <TD width="10%"></TD>
     <TD width="12%"></TD>
     <TD width="8%"></TD>
     <TD width="15%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=7 noWrap align=left><B><FONT size=1 face=sans-serif>TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/10 (Unaudited) </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Upfront</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Fixed payments</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total return</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Swap counterparty /</FONT></B>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>premium</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Termination</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>received (paid) by</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>received by</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Notional amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>received (paid)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>or paid by fund</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5,760,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4/14/14</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1.835%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Eurostat Eurozone</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$58,895</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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>tobacco</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$18,950,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5/18/10</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>0.25%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>USA Non Revised</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>479,246</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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Consumer Price</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Index - Urban</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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>(CPI-U)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>JPMorgan Chase Bank, N.A.</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,300,000</FONT>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4/6/12</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1.8575%</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Eurostat Eurozone</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>tobacco</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$590,840</FONT></B>&nbsp;</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><B><SUP><FONT size=1 face=sans-serif>F </FONT></SUP></B><FONT size=1 face=sans-serif>Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for Accounting Standard Codification ASC 820 Fair Value Measurements and Disclosures (&#147;ASC 820&#148;) based on securities valuation inputs.</FONT></P>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="25%"></TD>
     <TD width="6%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD>
     <TD width="8%"></TD>
     <TD width="14%"></TD>
     <TD width="8%"></TD>
     <TD width="13%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 noWrap align=left><B><FONT size=1 face=sans-serif>CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/10 (Unaudited)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Upfront</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Fixed payments</FONT></B>&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><B><FONT size=1 face=sans-serif>premium</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Termi-</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>received</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Swap counterparty /</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>received</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Notional</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>nation</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>(paid) by fund</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Referenced debt*</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Rating***</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>(paid)**</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>per annum</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=8 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Bank of America, N.A.</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Financial Security</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Assurance Holdings,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ltd, 6.4%, 12/15/66</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Baa1</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$555,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>12/20/12</FONT></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>95 bp</FONT>&nbsp;&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$(42,457)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Citibank, N.A.</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Lighthouse</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>International Co.,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>SA, 8%, 4/30/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Caa1</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR 495,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3/20/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>815 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(51,067)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>Credit Suisse First Boston International</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ukraine (Government</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>of), 7.65%, 6/11/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>B2</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$1,105,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>10/20/11</FONT></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>194 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(67,699)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Credit Suisse International</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Bonos Y Oblig Del</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Estado, 5 1/2%,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>7/30/17</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(18,605)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,090,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>12/20/19</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>100 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>13,732</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>DJ CMB NA CMBX AAA</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>AA+</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>8,988</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>54,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>12/13/49</FONT></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>8 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,050</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Republic of</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ireland, 3 7/8%,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>7/15/10</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Aa1</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>119,336</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,090,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>12/20/19 </FONT></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>100 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>50,492</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Deutsche Bank AG</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Federal Republic of</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Brazil, 12 1/4%,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3/6/30</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Baa3</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>775,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>10/20/17</FONT></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>105 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(16,582)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>General Electric</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Capital Corp., 6%,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>6/15/12</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Aa2</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>300,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>9/20/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>109 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(1,811)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>65</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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     <TD width="6%"></TD>
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     <TD width="15%"></TD>
     <TD width="8%"></TD>
     <TD width="14%"></TD>
     <TD width="8%"></TD>
     <TD width="13%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 noWrap align=left><B><FONT size=1 face=sans-serif>CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/10 (Unaudited) </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
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<TR vAlign=bottom>
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     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Upfront</FONT></B>&nbsp;</TD>
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     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Fixed payments</FONT></B>&nbsp;</TD>
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<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>premium</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Termi-</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>received</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Swap counterparty /</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>received</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Notional</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>nation</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>(paid) by fund</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Referenced debt*</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Rating***</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>(paid)**</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>amount</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=left><B><FONT size=1 face=sans-serif>per annum</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>
<TR>
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<HR SIZE=1 noShade>
</TD></TR>
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     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Deutsche Bank AG </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
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     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Smurfit Kappa</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Funding, 7 3/4%,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>4/1/15</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>B2</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR 425,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=left><FONT size=1 face=sans-serif>9/20/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>715 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$63,274</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>United Mexican</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>States, 7.5%, 4/8/33</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=left><FONT size=1 face=sans-serif>Baa1</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$1,495,000</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3/20/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>56 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(24,809)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Virgin Media</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Finance PLC,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>8 3/4%, 4/15/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>B</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR 400,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>9/20/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>477 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>38,023</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Virgin Media</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Finance PLC,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>8 3/4%, 4/15/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>B</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR 400,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>9/20/13</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=left><FONT size=1 face=sans-serif>535 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>48,327</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Goldman Sachs International</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>DJ CDX NA CMBX AAA</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>AAA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>56,692</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$1,550,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3/15/49</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>7 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(82,790)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Lighthouse</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>International Co,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>SA, 8%, 4/30/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Caa1</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>EUR 420,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3/20/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>680 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(70,815)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>JPMorgan Chase Bank, N.A.</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>DJ CDX NA EM Series</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>10 Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ba1</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>28,017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$485,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>12/20/13</FONT></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>335 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>44,661</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Republic of</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Argentina, 8.28%,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>12/31/33</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>B&#150;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>705,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>6/20/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>235 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(152,539)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Sanmina-SCI Corp.,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>8 1/8%, 3/1/16</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>B2</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>215,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>6/20/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>595 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>12,219</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>Morgan Stanley Capital Services, Inc.</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>DJ CMB NA CMBX AAA</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>AA</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>273,852</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,523,500</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>2/17/51</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>35 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(98,445)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Dominican Republic,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>8 5/8%, 4/20/27</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,190,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>11/20/11</FONT></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>(170 bp)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>26,787</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Freeport-McMoRan</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Copper &amp; Gold,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Inc., T/L Bank Loan</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Baa3</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,191,200</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>3/20/12</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>44 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(8,340)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Republic of</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Venezuela, 9 1/4%,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>9/15/27</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>B2</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>510,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>10/12/12</FONT></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>339 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(61,552)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$(379,341)</FONT></B>&nbsp;</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>* Payments related to the referenced debt are made upon a credit default event.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>** Upfront premium is based on the difference between the original spread on issue and the market spread on day of&nbsp;execution.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>*** 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, 2010.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>66</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<!--$$/page=-->
<A name="page_68"></A><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>ASC 820 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 style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Level 1 &#151; Valuations based on quoted prices for identical securities in active markets.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>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 style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Level 3 &#151; Valuations based on inputs that are unobservable and significant to the fair value measurement.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The following is a summary of the inputs used to value the fund&#146;s net assets as of March 31, 2010:</FONT></P>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="39%"></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=right><B><FONT size=1 face=sans-serif>Valuation inputs</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Investments in securities:</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Level 1</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Level 2</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Level 3</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Common stocks:</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Communication services</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$31,148</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$&#151;</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Conglomerates</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,091</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Consumer cyclicals</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>228,720</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>11</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total common stocks</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>31,148</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>228,720</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>3,102</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Asset-backed securities</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>44,595,303</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,180,994</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Convertible bonds and notes</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,362,379</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Convertible preferred stocks</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,661</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Corporate bonds and notes</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>81,135,089</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,495</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Foreign government bonds and notes</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>27,214,730</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Mortgage-backed securities</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>189,568,548</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,187,331</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Preferred stocks</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>173,793</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Purchased options outstanding</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5,683,510</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Senior loans</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>17,214,799</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>U.S. Government and Agency Mortgage Obligations</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>31,490,508</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Warrants</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>9,204</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>21,850</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Short-term investments</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>12,246,946</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>46,263,239</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Totals by level</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$12,287,298</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$444,954,129</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$2,373,922</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Valuation inputs</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Other financial instruments:</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Level 1</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Level 2</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Level 3</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Forward currency contracts to buy</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$14,467</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$&#151;</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Forward currency contracts to sell</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(280,134)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Futures contracts</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(162,372)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Written options</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(18,063,073)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>TBA sale commitments</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(29,794,296)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Receivable purchase agreement</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(203,849)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Interest rate swap contracts</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(24,020,110)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Total return swap contracts</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>588,475</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Credit default contracts</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(847,621)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Totals by level</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$(162,372)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$(72,402,292)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$(203,849)</FONT></B>&nbsp;</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The accompanying notes are an integral part of these financial statements.</FONT></P>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="100%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>67</FONT>&nbsp;</TD></TR></TABLE><BR>
<HR align=center SIZE=2 width="100%" noShade>
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<A name="page_69"></A><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="60%"></TD>
     <TD width="40%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Statement of assets and liabilities </FONT></B><FONT size=2 face=sans-serif>3/31/10 (Unaudited)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2></TD></TR>
<TR>
     <TD colSpan=2>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>ASSETS</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=2 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>Unaffiliated issuers (identified cost $433,989,274)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$447,368,403</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Affiliated issuers (identified cost $12,246,946) (Note 6)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>12,246,946</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Cash</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>656,366</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Foreign currency (cost $623) (Note 1)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>618</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Dividends, interest and other receivables</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4,836,313</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Receivable for investments sold</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>46,522,580</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Receivable for sales of delayed delivery securities (Note 1)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>29,964,594</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Unrealized appreciation on swap contracts (Note 1)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>7,448,184</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Receivable for variation margin (Note 1)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>625,514</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Unrealized appreciation on forward currency contracts (Note 1)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>828,779</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Premium paid on swap contracts (Note 1)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,080,540</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total assets</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>552,578,837</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2></TD></TR>
<TR>
     <TD colSpan=2>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>LIABILITIES</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=2 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Distributions payable to shareholders</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,446,919</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Payable for investments purchased</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>56,087,908</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Payable for purchases of delayed delivery securities (Notes 1, 7 and 8)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>30,100,237</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Payable for compensation of Manager (Note 2)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>689,305</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Payable for investor servicing fees (Note 2)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>15,789</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Payable for custodian fees (Note 2)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>33,537</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Payable for Trustee compensation and expenses (Note 2)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>121,405</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Payable for administrative services (Note 2)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,344</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Unrealized depreciation on forward currency contracts (Note 1)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,094,446</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Interest payable (Note 2)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>145,866</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Written options outstanding, at value (premiums received $25,221,502) (Notes 1 and 3)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>18,063,073</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Payable for receivable purchase agreement (Note 2)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>203,849</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Premium received on swap contracts (Note 1)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,044,865</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Unrealized depreciation on swap contracts (Note 1)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>32,763,115</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>TBA sales commitments, at value (proceeds receivable $29,908,594) (Note 1)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>29,794,296</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Other accrued expenses</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>109,618</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total liabilities</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>173,715,572</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Net assets</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$378,863,265</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=2>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>REPRESENTED BY</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=2 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Paid-in capital (Unlimited shares authorized) (Note 1)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$554,642,921</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Distributions in excess of net investment income (Note 1)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(6,097,906)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Accumulated net realized loss on investments and foreign currency transactions (Note 1)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(163,346,544)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Net unrealized depreciation of investments and assets and liabilities in foreign currencies</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(5,335,206)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total &#151; Representing net assets applicable to capital shares outstanding</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$378,863,265</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2></TD></TR>
<TR>
     <TD colSpan=2>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>COMPUTATION OF NET ASSET VALUE</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=2 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Net asset value per share </FONT></B><FONT size=1 face=sans-serif>($378,863,265 divided by 65,158,066 shares)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$5.81</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The accompanying notes are an integral part of these financial statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>68</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<A name="page_70"></A><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="60%"></TD>
     <TD width="40%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Statement of operations </FONT></B><FONT size=2 face=sans-serif>Six months ended 3/31/10 (Unaudited)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>INVESTMENT INCOME</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=2 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Interest (including interest income of $11,452 from investments</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>in affiliated issuers) (Note 6)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$21,296,249</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Dividends</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>7,929</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total investment income</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>21,304,178</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2></TD></TR>
<TR>
     <TD colSpan=2>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>EXPENSES</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=2 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Compensation of Manager (Note 2)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,437,626</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Investor servicing fees (Note 2)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>96,007</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Custodian fees (Note 2)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>47,094</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Trustee compensation and expenses (Note 2)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>13,337</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Administrative services (Note 2)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>10,676</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Interest expense (Note 2)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>31,918</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Other</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>211,901</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total expenses</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>1,848,559</FONT></B>&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 size=1 face=sans-serif>Expense reduction (Note 2)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(696)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Net expenses</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>1,847,863</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Net investment income</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>19,456,315</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=2>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Net realized gain on investments (Notes 1 and 3)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>12,381,752</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Net realized gain on swap contracts (Note 1)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>38,503,219</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Net realized loss on futures contracts (Note 1)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(3,469,928)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Net realized gain on foreign currency transactions (Note 1)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,545,670</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Net realized gain on written options (Notes 1 and 3)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,279,776</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Net unrealized depreciation of assets and liabilities in foreign currencies during the period</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(1,860,896)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>written options, receivable purchase agreements and TBA sale commitments</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>during the period</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(28,684,266)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Net gain on investments</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>21,695,327</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Net increase in net assets resulting from operations</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$41,151,642</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The accompanying notes are an integral part of these financial statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>69</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<!--$$/page=-->
<A name="page_71"></A><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Statement of changes in net assets</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3></TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>DECREASE IN NET ASSETS</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Six months ended 3/31/10*</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Year ended 9/30/09</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=3 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Operations:</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$19,456,315</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$22,035,120</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Net realized gain (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 size=1 face=sans-serif>and foreign currency transactions</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>52,240,489</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(102,052,358)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Net unrealized appreciation (depreciation) of 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 size=1 face=sans-serif>and assets and liabilities in foreign currencies</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(30,545,162)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>116,368,801</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Net increase in net assets resulting from operations</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>41,151,642</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>36,351,563</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>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 size=1 face=sans-serif>Net investment income</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(49,152,848)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(34,859,749)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>of distributions</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>3,476,051</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>634,849</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Decrease from shares repurchased (Note 4)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(10,711,596)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total decrease in net assets</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>(4,525,155)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>(8,584,933)</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>NET ASSETS</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=3 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Beginning of period</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>383,388,420</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>391,973,353</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>End of period </FONT></B><FONT size=1 face=sans-serif>(including distributions in excess of net investment</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>income of $6,097,906 and 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 size=1 face=sans-serif>income of $23,598,627, respectively)</FONT>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$378,863,265</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$383,388,420</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3></TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>NUMBER OF FUND SHARES</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=3 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Shares outstanding at beginning of period</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>64,565,117</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>66,640,509</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Shares issued in connection with reinvestment of distributions</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>592,949</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>136,964</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Shares repurchased (Note 4)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(2,212,356)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Shares outstanding at end of period</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>65,158,066</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>64,565,117</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>* Unaudited</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The accompanying notes are an integral part of these financial statements.</FONT></P>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="100%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>70</FONT>&nbsp;</TD></TR></TABLE><BR>
<HR align=center SIZE=2 width="100%" noShade>
<!--$$/page=-->
<A name="page_72"></A><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="14%"></TD>
     <TD width="14%"></TD>
     <TD width="14%"></TD>
     <TD width="15%"></TD>
     <TD width="14%"></TD>
     <TD width="14%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 noWrap align=left><B><FONT size=2 face=sans-serif>Financial highlights </FONT></B><FONT size=2 face=sans-serif>(For a common share outstanding throughout the period)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7></TD></TR>
<TR>
     <TD colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>PER-SHARE OPERATING PERFORMANCE</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Six months ended**</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center><B><FONT size=1 face=sans-serif>Year ended</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR height=20>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD colSpan=5 noWrap align=right>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>3/31/10</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>9/30/09</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>9/30/08</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>9/30/07</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>9/30/06</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>9/30/05</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=7 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Net asset value,</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>beginning of period</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$5.94</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$5.88</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$7.13</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$7.08</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$7.07</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$7.13</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT size=1 face=sans-serif>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 SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Net investment income </FONT><B><SUP><FONT size=1 face=sans-serif>a</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>.30</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>.34</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>.49 </FONT><B><SUP><FONT size=1 face=sans-serif>f</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>.36 </FONT><B><SUP><FONT size=1 face=sans-serif>f</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>.34 </FONT><B><SUP><FONT size=1 face=sans-serif>f</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>.32 </FONT><B><SUP><FONT size=1 face=sans-serif>f</FONT></SUP></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>gain (loss) on investments</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>.33</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>.24</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(1.28)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>.01</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(.04)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>.04</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total from investment operations</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>.63</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>.58</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>(.79)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>.37</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>.30</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>.36</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT size=1 face=sans-serif>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 SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>From net investment income</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(.76)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(.54)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(.49)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(.36)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(.35)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(.42)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total distributions</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>(.76)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>(.54)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>(.49)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>(.36)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>(.35)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>(.42)</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Increase from shares repurchased</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>&#151;</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>.02</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>.03</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>.04</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>.06</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>&#151;</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Net asset value, end of period</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$5.81</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$5.94</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$5.88</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$7.13</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$7.08</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$7.07</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Market value, end of period</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$6.23</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$5.99</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$5.39</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$6.41</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$6.15</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$6.25</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total return at</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>market value (%) </FONT></B><B><SUP><FONT size=1 face=sans-serif>b</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>17.89 *</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>24.66</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>(8.92)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>10.15</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>4.17</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>(0.98)</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>RATIOS AND SUPPLEMENTAL DATA</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=7 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Net assets, end of period</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>(in thousands)</FONT>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$378,863</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$383,388</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$391,973</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$578,811</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$664,410</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$709,266</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>average net assets (%) </FONT><B><SUP><FONT size=1 face=sans-serif>c</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>.48 *</FONT><B><SUP><FONT size=1 face=sans-serif>d</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1.02 </FONT><B><SUP><FONT size=1 face=sans-serif>d</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>.96 </FONT><B><SUP><FONT size=1 face=sans-serif>f</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>.90 </FONT><B><SUP><FONT size=1 face=sans-serif>f</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>.89 </FONT><B><SUP><FONT size=1 face=sans-serif>f</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>.87 </FONT><B><SUP><FONT size=1 face=sans-serif>f</FONT></SUP></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>average net assets excluding</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 size=1 face=sans-serif>interest expense(%) </FONT><B><SUP><FONT size=1 face=sans-serif>c</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>.47 *</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>.98</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>.96 </FONT><B><SUP><FONT size=1 face=sans-serif>f</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>.90 </FONT><B><SUP><FONT size=1 face=sans-serif>f</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>.89 </FONT><B><SUP><FONT size=1 face=sans-serif>f</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>.87 </FONT><B><SUP><FONT size=1 face=sans-serif>f</FONT></SUP></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>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 size=1 face=sans-serif>to average net assets (%)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5.04 *</FONT><B><SUP><FONT size=1 face=sans-serif>d</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>7.05 </FONT><B><SUP><FONT size=1 face=sans-serif>d</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>7.29 </FONT><B><SUP><FONT size=1 face=sans-serif>f</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>5.01 </FONT><B><SUP><FONT size=1 face=sans-serif>f</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4.84 </FONT><B><SUP><FONT size=1 face=sans-serif>f</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>4.43 </FONT><B><SUP><FONT size=1 face=sans-serif>f</FONT></SUP></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Portfolio turnover (%)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>35.57 *</FONT><B><SUP><FONT size=1 face=sans-serif>e</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>223.19 </FONT><B><SUP><FONT size=1 face=sans-serif>e</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>158.75 </FONT><B><SUP><FONT size=1 face=sans-serif>e</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>77.78 </FONT><B><SUP><FONT size=1 face=sans-serif>e</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>113.12 </FONT><B><SUP><FONT size=1 face=sans-serif>e</FONT></SUP></B>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>165.33 </FONT><B><SUP><FONT size=1 face=sans-serif>e</FONT></SUP></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>* Not annualized. </FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>** Unaudited. </FONT></P>
<P style="TEXT-ALIGN: left"><B><SUP><FONT size=1 face=sans-serif>a </FONT></SUP></B><FONT size=1 face=sans-serif>Per share net investment income has been determined on the basis of weighted average number of shares outstanding during the period. </FONT></P>
<P style="TEXT-ALIGN: left"><B><SUP><FONT size=1 face=sans-serif>b </FONT></SUP></B><FONT size=1 face=sans-serif>Total return assumes dividend reinvestment. </FONT></P>
<P style="TEXT-ALIGN: left"><B><SUP><FONT size=1 face=sans-serif>c </FONT></SUP></B><FONT size=1 face=sans-serif>Includes amounts paid through expense offset arrangements (Note 2). </FONT></P>
<P style="TEXT-ALIGN: left"><B><SUP><FONT size=1 face=sans-serif>d </FONT></SUP></B><FONT size=1 face=sans-serif>Includes interest accrued in connection with certain terminated derivative contracts, which amounted to 0.01% and 0.04% of average net assets as of March 31, 2010 and September 30, 2009, respectively. (Note 2) </FONT></P>
<P style="TEXT-ALIGN: left"><B><SUP><FONT size=1 face=sans-serif>e </FONT></SUP></B><FONT size=1 face=sans-serif>Portfolio turnover excludes dollar roll transactions. </FONT></P>
<P style="TEXT-ALIGN: left"><B><SUP><FONT size=1 face=sans-serif>f </FONT></SUP></B><FONT size=1 face=sans-serif>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>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="60%"></TD>
     <TD width="40%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Percentage of</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>average net assets</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=2 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>September 30, 2008</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>0.01%</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>September 30, 2007</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>0.02</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>September 30, 2006</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>0.02</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>September 30, 2005</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>0.02</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The accompanying notes are an integral part of these financial statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>71</FONT></P>
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<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Notes to financial statements </FONT></B><FONT size=2 face=sans-serif>3/31/10 (Unaudited)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>Note 1: Significant accounting policies</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Putnam Master Intermediate Income Trust (the &#147;fund&#148;), a Massachusetts business trust, is registered under the Investment Company Act of 1940, as amended, as a diversified, closed-end management investment company and is authorized to issue an unlimited number of shares. The fund&#146;s investment objective is to seek, with equal emphasis, high current income and relative stability of net asset value, by allocating its investments among the U.S. investment grade sector, high-yield sector and international sector. The fund invests in higher yielding, lower rated bonds that have a higher rate of default. The fund may invest a significant portion of their assets in securitized debt instruments, including mortgage-backed and asset-backed investments. The yields and values of these investments are sensitive to changes in interest rates, the rate of principal payments on the underlying assets and the market&#146;s perception of the issuers. The mark
et for these investments may be volatile and limited, which may make them difficult to buy or sell.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>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 style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>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. Subsequent events after the Statement of assets and liabilities date through the date that the financial statements were issued, May 13, 2010, have been evaluated in the preparation of the financial statements.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>A) Security valuation </FONT></B><FONT size=1 face=sans-serif>Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets. If no sales are reported &#151; as in the case of some securities traded over-the-counter &#151; a security is valued at its last reported bid price. Market quotations are not considered to be readily available for certain debt obligations; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Investment Management, LLC (&#147;Putnam Management&#148;), the fund&#146;s manager, an indirect 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 comparable securiti
es and various relationships, generally recognized by institutional traders, between securities (which considers such factors as security prices, yields, maturities and ratings). 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 o
r provides a valuation that Putnam Management does not believe accurately 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 in a current sale and does not reflect an actual market price, which may be different by a material amount.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>B) Security transactions and related investment income </FONT></B><FONT size=1 face=sans-serif>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</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>72</FONT></P>
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<A name="page_74"></A><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>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 style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>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 style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The fund earned certain fees in connection with its senior loan purchasing activities. These fees are treated as market discount and are amortized into income in the Statement of operations.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>C) Stripped securities </FONT></B><FONT size=1 face=sans-serif>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 style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>D) Foreign currency translation </FONT></B><FONT size=1 face=sans-serif>The accounting records of the fund are maintained in U.S. dollars. The market value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losse
s 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 style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>E) Futures and options contracts </FONT></B><FONT size=1 face=sans-serif>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&nbsp;returns.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>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, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange&#146;s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. 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 option
s are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>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 style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The fund had an average contract amount of approximately $197,400,000 on Purchased options contracts for the period ended March 31, 2010.</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>See Note 3 for the volume of Written options contracts activity for the period ended March 31, 2010.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Outstanding contracts on Futures contracts at the period ended March 31, 2010 are indicative of the volume of activity during the period.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>F) Forward currency contracts </FONT></B><FONT size=1 face=sans-serif>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 clos
ed, 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. 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. Outstanding contracts on Forward currency contracts at the period ended March 31, 2010 are indicative of the volume of activity during the period.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>G) Total return swap contracts </FONT></B><FONT size=1 face=sans-serif>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 help enhance the funds return and manage the fund&#146;s exposure to credit risk. 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 ter
ms 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. The fund&#146;s maximum risk of loss from counterparty risk, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. 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. Outstanding notional on Total return swap contracts at the period ended March 31, 2010 are indicative of the volume of activity during the period.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>H) Interest rate swap contracts </FONT></B><FONT size=1 face=sans-serif>The fund may enter into interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to manage the fund&#146;s exposure to interest rates. An interest rate swap can be purchased or sold with an upfront premium. An upfront payment received by the fund is recorded as a liability on the fund&#146;s books. An upfront payment made by the fund is recorded as an asset on the fund&#146;s books. Interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain interest rate swap contracts may include extended effective dates. Payments related to these swap contracts 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. The fund&#146;s maximum risk of loss from counterparty risk , is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. 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. The fund had an average notional amount of approximately $4,645,500,000 on Interest rate swap contracts for the period ended March 31, 2010.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>I) Credit default contracts </FONT></B><FONT size=1 face=sans-serif>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</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>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 o
f any proportional amount of the upfront payment, is recorded as a realized gain or loss.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>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 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 may be mitigated by having a master netting arrangement between the fund and the counterparty. 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. The fund had an average notional amount of approximately $57,200,000 on Credit default swap contracts for the period ended March 31, 2010.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>J) Master agreements </FONT></B><FONT size=1 face=sans-serif>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 and with respect to those amounts which can be sold or repledged, are presented in the fund&#146;s portfolio. Collateral pledged by the fund is segregated by the fund&#146;s custodian and identified in the fund&#146;s portfolio. Collateral ca
n 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. Collateral requirements are determined based on the fund&#146;s net position with each counterparty. Termination events applicable to the fund may occur upon a decline in the fund&#146;s net assets below a specified 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 derivativ
e activity.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>At March 31, 2010, the fund had a net liability position of $37,082,097 on derivative contracts subject to the Master Agreements. Collateral posted by the fund totaled $34,885,820.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>K) TBA purchase commitments </FONT></B><FONT size=1 face=sans-serif>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 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 ris
k 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>
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<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Although the fund will generally enter into TBA purchase commitments with the intention of acquiring securities for its portfolio or for delivery pursuant to options contracts it has entered into, the fund may dispose of a commitment prior to settlement if Putnam Management deems it appropriate to do so.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>L) TBA sale commitments </FONT></B><FONT size=1 face=sans-serif>The fund may enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as &#147;cover&#148; for the transaction.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>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 style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>M) Dollar rolls </FONT></B><FONT size=1 face=sans-serif>To enhance returns, the fund may enter into dollar rolls (principally using TBAs) in which the fund sells securities for delivery in the current month and simultaneously contracts to purchase similar securities on a specified future date. During the period between the sale and subsequent purchase, the fund will not be entitled to receive income and principal payments on the securities sold. The fund will, however, retain the difference between the initial sales price and the forward price for the future purchase. The fund will also be able to earn interest on the cash proceeds that are received from the initial sale, on settlement date. The fund may be exposed to market or credit risk if the price of the security changes unfavorably or the counterparty fails to perform under the terms of the agreement.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>N) Federal taxes </FONT></B><FONT size=1 face=sans-serif>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 Accounting Standards Codification ASC 740 </FONT><I><FONT size=1 face=sans-serif>Income Taxes </FONT></I><FONT size=1 face=sans-serif>(&#147;ASC 740&#148;). ASC 740 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, capit
al 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 style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>At September 30, 2009, the fund had a capital loss carryover of $122,894,194 available to the extent allowed by the Code to offset future net capital gain, if any. The amounts of the carryovers and the expiration dates are:</FONT></P>
<TABLE border=0 cellSpacing=0 width="80%">
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<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Loss Carryover</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Expiration</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD></TR>
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     <TD colSpan=2 noWrap align=left>
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     <TD noWrap align=left></TD></TR>
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     <TD noWrap align=left><FONT size=1 face=sans-serif>$27,431,170</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>September 30, 2010</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>47,564,236</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>September 30, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD></TR>
<TR>
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<HR SIZE=1 noShade>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>7,342,291</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>September 30, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD></TR>
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     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>11,586,218</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>September 30, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD></TR>
<TR>
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<HR SIZE=1 noShade>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>28,970,279</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>September 30, 2017</FONT>&nbsp;</TD>
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<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Pursuant to federal income tax regulations applicable to regulated investment companies, the fund has elected to defer to its fiscal year ending September 30, 2010 approximately $87,176,440 of losses recognized during the period November 1, 2008 to September 30, 2009.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The aggregate identified cost on a tax basis is $451,733,726, resulting in gross unrealized appreciation and depreciation of $39,092,485 and $31,210,862, respectively, or net unrealized appreciation of $7,881,623.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>O) Distributions to shareholders </FONT></B><FONT size=1 face=sans-serif>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</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>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 style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>Note 2: Management fee, administrative services and other transactions</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>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 style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>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 style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>On September 15, 2008, the fund terminated its outstanding derivatives contracts with Lehman Brothers Special Financing, Inc. (&#147;LBSF&#148;) in connection with the bankruptcy filing of LBSF&#146;s parent company, Lehman Brothers Holdings, Inc. On September 26, 2008, the fund entered into a receivable purchase agreement (&#147;Agreement&#148;) 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 LBSF in connection with certain terminated derivatives transactions (the &#147;Receivable&#148;), in exchange for an initial payment plus (or minus) additional amounts based on the fund&#146;s ultimate realized gain (or loss) with respect to the Receivable. The Receivable will be offset against the fund&#146;s net payable to LBSF and is included in the Statement of assets and liabilities in Payabl
e 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. The fund&#146;s net payable to LBSF was calculated in accordance with the fund&#146;s master contract with LBSF. The fund has accrued interest on the net payable, which is included in the Statement of operations in Interest expense. Putnam Management currently is in discussions with LBSF regarding resolution of amounts payable to LBSF. Amounts recorded are estimates and final payments may differ from these estimates by a material amount.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>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 style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Custodial functions for the fund&#146;s assets are provided by State Street Bank and Trust Company (&#147;State Street&#148;). </FONT><FONT size=1 face=sans-serif>Custody fees are based on the fund&#146;s asset level, the number of its security holdings and transaction volumes.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>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 period ended March 31, 2010 are included in Investor servicing fees in the Statement of operations.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>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 period ended March 31, 2010, the fund&#146;s expenses were reduced by $696 under the expense offset arrangements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Each independent Trustee of the fund receives an annual Trustee fee, of which $271, 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 style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>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 style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>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</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>77</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>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 style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>Note 3: Purchases and sales of securities</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>During the period ended March 31, 2010, cost of purchases and proceeds from sales of investment securities other than short-term investments aggregated $133,647,318 and $152,223,511, respectively. There were no purchases or sales of U.S. government securities.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Written option transactions during the period ended March 31, 2010 are summarized as follows:</FONT></P>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="25%"></TD>
     <TD width="25%" align=center></TD>
     <TD width="25%"></TD>
     <TD width="25%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Contract Amounts</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Premiums Received</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=4 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Written options outstanding</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>at beginning of period</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>483,999,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$26,542,096</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Options</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>75,860,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>263,160</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>opened</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>102,642,560</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,957,466</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Options</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>exercised</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(50,458,000)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(2,270,610)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Options</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>expired</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(50,458,000)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(2,270,610)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Options</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>closed</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Written options outstanding</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>75,860,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>263,160</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>at end of period</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>USD</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>485,725,560</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$24,958,342</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>Note 4: Shares repurchased</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>In September 2009, 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, 2010 (based on shares outstanding as of October 7, 2009). 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, 2009 (based on shares outstanding as of October 7, 2008) and prior to that, to allow the fund to repurchase up to 10% of its outstanding common shares over the 12-month period ending October&nbsp;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. For the six months ended March 31, 2010, the fund did not repurchase any common shares.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>78</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<A name="page_80"></A><BR>
<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>Note 5: Summary of derivative activity</FONT></B><BR>
<FONT size=1 face=sans-serif>The following is a summary of the market values of derivative instruments as of March 31, 2010:</FONT></P>
<TABLE border=0 cellSpacing=0 width="80%">
<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 colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>Market values of derivative instruments as of March 31, 2010</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 75px" colSpan=2 noWrap align=center><B><FONT size=1 face=sans-serif>Asset derivatives</FONT></B>&nbsp;</TD>
     <TD style="TEXT-INDENT: 75px" colSpan=2 noWrap align=center><B><FONT size=1 face=sans-serif>Liability derivatives</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Derivatives not</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>accounted for as</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Statement of</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Statement of</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>hedging instruments</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>assets and</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>assets and</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>under ASC 815</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>liabilities location</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Market value</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>liabilities location</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Market value</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Credit contracts</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>Receivables</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$237,611</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>Payables</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$1,085,232</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Foreign exchange</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 size=1 face=sans-serif>contracts</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>Receivables</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>828,779</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>Payables</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,094,446</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>Investments,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>Payables,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>Receivables, Net</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>Net assets&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>assets &#151; Unrealized</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>Unrealized</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Interest rate</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>appreciation /</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>appreciation /</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>contracts</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(depreciation)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>13,091,456*</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(depreciation)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>49,065,026*</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$14,157,846</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$51,244,704</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>* Includes cumulative appreciation/depreciation of futures contracts as reported in the fund&#146;s portfolio. Only current day&#146;s variation margin is reported within the Statement of assets and liabilities.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The following is a summary of realized and change in unrealized gains or losses of derivative instruments on the Statement of operations for the period ended March 31, 2010 (see Note 1):</FONT></P>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="16%"></TD>
     <TD width="16%"></TD>
     <TD width="16%"></TD>
     <TD width="16%"></TD>
     <TD width="16%"></TD>
     <TD width="16%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 noWrap align=left><B><FONT size=1 face=sans-serif>Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Derivatives not</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>accounted for as</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Forward</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>hedging instruments</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>currency</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>under ASC 815</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Options</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Futures</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>contracts</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Swaps</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Total</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Credit contracts</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$(1,389,954)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$(1,389,954)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Foreign exchange</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 vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>contracts</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,530,947</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>2,530,947</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Interest rate contracts</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(585,302)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(3,469,928)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>39,893,173</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>35,837,943</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$(585,302)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$(3,469,928)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$2,530,947</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$38,503,219</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$36,978,936</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or </FONT></B><B><FONT size=1 face=sans-serif>(loss) on&nbsp;investments</FONT></B></P>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="16%"></TD>
     <TD width="16%"></TD>
     <TD width="16%"></TD>
     <TD width="16%"></TD>
     <TD width="16%"></TD>
     <TD width="16%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Derivatives not</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>accounted for as</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Forward</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>hedging instruments</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>currency</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>under ASC 815</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Options</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Futures</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>contracts</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Swaps</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Total</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Credit contracts</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$1,822,424</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=1 face=sans-serif>$1,822,424</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Foreign exchange</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 vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>contracts</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(1,821,492)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(1,821,492)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Interest rate contracts</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>1,055,843</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(1,197,510)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>&#151;</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(41,866,668)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>(42,008,335)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$1,055,843</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$(1,197,510)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$(1,821,492)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$(40,044,244)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>$(42,007,403)</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>79</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>Note 6: Investment in Putnam Money Market Liquidity Fund</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The fund invested in Putnam Money Market Liquidity Fund, an open-end management investment company managed by Putnam Management. Investments in Putnam Money Market Liquidity Fund are valued at its closing net asset value each business day. Income distributions earned by the fund are recorded as interest income in the Statement of operations and totaled $11,452 for the period ended March 31, 2010. During the period ended March 31, 2010, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund aggregated $145,844,504 and $150,917,493, respectively. Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>Note 7: Senior loan commitments</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder&#146;s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>Note 8: Unfunded loan commitments</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>As of March 31, 2010, the fund had unfunded loan commitments of $140,000, which could be extended at the option of the borrower, pursuant to the following loan agreements with the following borrowers:</FONT></P>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="60%"></TD>
     <TD width="40%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Borrower</FONT></B>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=1 face=sans-serif>Unfunded Commitments</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=2 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Smurfit-Stone Container Enterprises, Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif>$140,000</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>Note 9: Regulatory matters and litigation</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>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 style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>Note 10: Market and credit risk</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>In the normal course of business, the fund trades financial 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 fund has unsettled or open transactions will default.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>80</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<P style="TEXT-ALIGN: left"><B><FONT size=4 face=sans-serif>Shareholder meeting results (Unaudited)</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>January 28, 2010 meeting</FONT></B></P>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="24%"></TD>
     <TD width="25%"></TD>
     <TD width="25%"></TD>
     <TD width="25%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=3 noWrap align=left><FONT size=1 face=sans-serif>At the meeting, each of the nominees for Trustees was elected, as follows:</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Votes for</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=1 face=sans-serif>Votes withheld</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=4 noWrap align=left>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Ravi Akhoury</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>57,937,355</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1,612,168</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Jameson A. Baxter</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>57,975,472</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1,574,052</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Charles B. Curtis</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>57,952,294</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1,597,230</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Robert J. Darretta</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>58,034,009</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1,515,514</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Myra R. Drucker</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>57,946,123</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1,603,400</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>John A. Hill</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>57,978,033</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1,571,491</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Paul L. Joskow</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>58,003,491</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1,546,033</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Elizabeth T. Kennan</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>57,896,508</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1,653,016</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Kenneth R. Leibler</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>58,006,313</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1,543,211</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Robert E. Patterson</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>57,981,620</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1,567,903</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>George Putnam, III</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>57,972,986</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1,576,537</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Robert L. Reynolds</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>57,919,574</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1,629,950</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>W. Thomas Stephens</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>57,980,425</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1,569,099</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=1 face=sans-serif>Richard B. Worley</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>58,005,172</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif>1,544,352</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>All tabulations are rounded to the nearest whole number.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>81</FONT></P>
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<P style="TEXT-ALIGN: left"><B><FONT size=4 face=sans-serif>The Putnam family of funds</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The following is a list of Putnam&#146;s open-end mutual funds offered to the public. </FONT><I><FONT size=2 face=sans-serif>Investors should carefully consider the investment objective, risks, charges, and expenses of a fund before investing. For a prospectus , or a summary prospectus if available, containing this and other information for any Putnam fund or product, call your financial advisor at 1-800-225-1581 and ask for a prospectus. Please read the prospectus carefully before investing.</FONT></I></P>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="60%"></TD>
     <TD width="40%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Growth</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Growth Opportunities Fund</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Convertible Income-Growth Trust</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>International Growth Fund* **</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Equity Income Fund</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>New Opportunities Fund</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>The George Putnam Fund of Boston</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Small Cap Growth Fund*</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>The Putnam Fund for Growth and Income</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Vista Fund</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>International Value Fund* <SUP>&#134;&#134;</SUP></FONT><SUP>&nbsp;</SUP></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Voyager Fund</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Mid Cap Value Fund</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Small Cap Value Fund*</FONT>&nbsp;</TD></TR>
<TR height=20>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Blend</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Asia Pacific Equity Fund*</FONT>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Income</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Capital Opportunities Fund*</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>American Government Income Fund</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Capital Spectrum Fund&#135;</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Diversified Income Trust</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Emerging Markets Equity Fund*</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Floating Rate Income Fund</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Equity Spectrum Fund&#135;</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Global Income Trust*</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Europe Equity Fund*</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>High Yield Advantage Fund*</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Global Equity Fund*</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>High Yield Trust*</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Global Natural Resources Fund*</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Income Fund</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>International Capital Opportunities Fund*</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Money Market Fund&#134;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>International Equity Fund*</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>U.S. Government Income Trust</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Investors Fund</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Research Fund</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>* A 1% redemption fee on total assets redeemed or exchanged within 90 days of purchase may be imposed for all share classes of these funds.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif><SUP>&#134; </SUP></FONT><B><FONT size=2 face=sans-serif>An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the fund.</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>** Prior to January 1, 2010, the fund was known as Putnam International New Opportunities Fund.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif><FONT size=2 face=sans-serif><SUP>&#134;&#134;</SUP></FONT><SUP>&nbsp;</SUP>Prior to January 1, 2010, the fund was known as Putnam International Growth and Income Fund.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>82</FONT></P>
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<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Tax-free income</FONT></B><BR>
<FONT size=2 face=sans-serif>AMT-Free Municipal Fund</FONT><BR>
<FONT size=2 face=sans-serif>Tax Exempt Income Fund</FONT><BR>
<FONT size=2 face=sans-serif>Tax Exempt Money Market Fund&#134;</FONT><BR>
<FONT size=2 face=sans-serif>Tax-Free High Yield Fund</FONT></P>
<P style="TEXT-ALIGN: left"><I><FONT size=2 face=sans-serif>State tax-free income funds:<BR>
</FONT></I><FONT size=2 face=sans-serif>Arizona, California, Massachusetts, Michigan, Minnesota, New Jersey, New York, Ohio, and Pennsylvania</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Absolute Return</FONT></B><BR>
<FONT size=2 face=sans-serif>Absolute Return 100 Fund</FONT><BR>
<FONT size=2 face=sans-serif>Absolute Return 300 Fund</FONT><BR>
<FONT size=2 face=sans-serif>Absolute Return 500 Fund</FONT><BR>
<FONT size=2 face=sans-serif>Absolute Return 700 Fund</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Global Sector*</FONT></B><BR>
<FONT size=2 face=sans-serif>Global Consumer Fund</FONT><BR>
<FONT size=2 face=sans-serif>Global Energy Fund</FONT><BR>
<FONT size=2 face=sans-serif>Global Financials Fund</FONT><BR>
<FONT size=2 face=sans-serif>Global Health Care Fund</FONT><BR>
<FONT size=2 face=sans-serif>Global Industrials Fund</FONT><BR>
<FONT size=2 face=sans-serif>Global Natural Resources Fund</FONT><BR>
<FONT size=2 face=sans-serif>Global Technology Fund</FONT><BR>
<FONT size=2 face=sans-serif>Global Telecommunications Fund</FONT><BR>
<FONT size=2 face=sans-serif>Global Utilities Fund</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Asset allocation</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Income Strategies Fund<BR>
</FONT><FONT size=2 face=sans-serif>Putnam Asset Allocation Funds &#151; three investment portfolios that spread your money across a variety of stocks, bonds, and money market investments.</FONT></P>
<P style="TEXT-ALIGN: left"><I><FONT size=2 face=sans-serif>The three portfolios:</FONT></I><BR>
<FONT size=2 face=sans-serif>Asset Allocation: Balanced Portfolio</FONT><BR>
<FONT size=2 face=sans-serif>Asset Allocation: Conservative Portfolio</FONT><BR>
<FONT size=2 face=sans-serif>Asset Allocation: Growth Portfolio</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Putnam RetirementReady&#174;</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Putnam RetirementReady Funds &#151; 10 investment portfolios that offer diversification among stocks, bonds, and money market instruments and adjust to become more conservative over time based on a target date for withdrawing assets.</FONT></P>
<P style="TEXT-ALIGN: left"><I><FONT size=2 face=sans-serif>The 10 funds:</FONT></I><BR>
<FONT size=2 face=sans-serif>Putnam RetirementReady 2050 Fund</FONT><BR>
<FONT size=2 face=sans-serif>Putnam RetirementReady 2045 Fund</FONT><BR>
<FONT size=2 face=sans-serif>Putnam RetirementReady 2040 Fund</FONT><BR>
<FONT size=2 face=sans-serif>Putnam RetirementReady 2035 Fund</FONT><BR>
<FONT size=2 face=sans-serif>Putnam RetirementReady 2030 Fund</FONT><BR>
<FONT size=2 face=sans-serif>Putnam RetirementReady 2025 Fund</FONT><BR>
<FONT size=2 face=sans-serif>Putnam RetirementReady 2020 Fund</FONT><BR>
<FONT size=2 face=sans-serif>Putnam RetirementReady 2015 Fund</FONT><BR>
<FONT size=2 face=sans-serif>Putnam RetirementReady 2010 Fund</FONT><BR>
<FONT size=2 face=sans-serif>Putnam RetirementReady Maturity Fund</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>&#135; A 1% redemption fee on total assets redeemed or exchanged within 30 days of purchase may be imposed for all share classes of these funds.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>With the exception of money market funds, a 1% redemption fee may be applied to shares exchanged or sold within 7 days of purchase (90 days, for certain funds).</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Check your account balances and the most recent month-end performance in the Individual Investors section at putnam.com.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>83</FONT></P>
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<P style="TEXT-ALIGN: left"><B><FONT size=4 face=sans-serif>Services for shareholders</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Investor services</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Systematic investment plan </FONT></B><FONT size=2 face=sans-serif>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 style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>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 style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Systematic exchange </FONT></B><FONT size=2 face=sans-serif>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 style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Dividends PLUS </FONT></B><FONT size=2 face=sans-serif>You can choose to have the dividend distributions from one of your Putnam funds automatically reinvested in another Putnam fund at no additional charge.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Free exchange privilege </FONT></B><FONT size=2 face=sans-serif>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 style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Reinstatement privilege </FONT></B><FONT size=2 face=sans-serif>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 style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Check-writing service </FONT></B><FONT size=2 face=sans-serif>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 style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Dollar cost averaging </FONT></B><FONT size=2 face=sans-serif>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 style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>For more information</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Visit the Individual Investors section at putnam.com </FONT></B><FONT size=2 face=sans-serif>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 style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Call us toll free at 1-800-225-1581 </FONT></B><FONT size=2 face=sans-serif>Ask a helpful Putnam representative or your finan-cial advisor for details about any of these or other services, or see your prospectus.</FONT></P>
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<P style="TEXT-ALIGN: left"><B><FONT size=4 face=sans-serif>Fund information</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>About Putnam Investments</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Founded over 70 years ago, Putnam Investments was built around the concept that a balance between risk and reward is the hallmark of a well-rounded financial program. We manage over 100 funds across income, value, blend, growth, asset allocation, absolute return, and global sector&nbsp;categories.</FONT></P>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="33%"></TD>
     <TD width="33%"></TD>
     <TD width="33%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Investment Manager</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Elizabeth T. Kennan</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>James P. Pappas</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam Investment</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Kenneth R. Leibler</FONT>&nbsp;</TD>
     <TD noWrap align=left><I><FONT size=2 face=sans-serif>Vice President</FONT></I>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Management, LLC</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Robert E. Patterson</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>One Post Office Square</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>George Putnam, III</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Francis J. McNamara, III</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Boston, MA 02109</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Robert L. Reynolds</FONT>&nbsp;</TD>
     <TD noWrap align=left><I><FONT size=2 face=sans-serif>Vice President and</FONT></I>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>W. Thomas Stephens</FONT>&nbsp;</TD>
     <TD noWrap align=left><I><FONT size=2 face=sans-serif>Chief Legal Officer</FONT></I>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Investment Sub-Manager</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Richard B. Worley</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam Investments Limited</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Robert R. Leveille</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>57&#150;59 St James&#146;s Street</FONT>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Officers</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><I><FONT size=2 face=sans-serif>Vice President and</FONT></I>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>London, England SW1A 1LD</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Robert L. Reynolds</FONT>&nbsp;</TD>
     <TD noWrap align=left><I><FONT size=2 face=sans-serif>Chief Compliance Officer</FONT></I>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><I><FONT size=2 face=sans-serif>President</FONT></I>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Investment Sub-Advisor</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Mark C. Trenchard</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>The Putnam Advisory</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Jonathan S. Horwitz</FONT>&nbsp;</TD>
     <TD noWrap align=left><I><FONT size=2 face=sans-serif>Vice President and</FONT></I>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Company, LLC</FONT>&nbsp;</TD>
     <TD noWrap align=left><I><FONT size=2 face=sans-serif>Executive Vice President,</FONT></I>&nbsp;</TD>
     <TD noWrap align=left><I><FONT size=2 face=sans-serif>BSA Compliance Officer</FONT></I>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>One Post Office Square</FONT>&nbsp;</TD>
     <TD noWrap align=left><I><FONT size=2 face=sans-serif>Principal Executive</FONT></I>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Judith Cohen</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Boston, MA 02109</FONT>&nbsp;</TD>
     <TD noWrap align=left><I><FONT size=2 face=sans-serif>Officer, Treasurer and</FONT></I>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><I><FONT size=2 face=sans-serif>Compliance Liaison</FONT></I>&nbsp;</TD>
     <TD noWrap align=left><I><FONT size=2 face=sans-serif>Vice President, Clerk and</FONT></I>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Marketing Services</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><I><FONT size=2 face=sans-serif>Assistant Treasurer</FONT></I>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam Retail Management</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Charles E. Porter</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>One Post Office Square</FONT>&nbsp;</TD>
     <TD noWrap align=left><I><FONT size=2 face=sans-serif>Senior Advisor to the Trustees</FONT></I>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Wanda M. McManus</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Boston, MA 02109</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><I><FONT size=2 face=sans-serif>Vice President, Senior Associate</FONT></I>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Steven D. Krichmar</FONT>&nbsp;</TD>
     <TD noWrap align=left><I><FONT size=2 face=sans-serif>Treasurer and Assistant Clerk</FONT></I>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Custodian</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><I><FONT size=2 face=sans-serif>Vice President and</FONT></I>&nbsp;</TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>State Street Bank</FONT>&nbsp;</TD>
     <TD noWrap align=left><I><FONT size=2 face=sans-serif>Principal Financial Officer</FONT></I>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Nancy E. Florek</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>and Trust Company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><I><FONT size=2 face=sans-serif>Vice President, Assistant Clerk,</FONT></I>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Janet C. Smith</FONT>&nbsp;</TD>
     <TD noWrap align=left><I><FONT size=2 face=sans-serif>Assistant Treasurer and</FONT></I>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Legal Counsel</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><I><FONT size=2 face=sans-serif>Vice President, Principal</FONT></I>&nbsp;</TD>
     <TD noWrap align=left><I><FONT size=2 face=sans-serif>Proxy Manager</FONT></I>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ropes &amp; Gray LLP</FONT>&nbsp;</TD>
     <TD noWrap align=left><I><FONT size=2 face=sans-serif>Accounting Officer and</FONT></I>&nbsp;</TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><I><FONT size=2 face=sans-serif>Assistant Treasurer</FONT></I>&nbsp;</TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Trustees</FONT></B>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>John A. Hill, </FONT><I><FONT size=2 face=sans-serif>Chairman</FONT></I>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Jameson A. Baxter,</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Susan G. Malloy</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><I><FONT size=2 face=sans-serif>Vice Chairman</FONT></I>&nbsp;</TD>
     <TD noWrap align=left><I><FONT size=2 face=sans-serif>Vice President and</FONT></I>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ravi Akhoury</FONT>&nbsp;</TD>
     <TD noWrap align=left><I><FONT size=2 face=sans-serif>Assistant Treasurer</FONT></I>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Charles B. Curtis</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Robert J. Darretta</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Beth S. Mazor</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Myra R. Drucker</FONT>&nbsp;</TD>
     <TD noWrap align=left><I><FONT size=2 face=sans-serif>Vice President</FONT></I>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Paul L. Joskow</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Call 1-800-225-1581 Monday through Friday between 8:00 a.m. and 8:00 p.m. Eastern Time, or visit our Web site (putnam.com) anytime for up-to-date information about the fund&#146;s NAV.</FONT></B></P>
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<P style="TEXT-ALIGN: left"><U><FONT size=2 face=sans-serif>Item 2. Code of Ethics:</FONT></U></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Not Applicable</FONT></P>
<P style="TEXT-ALIGN: left"><U><FONT size=2 face=sans-serif>Item 3. Audit Committee Financial Expert: </FONT></U></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Not Applicable </FONT></P>
<P style="TEXT-ALIGN: left"><U><FONT size=2 face=sans-serif>Item 4. Principal Accountant Fees and Services: </FONT></U></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Not Applicable </FONT></P>
<P style="TEXT-ALIGN: left"><U><FONT size=2 face=sans-serif>Item 5. Audit Committee </FONT></U></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Not Applicable </FONT></P>
<P style="TEXT-ALIGN: left"><U><FONT size=2 face=sans-serif>Item 6. Schedule of Investments:</FONT></U></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The registrant&#146;s schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above.</FONT></P>
<P style="TEXT-ALIGN: left"><U><FONT size=2 face=sans-serif>Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies:</FONT></U></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Not applicable</FONT></P>
<P style="TEXT-ALIGN: left"><U><FONT size=2 face=sans-serif>Item 8. Portfolio Managers of Closed-End Management Investment Companies</FONT></U></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(a) Not applicable</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(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 style="TEXT-ALIGN: left"><U><FONT size=2 face=sans-serif>Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers:</FONT></U></P>
<TABLE border=0 cellSpacing=0 width="80%">
<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 colSpan=3 noWrap align=left><FONT size=2 face=sans-serif>Registrant Purchase of Equity Securities</FONT></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Maximum</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Total Number</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Number (or</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>of Shares</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Approximate</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Purchased</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Dollar Value )</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>as Part</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>of Shares</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>of Publicly</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>that May Yet Be</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Total Number</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Average</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Announced</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Purchased</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>of Shares</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Price Paid</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Plans or</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>under the Plans</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><U><FONT size=2 face=sans-serif>Period</FONT></U></TD>
     <TD noWrap align=left><U><FONT size=2 face=sans-serif>Purchased</FONT></U></TD>
     <TD noWrap align=left><U><FONT size=2 face=sans-serif>per Share</FONT></U></TD>
     <TD noWrap align=left><U><FONT size=2 face=sans-serif>Programs*</FONT></U></TD>
     <TD noWrap align=left><U><FONT size=2 face=sans-serif>or Programs**</FONT></U></TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>October 1 -</FONT></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>October 7,</FONT></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2009</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>-</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>-</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>-</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>4,451,695</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>October 8 -</FONT></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>October 31,</FONT></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2009</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>-</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>-</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>-</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6,456,512</FONT></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 size=2 face=sans-serif>November 1 -</FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>November 30,</FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2009</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=Arial>-</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=Arial>-</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>- </FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>&nbsp;6,456,512</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>December 1 -</FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>December 31,</FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2009</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=Arial>- </FONT></TD>
     <TD noWrap align=left><FONT size=2 face=Arial>&nbsp;-</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>-</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6,456,512</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>January 1 -</FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>January 31,</FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2010</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=Arial>-</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=Arial>-</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>- </FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>&nbsp;6,456,512</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>February 1 -</FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>February 28,</FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2010</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=Arial>- </FONT></TD>
     <TD noWrap align=left><FONT size=2 face=Arial>-</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>- </FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6,456,512</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>March 1 -</FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=2 face=Arial></FONT></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>March 31, 2010</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=Arial>- </FONT></TD>
     <TD noWrap align=left><FONT size=2 face=Arial>-</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>- </FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6,456,512</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>* In October 2005, the Board of Trustees of the Putnam Funds initiated the closed-end fund share repurchase program, which, as subsequently amended, authorized the repurchase of up to 10% of the fund's outstanding common shares over the two-years ending October 5, 2007. The Trustees subsequently renewed the program on three occasions, to permit the repurchase of an additional 10% of the fund's outstanding common shares over each of the twelve-month periods beginning on October 8, 2007, October 8, 2008 and October 8, 2009. </FONT><FONT size=2 face=sans-serif>The October 8, 2008 - October 7, 2009 program, which was announced in September 2008, allowed repurchases up to a total of </FONT><FONT size=2 face=sans-serif>6,664,051 </FONT><FONT size=2 face=sans-serif>shares of the fund. The October 8, 2009 - October 7, 2010 program, which was announced in September 2009, allows repurchases up to a total of </FONT><FONT size=2 face=sans-serif>6,456,512 shares of
 the fund.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>** Information prior to October 7, 2009 is based on the total number of shares eligible for repurchase under the program, as amended through September 2008. Information from October 8, 2009 forward is based on the total number of shares eligible for repurchase under the program, as amended through September 2009.</FONT></P>
<P style="TEXT-ALIGN: left"><U><FONT size=2 face=sans-serif>Item 10. Submission of Matters to a Vote of Security Holders: </FONT></U></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Not applicable </FONT><U><FONT size=2 face=sans-serif></FONT></U></P>
<P style="TEXT-ALIGN: left"><U><FONT size=2 face=sans-serif>Item 11. Controls and Procedures:</FONT></U></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(a) The registrant's principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission's rules and forms.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(b) Changes in internal control over financial reporting: Not applicable </FONT></P>
<P style="TEXT-ALIGN: left"><U><FONT size=2 face=sans-serif>Item 12. Exhibits: </FONT></U></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(a)(1) Not applicable</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(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 style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, are filed herewith.</FONT></P>
<P style="TEXT-ALIGN: left"><U><FONT size=2 face=sans-serif>SIGNATURES</FONT></U></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.</FONT></P>
<P style="TEXT-ALIGN: left"><U><FONT size=2 face=sans-serif>SIGNATURES</FONT></U></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.</FONT></P>
<P style="TEXT-ALIGN: left"><U><FONT size=2 face=sans-serif>Putnam Master Intermediate Income Trust</FONT></U></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>By (Signature and Title):</FONT></P>
<P style="TEXT-ALIGN: left"><U><FONT size=2 face=sans-serif>/s/Janet C. Smith</FONT></U><BR>
<FONT size=2 face=sans-serif>Janet C. Smith</FONT><BR>
<FONT size=2 face=sans-serif>Principal Accounting Officer</FONT><BR>
<BR>
<FONT size=2 face=sans-serif>Date: May 28, 2010</FONT></P>
<P style="TEXT-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 style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>By (Signature and Title):</FONT></P>
<P style="TEXT-ALIGN: left"><U><FONT size=2 face=sans-serif>/s/Jonathan S. Horwitz</FONT></U><BR>
<FONT size=2 face=sans-serif>Jonathan S. Horwitz</FONT><BR>
<FONT size=2 face=sans-serif>Principal Executive Officer</FONT><BR>
<BR>
<FONT size=2 face=sans-serif>Date: May 28, 2010</FONT></P>
<P style="TEXT-ALIGN: left"><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 28, 2010</FONT></P>
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<P style="TEXT-ALIGN: left"><U><FONT size=2 face=sans-serif>Certifications</FONT></U></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>I, Jonathan S. Horwitz, the Principal Executive Officer of the funds listed on Attachment A, certify that:</FONT></P>
<P style="TEXT-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 style="TEXT-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 style="TEXT-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 style="TEXT-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 style="TEXT-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 style="TEXT-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 style="TEXT-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 style="TEXT-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 style="TEXT-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 style="TEXT-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 style="TEXT-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>
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Date: May 27, 2010</FONT><BR>
<BR>
<FONT size=2 face=sans-serif>/s/ Jonathan S. Horwitz</FONT><BR>
<FONT size=2 face=sans-serif>_______________________</FONT><BR>
<FONT size=2 face=sans-serif>Jonathan S. Horwitz</FONT><BR>
<FONT size=2 face=sans-serif>Principal Executive Officer</FONT></P>
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<P style="TEXT-ALIGN: left"><U><FONT size=2 face=sans-serif>Certifications</FONT></U></P>
<P style="TEXT-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 style="TEXT-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 style="TEXT-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 style="TEXT-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 style="TEXT-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 style="TEXT-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 style="TEXT-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 style="TEXT-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 style="TEXT-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 style="TEXT-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 style="TEXT-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 style="TEXT-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 style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif></FONT>&nbsp;</P>
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Date: May 27, 2010</FONT></P>
<P style="TEXT-ALIGN: left">/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 align=center><FONT size=2 face=sans-serif>Attachment A</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=center><FONT size=2 face=sans-serif>N-CSR</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT size=2 face=sans-serif>Period (s) ended March 31, 2010</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Putnam Master Intermediate Income Trust</FONT><BR>
<FONT size=2 face=sans-serif>Putnam California Tax Exempt Income Fund</FONT><BR>
<FONT size=2 face=sans-serif>Putnam American Government Income Fund</FONT><BR>
<FONT size=2 face=sans-serif>Putnam Tax Exempt Income Fund</FONT><BR>
<FONT size=2 face=sans-serif>Putnam International Growth Fund</FONT><BR>
<FONT size=2 face=sans-serif>Putnam U.S. Government Income Trust</FONT><BR>
<FONT size=2 face=sans-serif>Putnam Money Market Fund</FONT><BR>
<FONT size=2 face=sans-serif>Putnam Money Market Liquidity Fund</FONT><BR>
<FONT size=2 face=sans-serif>Putnam Tax Exempt Money Market Fund</FONT><BR>
<FONT size=2 face=sans-serif>Putnam Diversified Income Trust</FONT><BR>
<FONT size=2 face=sans-serif>Putnam Asset Allocation: Balanced Portfolio</FONT><BR>
<FONT size=2 face=sans-serif>Putnam Asset Allocation: Growth Portfolio</FONT><BR>
<FONT size=2 face=sans-serif>Putnam Asset Allocation: Conservative Portfolio</FONT></P>
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<P style="TEXT-ALIGN: left"><U><FONT size=2 face=sans-serif>Section 906 Certifications</FONT></U></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>I, Jonathan S. Horwitz, the Principal Executive Officer of the Funds listed on Attachment A, certify that, to my knowledge:</FONT></P>
<P style="TEXT-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, 2010 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and</FONT></P>
<P style="TEXT-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, 2010 fairly presents, in all material respects, the financial condition and results of operations of the Funds listed on Attachment A.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Date: May 27, 2010</FONT><BR>
<BR>
<FONT size=2 face=sans-serif>/s/ Jonathan S. Horwitz</FONT><BR>
<FONT size=2 face=sans-serif>______________________</FONT><BR>
<FONT size=2 face=sans-serif>Jonathan S. Horwitz</FONT><BR>
<FONT size=2 face=sans-serif>Principal Executive Officer</FONT></P>
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<P style="TEXT-ALIGN: left"><U><FONT size=2 face=sans-serif>Section 906 Certifications</FONT></U></P>
<P style="TEXT-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 style="TEXT-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, 2010 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and</FONT></P>
<P style="TEXT-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, 2010 fairly presents, in all material respects, the financial condition and results of operations of the Funds listed on Attachment A.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Date: May 27, 2010</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 align=center><FONT size=2 face=sans-serif>Attachment A</FONT></TD></TR>
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     <TD align=center><FONT size=2 face=sans-serif>N-CSR</FONT></TD></TR>
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     <TD noWrap align=center><FONT size=2 face=sans-serif>Period (s) ended March 31, 2010</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Putnam Master Intermediate Income Trust</FONT><BR>
<FONT size=2 face=sans-serif>Putnam California Tax Exempt Income Fund</FONT><BR>
<FONT size=2 face=sans-serif>Putnam American Government Income Fund</FONT><BR>
<FONT size=2 face=sans-serif>Putnam Tax Exempt Income Fund</FONT><BR>
<FONT size=2 face=sans-serif>Putnam International Growth Fund</FONT><BR>
<FONT size=2 face=sans-serif>Putnam U.S. Government Income Trust</FONT><BR>
<FONT size=2 face=sans-serif>Putnam Money Market Fund</FONT><BR>
<FONT size=2 face=sans-serif>Putnam Money Market Liquidity Fund</FONT><BR>
<FONT size=2 face=sans-serif>Putnam Tax Exempt Money Market Fund</FONT><BR>
<FONT size=2 face=sans-serif>Putnam Diversified Income Trust</FONT><BR>
<FONT size=2 face=sans-serif>Putnam Asset Allocation: Balanced Portfolio</FONT><BR>
<FONT size=2 face=sans-serif>Putnam Asset Allocation: Growth Portfolio</FONT><BR>
<FONT size=2 face=sans-serif>Putnam Asset Allocation: Conservative Portfolio</FONT></P>
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end
</TEXT>
</DOCUMENT>
</SEC-DOCUMENT>
-----END PRIVACY-ENHANCED MESSAGE-----
